US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 25

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

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN|

FRI 10:30   N/A   7.00%    N/A   3.60%    N/A   2.30%   13.44%   13.53%

THU 3:00   7.10%  6.77%   3.38%  3.48%   2.50%  2.23%   13.52%   13.11%

THU OPEN   7.98%  6.92%   3.26%  3.48%   2.54%  2.24%   12.77%   12.03%

WED 3:00   7.61%  7.13%   4.31%  3.62%   2.65%  2.32%   12.07%   11.42%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  121.50 C  115,969     UNCH   118.00 P  151,451    UNCH

JUL18 10Y NOTE  120.00 C  116,207   +9,327   118.00 P  116,746 +32,090 

JUN18 5Y NOTE   114.50 C   36,865     -739   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C   62,317   +2,529   113.00 P   27,377     +46

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.37 C  121,611   +2,100   105.50 P    6,013    UNCH

JUN18 EURODLR    98.00 C  386,511     -500    97.50 P  557,522    UNCH

JUL18 EURODLR    97.75 C  110,160     UNCH    97.37 P  107,415    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  461,734    UNCH

JUN20 2Y-MIDC    97.37 C  152,294      -20    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   33,534   -2,698   119.00 P   88,885    -946

JUN18 10Y NOTE  119.50 C   56,996  -12,109   119.50 P   51,768 -14,124

JUL18 10Y NOTE  119.00 C   63,561   +3,783   119.00 P   36,387  +7,670

JUL18 10Y NOTE  119.50 C   85,168   -9,327   119.50 P    9,250    -129

JUN18 5Y NOTE   113.00 C    8,188       +1   113.00 P   28,678  -1,305

JUN18 5Y NOTE   113.50 C   35,819   -5,338   113.50 P   27,909  -3,229

JUL18 5Y NOTE   113.00 C   61,961     -356   113.00 P   27,377     +46

JUL18 5Y NOTE   113.50 C   28,522      -76   113.50 P    5,339     -37

JUN18 2Y NOTE   106.00 C    6,542     UNCH   106.00 P    2,555    -303

JUN18 2Y NOTE   106.12 C    6,874      +63   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.00 C    1,015     -109   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   43,904   +1,200   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  347,317     -706    97.75 P  378,272  -1,050

JUN18 EURODLR    97.87 C  377,364   -4,663    97.87 P  317,473  -1,000

JUL18 EURODLR    97.50 C   29,907     -299    97.50 P   87,770 -12,226

JUL18 EURODLR    97.62 C   68,057     +691    97.62 P   44,183     -15

JUN19 1Y-MIDC    97.37 C  158,937   +3,728    97.37 P  257,719    UNCH

JUN19 1Y-MIDC    97.50 C  192,664     +450    97.50 P  122,435    -250

JUN20 2Y-MIDC    97.00 C   43,917   +4,125    97.00 P   83,737  -2,816

JUN20 2Y-MIDC    97.12 C   79,597   +3,679    97.12 P  102,244  -1,900

JUN21 3Y-MIDC    96.87 C   19,406     -449    96.87 P   54,450    UNCH

JUN21 3Y-MIDC    97.00 C   63,552   -1,766    97.00 P   68,929    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 0.60 (106,969 PUTS VS. 177,212 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 0.59 (119,080 PUTS VS. 202,002 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 0.68 (27,866 PUTS VS. 40,882 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.45 (16,223 PUTS VS. 36,438 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 0.40 (1,292 PUTS VS. 3,241 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.09 (635 PUTS VS. 6,835 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 2.42 (68,645 PUTS VS. 28,342 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.44 (13,695 PUTS VS. 31,265 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 5.52 (76,700 PUTS VS. 13,901 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 28.9 (60,625 PUTS VS. 2,100 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (500 PUTS VS. 500 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

FRI 10:00    43.95    58.69    55.96    59.33    68.97    73.13

THU 3:00     43.57    57.80    55.69    59.51    68.75    73.06

THU OPEN     43.71    58.71    56.03    59.82    69.03    73.20

WED 3:00     43.81    58.37    56.07    60.12    69.18    73.16

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

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

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