US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 3

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

THU OPEN   6.74%   6.70%  3.45%   3.45%  2.09%  2.13%   12.30%  11.15%

WED 3:00   6.85%   6.28%  3.57%   3.70%  2.06%  2.19%   10.02%  10.33%

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  120,466   +1,666   119.00 P  158,916  +2,775

JUL18 10Y NOTE  120.00 C   33,599   +2,016   118.00 P   56,465 +14,687 

JUN18 5Y NOTE   113.50 C   34,604   +2,998   105.50 P  156,003    UNCH

JUL18 5Y NOTE   114.25 C   10,970     UNCH   113.00 P   21,569  +5,455

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,216      -7

JUL18 2Y NOTE   106.37 C   59,501  +54,900   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  139,198     UNCH    97.62 P  215,709 +17,374

JUN18 EURODLR    97.87 C  391,780   -1,000    97.50 P  583,075  -8,746

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  558,068 -71,781

JUN20 2Y-MIDC    97.37 C  144,194     -500    96.75 P  198,933 -19,994

JUN21 3Y-MIDC    97.25 C  197,873     UNCH    96.62 P  150,186    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   17,765      -25   119.00 P  158,916  +2,775

JUN18 10Y NOTE  119.50 C   35,928   +1,286   119.50 P   97,577  +3,095

JUL18 10Y NOTE  119.00 C   11,625   +1,201   119.00 P   15,463  +1,603

JUL18 10Y NOTE  119.50 C    7,822     +691   119.50 P    3,747    +100

JUN18 5Y NOTE   113.00 C    8,049   +7,863   113.00 P   51,518  +1,393

JUN18 5Y NOTE   113.50 C   34,604   +2,998   113.50 P   42,581     +78

JUL18 5Y NOTE   113.00 C    9,430   +1,654   113.00 P   21,569  +5,455

JUL18 5Y NOTE   113.50 C    7,803     +728   113.50 P    5,086      -1

JUN18 2Y NOTE   106.00 C      906       -3   106.00 P    3,567    -609

JUN18 2Y NOTE   106.12 C    8,292      +58   106.12 P   30,216      -7

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    UNCH

MAY18 EURODLR    97.87 C  139,198   -1,146    97.87 P   11,873  -1,234

JUN18 EURODLR    97.75 C  353,057      +25    97.75 P  405,699  +2,350

JUN18 EURODLR    97.87 C  391,780   -1,000    97.87 P  371,867    UNCH 

JUN19 1Y-MIDC    97.37 C  150,718  +11,325    97.37 P  309,969 -25,500

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

JUN20 2Y-MIDC    97.00 C   25,178     -550    97.00 P  109,729  +3,800

JUN20 2Y-MIDC    97.12 C   59,427     +225    97.12 P  104,798  -2,000

JUN21 3Y-MIDC    96.87 C   13,284     UNCH    96.87 P   54,778    -250

JUN21 3Y-MIDC    97.00 C  108,545     UNCH    97.00 P   75,239    -100

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO   -- 1.59 (138,584 PUTS VS. 87,354 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO   -- 3.33 (48,527 PUTS VS. 14,552 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO    -- 0.63 (31,394 PUTS VS. 49,443 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO    -- 0.93 (9,599 PUTS VS. 10,359 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO    -- 1.61 (1,073 PUTS VS. 668 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 113,779 CALLS)

MAY18 EURODLRS PUT/CALL RATIO   -- 8.78 (25,677 PUTS VS. 2,925 CALLS)

JUN18 EURODLRS PUT/CALL RATIO   -- 1.92 (47,437 PUTS VS. 24,643 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO -- 16.4 (311,400 PUTS VS. 19,025 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO -- 2.02 (52,500 PUTS VS. 26,000 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO -- 0.12 (4,600 PUTS VS. 37,950 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

THU OPEN     41.45    56.10    54.21    59.12    68.26    73.12

WED 3:00     41.71    56.04    54.30    59.11    68.43    73.19

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$]