US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 17

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

THU OPEN   7.57%  7.64%   3.96%  3.90%   2.34%  2.32%   13.31%   10.78%

WED 3:00   7.45%  7.48%   3.66%  3.79%   2.24%  2.27%   12.61%   10.27%

WED OPEN   8.00%  7.45%   4.04%  3.76%   2.40%  2.41%   14.83%   10.96%

TUE 3:00   7.75%  7.44%   3.66%  3.67%   2.32%  2.31%   13.09%   10.13%

TUE OPEN   7.52%  7.04%   3.64%  3.51%   2.12%  2.12%   13.19%    9.89%

MON 3:00   6.61%  6.60%   3.31%  3.28%   1.91%  1.99%   13.06%   11.03% 

MON OPEN   6.86%  6.58%   3.45%  3.22%   1.88%  2.01%   13.13%   10.67%

FRI 3:00   6.08%  6.40%   3.07%  3.26%   1.71%  1.95%   10.44%    N/A   

FRI OPEN   6.34%  6.55%   3.14%  3.18%   1.71%  1.97%   10.23%    N/A

THU 3:00   6.87%  6.81%   3.35%  3.36%   1.95%  2.03%    8.14%    N/A

THU OPEN   7.35%  6.58%   3.68%  3.50%   2.18%  2.14%    9.11%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  116,599   -1,175   118.00 P  169,637 +21,649

JUL18 10Y NOTE  120.00 C   92,721     +954   117.50 P   91,371 +27,112 

JUN18 5Y NOTE   113.50 C   39,716     +344   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C   60,315     -227   112.25 P   25,432  +6,156

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.37 C  112,311     UNCH   105.50 P    6,013      +1

JUN18 EURODLR    98.00 C  385,511   +1,321    97.50 P  557,067  -9,796

JUL18 EURODLR    97.75 C  109,410  +10,600    97.50 P  107,581  -3,800

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  477,103  +2,050

JUN20 2Y-MIDC    97.37 C  152,294     UNCH    97.37 P  164,602    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   40,912  +20,649   119.00 P  116,736 -17,122

JUN18 10Y NOTE  119.50 C   43,065     +818   119.50 P   83,654  -1,767

JUL18 10Y NOTE  119.00 C   36,003  +11,626   119.00 P   25,919    -387

JUL18 10Y NOTE  119.50 C   45,760  +12,289   119.50 P    9,605    -124

JUN18 5Y NOTE   113.00 C    8,240     +226   113.00 P   43,536    -567

JUN18 5Y NOTE   113.50 C   39,716     +344   113.50 P   39,397     +72

JUL18 5Y NOTE   113.00 C   60,315     -227   113.00 P   23,090      +1

JUL18 5Y NOTE   113.50 C   19,472   +1,543   113.50 P    6,029    UNCH

JUN18 2Y NOTE   106.00 C      959     UNCH   106.00 P    3,254    UNCH

JUN18 2Y NOTE   106.12 C    6,811     UNCH   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.00 C      253     UNCH   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   40,804     UNCH   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  340,348   +9,016    97.75 P  381,173     -15

JUN18 EURODLR    97.87 C  377,740   +3,150    97.87 P  319,393      +4

JUL18 EURODLR    97.50 C   30,055     -500    97.50 P  107,581  -3,800

JUL18 EURODLR    97.62 C   66,016   +5,400    97.62 P   45,964    -500

JUN19 1Y-MIDC    97.37 C  165,537   -1,272    97.37 P  257,719 -43,000

JUN19 1Y-MIDC    97.50 C  195,154     UNCH    97.50 P  123,685    UNCH

JUN20 2Y-MIDC    97.00 C   33,082   +1,668    97.00 P   93,947    -152

JUN20 2Y-MIDC    97.12 C   64,809   -2,507    97.12 P  104,144    UNCH

JUN21 3Y-MIDC    96.87 C   16,537     -230    96.87 P   55,656  -1,249

JUN21 3Y-MIDC    97.00 C   61,039   +1,080    97.00 P   69,429    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.12 (218,176 PUTS VS. 102,743 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.35 (154,585 PUTS VS. 114,182 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 1.09 (23,918 PUTS VS. 22,013 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 2.02 (31,920 PUTS VS. 15,796 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 17.2 (11,036 PUTS VS. 642 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.06 (100 PUTS VS. 1,691 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.67 (80,226 PUTS VS. 119,323 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.60 (16,425 PUTS VS. 27,275 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 10.3 (219,000 PUTS VS. 21,300 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 4.06  (50,696 PUTS VS. 12,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 5.45 (24,000 PUTS VS. 4,400 CALLS)

     (VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT

PRIOR 

SESSION'S DATA.)

     Swaption BP/Vol Via Bloomberg:

Time (ET)    3M/2Y   1M/10Y    3M/5Y   3M/10Y   2Y/10Y    5Y/5Y

THU OPEN     32.62    61.30    57.55    61.97    69.21    73.27

WED 3:00     42.93    60.04    56.60    61.17    69.04    73.32

WED OPEN     42.86    60.12    56.70    61.13    68.91    73.24

TUE 3:00     41.50    61.25    55.05    59.64    68.61    73.15

TUE OPEN     40.74    55.68    53.34    58.08    67.97    72.94

MON 3:00     39.79    54.23    52.71    57.14    67.67    72.63

MON OPEN     39.60    53.09    52.53    57.14    67.47    72.29

FRI 3:00     39.74    53.16    52.69    57.18    67.63    72.57

FRI OPEN     39.64    53.62    52.70    57.36    67.61    72.42

THU 3:00     40.46    54.43    53.70    58.46    67.86    72.72

THU OPEN     41.12    55.95    54.92    59.36    68.21    73.05

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]