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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN
WED OPEN   8.39%  7.23%   4.42%  3.72%   2.71%  2.38%   12.23%   10.32%
TUE 3:00   7.18%  7.15%   3.55%  3.58%   2.26%  2.21%   12.62%   10.50% 
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%
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  120.00 C  117,051   -2,648   118.00 P  155,526    -366
JUL18 10Y NOTE  120.00 C  104,026   +1,623   117.50 P  112,834  +3,834 
JUN18 5Y NOTE   113.50 C   45,159      +57   105.50 P  156,003    UNCH
JUL18 5Y NOTE   113.00 C   59,788     -905   112.25 P   26,929  +1,904
JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    UNCH
JUL18 2Y NOTE   106.37 C  112,511     UNCH   105.50 P    6,013    UNCH
JUN18 EURODLR    98.00 C  387,011     UNCH    97.50 P  558,022    UNCH
JUL18 EURODLR    97.75 C  110,160     +500    97.37 P  107,415    +550
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  477,263  +1,850
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  145,811    UNCH
     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  119.00 C   45,077   +5,004   119.00 P   95,666  +1,350
JUN18 10Y NOTE  119.50 C   66,503   -1,436   119.50 P   78,333    -677
JUL18 10Y NOTE  119.00 C   54,676   +2,838   119.00 P   25,431    -440
JUL18 10Y NOTE  119.50 C   96,066   +5,694   119.50 P    9,383    UNCH
JUN18 5Y NOTE   113.00 C    7,715     +508   113.00 P   36,144  -1,155
JUN18 5Y NOTE   113.50 C   45,159      +57   113.50 P   34,919    UNCH
JUL18 5Y NOTE   113.00 C   59,788     -905   113.00 P   22,909      +9
JUL18 5Y NOTE   113.50 C   23,984      -30   113.50 P    5,779    UNCH
JUN18 2Y NOTE   106.00 C    6,542     UNCH   106.00 P    2,858    -396
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  351,599   +4,514    97.75 P  379,522    +673
JUN18 EURODLR    97.87 C  381,238     -100    97.87 P  319,338    UNCH
JUL18 EURODLR    97.50 C   30,206      +51    97.50 P  100,246    UNCH
JUL18 EURODLR    97.62 C   67,366     +600    97.62 P   44,198    UNCH
JUN19 1Y-MIDC    97.37 C  155,209   +2,050    97.37 P  257,719    UNCH
JUN19 1Y-MIDC    97.50 C  192,214      -40    97.50 P  122,685    UNCH
JUN20 2Y-MIDC    97.00 C   38,455     -100    97.00 P   86,353  -2,600
JUN20 2Y-MIDC    97.12 C   75,005     UNCH    97.12 P  104,144    UNCH
JUN21 3Y-MIDC    96.87 C   19,855     +250    96.87 P   54,276    -500
JUN21 3Y-MIDC    97.00 C   64,186     +850    97.00 P   68,929    UNCH
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUN18 10Y NOTE PUT/CALL RATIO  -- 0.63 (75,228 PUTS VS. 118,858 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO  -- 1.19 (71,018 PUTS VS. 59,752 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO   -- 0.31 (5,837 PUTS VS. 19,137 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 1.65 (12,368 PUTS VS. 7,500 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO   -- 0.00 (1,894 PUTS VS. 0 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 300 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 0.76 (10,820 PUTS VS. 14,262 CALLS)
JUL18 EURODLRS PUT/CALL RATIO  -- 1.00 (1,360 PUTS VS. 1,360 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.29 (4,000 PUTS VS. 3,100 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (8,000 PUTS VS. 0 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 1.50 (1,500 PUTS VS. 1,000 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     43.63    58.77    57.04    60.42    69.38    73.25
TUE 3:00     43.53    59.31    56.77    60.41    69.62    73.42
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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