US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 21

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

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

MON OPEN   7.92%  7.50%   3.83%  3.72%   2.32%  2.28%   12.71%   11.46% 

FRI 3:00   6.81%  7.21%   3.37%  3.66%   1.78%  2.18%   12.37%   10.40% 

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  116,019     UNCH   118.00 P  174,745    +552

JUL18 10Y NOTE  120.00 C   99,646   +3,095   117.50 P   98,971  +6,438 

JUN18 5Y NOTE   113.50 C   44,065   +2,877   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C   60,696     +188   112.25 P   25,025     +90

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     UNCH    97.50 P  557,577    UNCH

JUL18 EURODLR    97.75 C  109,660     +250    97.37 P  106,865    -250

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  476,413  +1,060

JUN20 2Y-MIDC    97.37 C  152,394     +100    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   39,746   -2,083   119.00 P  101,307  -5,503

JUN18 10Y NOTE  119.50 C   66,581  +21,265   119.50 P   79,209  -1,790

JUL18 10Y NOTE  119.00 C   47,398   +4,300   119.00 P   25,871    -297

JUL18 10Y NOTE  119.50 C   74,348  +18,338   119.50 P    9,281      +1

JUN18 5Y NOTE   113.00 C   10,134   +1,646   113.00 P   40,591    -305

JUN18 5Y NOTE   113.50 C   44,065   +2,877   113.50 P   35,626      -1

JUL18 5Y NOTE   113.00 C   60,696     +188   113.00 P   22,900      +1

JUL18 5Y NOTE   113.50 C   24,480   +4,806   113.50 P    5,781      -1

JUN18 2Y NOTE   106.00 C    4,055   +3,096   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    1,024     +104   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   40,904     +800   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  344,565   -6,975    97.75 P  378,156  -3,001

JUN18 EURODLR    97.87 C  381,338     UNCH    97.87 P  319,343     -50

JUL18 EURODLR    97.50 C   30,155     UNCH    97.50 P  100,246  -7,335

JUL18 EURODLR    97.62 C   66,766     +250    97.62 P   45,839    UNCH

JUN19 1Y-MIDC    97.37 C  158,159   -4,528    97.37 P  257,719    UNCH

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

JUN20 2Y-MIDC    97.00 C   33,352     -900    97.00 P   89,197  -2,000

JUN20 2Y-MIDC    97.12 C   69,755   +4,696    97.12 P  104,144    UNCH

JUN21 3Y-MIDC    96.87 C   19,605   +2,468    96.87 P   54,776    -630

JUN21 3Y-MIDC    97.00 C   63,336   +2,672    97.00 P   68,929    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 0.89 (163,064 PUTS VS. 183,343 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 0.54 (72,121 PUTS VS. 133,603 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 0.41 (12,992 PUTS VS. 31,448 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.21 (5,117 PUTS VS. 24,737 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.38 (1,658 PUTS VS. 4,324 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.14 (650 PUTS VS. 4,573 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.17 (18,726 PUTS VS. 107,457 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 11.3 (16,875 PUTS VS. 1,500 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.42 (6,600 PUTS VS. 15,600 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.71 (5,500 PUTS VS. 7,750 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.02 (500 PUTS VS. 22,250 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

MON OPEN     43.50    59.06    56.31    60.50    69.29    73.20

FRI 3:00     43.26    59.09    56.17    60.36    69.12    73.13

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

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

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