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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN
3:00       7.18%  7.15%   3.55%  3.58%   2.26%  2.21%   12.62%   10.50% 
11:00      8.04%  7.35%   4.10%  3.63%   2.20%  2.29%   12.03%   10.83% 
TUE OPEN   7.64%  7.35%   4.05%  3.61%   2.30%  2.25%   13.36%   11.23%
MON 3:00   8.07%  7.55%   4.00%  3.80%   2.34%  2.38%   13.04%   11.82%
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%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  120.00 C  119,699   +7,042   118.00 P  155,892 -18,853
JUL18 10Y NOTE  120.00 C  102,403   +1,934   117.50 P  108,947  +9,976 
JUN18 5Y NOTE   113.50 C   45,102   +1,037   105.50 P  156,003    UNCH
JUL18 5Y NOTE   113.00 C   60,693       -3   112.25 P   25,025    UNCH
JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    UNCH
JUL18 2Y NOTE   106.37 C  112,511     +200   105.50 P    6,013    UNCH
JUN18 EURODLR    98.00 C  387,011     UNCH    97.50 P  558,022    +445
JUL18 EURODLR    97.75 C  110,160     +500    97.37 P  106,865    UNCH
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  475,413  -1,000
JUN20 2Y-MIDC    97.37 C  152,394     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   40,073     +327   119.00 P   94,316  -6,991
JUN18 10Y NOTE  119.50 C   67,939   +1,358   119.50 P   79,010    -199
JUL18 10Y NOTE  119.00 C   51,838   +4,440   119.00 P   25,871    UNCH
JUL18 10Y NOTE  119.50 C   90,472  +16,124   119.50 P    9,383    +102
JUN18 5Y NOTE   113.00 C    7,207   -2,927   113.00 P   37,299  -3,292
JUN18 5Y NOTE   113.50 C   45,102   +1,037   113.50 P   34,919    -707
JUL18 5Y NOTE   113.00 C   60,693       -3   113.00 P   22,900    UNCH
JUL18 5Y NOTE   113.50 C   24,014     -466   113.50 P    5,779      -2
JUN18 2Y NOTE   106.00 C    6,542   +2,487   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     UNCH   106.00 P       60    UNCH
JUL18 2Y NOTE   106.12 C   40,904     UNCH   106.12 P        1    UNCH
JUN18 EURODLR    97.75 C  347,085   +2,520    97.75 P  378,849    +693
JUN18 EURODLR    97.87 C  381,338     UNCH    97.87 P  319,338      -5
JUL18 EURODLR    97.50 C   30,155     UNCH    97.50 P  100,246    UNCH
JUL18 EURODLR    97.62 C   66,766     UNCH    97.62 P   44,198    UNCH
JUN19 1Y-MIDC    97.37 C  153,159   -5,000    97.37 P  257,719    UNCH
JUN19 1Y-MIDC    97.50 C  192,254     UNCH    97.50 P  122,685  -1,000
JUN20 2Y-MIDC    97.00 C   38,555   +5,203    97.00 P   88,953    -244
JUN20 2Y-MIDC    97.12 C   75,005   +5,250    97.12 P  104,144    UNCH
JUN21 3Y-MIDC    96.87 C   19,605     UNCH    96.87 P   54,776    UNCH
JUN21 3Y-MIDC    97.00 C   63,336     UNCH    97.00 P   68,929    UNCH
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUN18 10Y NOTE PUT/CALL RATIO  -- 1.19 (143,994 PUTS VS. 121,385 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO  -- 0.76 (60,670 PUTS VS. 79,392 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO   -- 1.58 (25,648 PUTS VS. 16,196 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 2.42 (10,076 PUTS VS. 4,162 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 3,215 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 200 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 2.19 (18,726 PUTS VS. 8,550 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 3.75 (16,875 PUTS VS. 4,500 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.28 (9,200 PUTS VS. 32,450 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (222,500 PUTS VS. 0 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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
3:00         43.53    59.31    56.77    60.41    69.62    73.42
11:00        43.57    59.41    56.72    60.52    69.49    73.37
TUE OPEN     43.60    59.54    56.72    60.52    69.45    73.32
MON 3:00     43.63    59.72    56.71    60.72    69.33    73.21
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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