US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 18

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

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

11:00      7.13%  7.22%   3.36%  3.65%   1.90%  2.17%   12.97%   10.89%

FRI OPEN   7.03%  7.31%   3.46%  3.64%   1.89%  2.23%   12.65%   11.32%

THU 3:00   7.33%  7.47%   3.58%  3.80%   2.14%  2.24%   12.21%   10.68%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  116,019       +1   118.00 P  174,193  +4,556

JUL18 10Y NOTE  120.00 C   96,551   +3,830   117.50 P   92,533  +1,162 

JUN18 5Y NOTE   113.50 C   41,188   +1,472   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C   60,508     +193   112.25 P   24,935    -497

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    UNCH

JUN18 EURODLR    98.00 C  387,011   +1,500    97.50 P  557,577    +510

JUL18 EURODLR    97.75 C  109,410     UNCH    97.50 P  107,581    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  475,353  -1,750

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   41,829     +917   119.00 P  106,811  -9,925

JUN18 10Y NOTE  119.50 C   45,316   +2,251   119.50 P   81,199  -2,455

JUL18 10Y NOTE  119.00 C   43,098   +7,095   119.00 P   26,168    +249

JUL18 10Y NOTE  119.50 C   56,010  +10,250   119.50 P    9,280    -325

JUN18 5Y NOTE   113.00 C    8,488     +248   113.00 P   40,896  -2,640

JUN18 5Y NOTE   113.50 C   41,188   +1,472   113.50 P   35,627  -3,770

JUL18 5Y NOTE   113.00 C   60,508     +193   113.00 P   22,899    -191

JUL18 5Y NOTE   113.50 C   19,674     +202   113.50 P    5,782    -247

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      920     +667   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   40,104     -700   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  351,540  +11,192    97.75 P  381,157     -16

JUN18 EURODLR    97.87 C  381,338   +3,598    97.87 P  319,393    UNCH

JUL18 EURODLR    97.50 C   30,155     +100    97.50 P  107,581    UNCH

JUL18 EURODLR    97.62 C   66,516     +500    97.62 P   45,839    -125

JUN19 1Y-MIDC    97.37 C  162,687   -2,850    97.37 P  257,719    UNCH

JUN19 1Y-MIDC    97.50 C  192,254   -2,900    97.50 P  123,685    UNCH

JUN20 2Y-MIDC    97.00 C   34,252   +1,170    97.00 P   91,197    -750

JUN20 2Y-MIDC    97.12 C   65,059     +250    97.12 P  104,144    UNCH

JUN21 3Y-MIDC    96.87 C   17,137     +600    96.87 P   55,406    -250

JUN21 3Y-MIDC    97.00 C   60,664     -375    97.00 P   68,929    -500

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.22 (205,231 PUTS VS. 92,260 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 2.07 (220,581 PUTS VS. 106,309 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 1.90 (55,671 PUTS VS. 29,361 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 5.12 (63,855 PUTS VS. 12,473 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.02 (16 PUTS VS. 1,000 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 3,630 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.84 (37,784 PUTS VS. 44,873 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.92 (3,000 PUTS VS. 3,250 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 2.91 (58,500 PUTS VS. 20,078 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 1.65 (20,250 PUTS VS. 12,250 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 2.20 (10,000 PUTS VS. 4,550 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

11:00        42.78    58.89    55.51    60.18    68.87    73.11

FRI OPEN     43.27    60.28    56.90    61.42    69.23    73.24

THU 3:00     43.26    60.12    56.69    61.35    69.19    73.21

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

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

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