US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 2

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

WED OPEN   7.11%   6.94%  3.71%   3.78%  2.25%  2.25%   11.61%  11.40% 

TUE 3:00   7.17%   7.02%  3.71%   3.62%  2.26%  2.18%   12.54%  11.65%

TUE OPEN   7.10%   7.29%  3.63%   3.60%  2.27%  2.08%   12.07%  11.19%

MON 3:00   7.20%   6.72%  3.55%   3.77%  2.25%  2.38%   11.37%  11.20%

MON OPEN   7.29%   7.15%  3.74%   3.80%  2.31%  2.34%   12.78%  11.89%

FRI 3:00   6.97%   6.94%  3.56%   3.62%  2.18%  2.44%   10.66%  10.34%

FRI OPEN   7.19%   7.37%  3.66%   3.74%  2.26%  2.52%   10.93%  12.58% 

THU 3:00   10.80%  8.44%  4.03%   3.93%  2.38%  2.22%   10.24%  11.12%

THU OPEN   7.75%   7.42%  3.83%   3.88%  2.36%  2.38%   12.25%  11.44%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  118,800      -76   119.00 P  149,163  +2,969

JUL18 10Y NOTE  120.00 C   31,583     +336   118.00 P   41,778  +5,336 

JUN18 5Y NOTE   114.00 C   41,275   +1,362   105.50 P  156,003    UNCH

JUL18 5Y NOTE   114.25 C   10,970     +292   113.00 P   16,114    +572

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,223    UNCH

JUL18 2Y NOTE   106.60 C   42,050     UNCH   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  139,198   -1,146    97.62 P  198,335  -2,850

JUN18 EURODLR    97.87 C  392,780     UNCH    97.50 P  591,821  +3,892

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  629,849    -365

JUN20 2Y-MIDC    97.37 C  144,694     UNCH    96.75 P  218,927  -2,842

JUN21 3Y-MIDC    97.25 C  197,873   +2,085    96.62 P  150,186    +635

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   17,790     +110   119.00 P  156,141  +6,978

JUN18 10Y NOTE  119.50 C   34,642   +1,714   119.50 P   94,482  +1,129

JUL18 10Y NOTE  119.00 C   10,424   +1,097   119.00 P   13,860    +597

JUL18 10Y NOTE  119.50 C    7,131     +826   119.50 P    3,647     +74

JUN18 5Y NOTE   113.00 C      186      +29   113.00 P   50,125  +4,063

JUN18 5Y NOTE   113.50 C   31,606   -1,115   113.50 P   42,503  +1,019

JUL18 5Y NOTE   113.00 C    7,776      +27   113.00 P   16,114    +572

JUL18 5Y NOTE   113.50 C    7,075     +158   113.50 P    5,087    +160

JUN18 2Y NOTE   106.00 C      909       -5   106.00 P    4,176    -114

JUN18 2Y NOTE   106.12 C    8,234      -15   106.12 P   30,223    UNCH

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

JUL18 2Y NOTE   106.12 C        0     UNCH   106.12 P        1    UNCH

MAY18 EURODLR    97.75 C   65,124     +905    97.75 P   80,561  -2,000

MAY18 EURODLR    97.87 C  139,198   -1,146    97.87 P   13,107    UNCH

JUN18 EURODLR    97.75 C  353,032   +2,800    97.75 P  403,349    UNCH

JUN18 EURODLR    97.87 C  392,780     UNCH    97.87 P  371,867    UNCH 

JUN19 1Y-MIDC    97.37 C  150,718  +11,325    97.37 P  335,469    UNCH

JUN19 1Y-MIDC    97.50 C  198,479   +2,562    97.50 P  123,935    UNCH

JUN20 2Y-MIDC    97.00 C   25,728     +250    97.00 P  105,929    -205

JUN20 2Y-MIDC    97.12 C   59,202     UNCH    97.12 P  106,798    UNCH

JUN21 3Y-MIDC    96.87 C   13,284     UNCH    96.87 P   55,028  +1,932

JUN21 3Y-MIDC    97.00 C  108,545   -1,101    97.00 P   75,339    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.20 (72,651 PUTS VS. 60,329 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 1.16 (14,575 PUTS VS. 12,579 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 1.37 (55,506 PUTS VS. 40,500 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 0.87 (4,772 PUTS VS. 5,463 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.05 (2,520 PUTS VS. 2,410 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 7,201 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 0.66 (5,855 PUTS VS. 8,850 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 4.31 (28,428 PUTS VS. 6,600 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 0.78 (20,550 PUTS VS. 26,300 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 10.0 (8,000 PUTS VS. 800 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.60 (3,481 PUTS VS. 5,812 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

WED OPEN     42.46    58.49    54.86    59.99    69.04    73.55

TUE 3:00     42.53    58.38    54.50    59.51    68.91    73.29

TUE OPEN     42.50    57.82    54.37    59.35    68.64    73.03

MON 3:00     42.49    57.32    54.24    59.12    68.61    72.99

MON OPEN     43.29    57.12    55.10    59.88    68.96    73.34

FRI 3:00     44.14    58.37    56.11    60.76    69.19    73.46

FRI OPEN     44.55    60.43    57.60    61.84    69.74    73.89

THU 3:00     45.08    60.36    58.20    62.10    69.88    73.87

THU OPEN     46.70    62.42    59.48    63.38    70.34    74.22

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

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