US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 30

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

WED 12:30  7.69%   7.57%    4.24%   4.09%   3.04%   2.75%   17.29%   16.07%

TUE 3:00   8.50%   7.98%    4.60%   4.34%   1.59%   3.01%   17.69%   18.86%

TUE 9:30   7.43%   7.25%    4.15%   3.92%   2.81%   2.57%   15.79%   15.48%

FRI 1:00   6.88%    N/A     3.37%    N/A    2.22%    N/A    13.14%   14.08%

FRI OPEN   7.00%    N/A     3.60%    N/A    2.30%    N/A    13.44%   13.53%

THU 3:00   6.77%    N/A     3.48%    N/A    2.23%    N/A    13.52%   13.11%

THU OPEN   6.92%    N/A     3.48%    N/A    2.24%    N/A    12.77%   12.03%

WED 3:00   7.13%    N/A     3.62%    N/A    2.32%    N/A    12.07%   11.42%

WED OPEN   7.23%    N/A     3.72%    N/A    2.38%    N/A    12.23%   10.32%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.00 C  103,936  -21,229   118.00 P  142,282  +1,103

SEP18 10Y NOTE  121.00 C   37,225      +37   117.00 P   41,243  +1,037

JUL18 5Y NOTE   113.00 C   54,287     -211   113.00 P   34,379  +4,471

SEP18 5Y NOTE   113.50 C   17,742       -5   106.50 P   82,397  +5,975

JUL18 2Y NOTE   106.37 C  119,232   -4,979   105.67 P    7,382  +2,025

SEP18 2Y NOTE   105.75 C    2,900     -100   105.67 P    6,057    UNCH

JUN18 EURODLR    98.00 C  386,511     UNCH    97.50 P  557,250  -1,000

JUL18 EURODLR    97.75 C  106,549  -12,166    97.37 P  111,898  -2,008

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  451,129  -6,836

JUN20 2Y-MIDC    97.37 C  151,032   -1,262    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

JUL18 10Y NOTE  119.00 C   64,631     +681   119.00 P   88,738 +47,245

JUL18 10Y NOTE  119.50 C   73,679   -2,909   119.50 P   39,891 +11,043

SEP18 10Y NOTE  119.00 C   22,240   -3,259   119.00 P   25,128  +5,185

SEP18 10Y NOTE  119.50 C   16,647   -1,576   119.50 P   14,607    +237

JUL18 5Y NOTE   113.00 C   54,287     -211   113.00 P   34,379  +4,471

JUL18 5Y NOTE   113.50 C   35,431   -2,922   113.50 P   14,759  +2,107

SEP18 5Y NOTE   113.00 C    5,691       +2   113.00 P    6,827    -256

SEP18 5Y NOTE   113.50 C   17,742       -5   113.50 P    1,723     +15

JUL18 2Y NOTE   106.00 C    1,076     +261   106.00 P    2,644  +2,584

JUL18 2Y NOTE   106.12 C   31,157  -17,247   106.12 P      201    +200

SEP18 2Y NOTE   106.00 C      104      +78   106.00 P      213    +213

SEP18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH

JUN18 EURODLR    97.75 C  349,715   +2,398    97.75 P  374,931  -3,442

JUN18 EURODLR    97.87 C  361,547  -14,867    97.87 P  317,917    +444

JUL18 EURODLR    97.50 C   28,857     UNCH    97.50 P   85,770  -1,750

JUL18 EURODLR    97.62 C   62,156   -9,499    97.62 P   42,733  -1,325

JUN19 1Y-MIDC    97.37 C  168,499   +7,712    97.37 P  232,663 -25,806

JUN19 1Y-MIDC    97.50 C  184,456   -8,208    97.50 P  122,585    +150

JUN20 2Y-MIDC    97.00 C   47,261      +94    97.00 P   91,463  +3,366

JUN20 2Y-MIDC    97.12 C   75,091   -6,731    97.12 P  104,014  +1,770

JUN21 3Y-MIDC    96.87 C   19,811     UNCH    96.87 P   54,119    -331

JUN21 3Y-MIDC    97.00 C   63,646     -100    97.00 P   68,867    +247

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.58 (323,536 PUTS VS. 559,094 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.08 (120,854 PUTS VS. 111,645 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.18 (38,461 PUTS VS. 216,558 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.82 (26,954 PUTS VS. 32,833 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.17 (15,123 PUTS VS. 87,189 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.07 (228 PUTS VS. 3,210 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.28 (32,089 PUTS VS. 114,127 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.18 (9,050 PUTS VS. 49,984 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.04 (101,350 PUTS VS. 97,050 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.46 (20,051 PUTS VS. 43,585 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.20 (2,850 PUTS VS. 14,300 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 12:30    52.91    68.40    65.71    66.03    70.80    74.19

TUE 3:00     53.51    69.41    64.58    65.45    70.26    73.66

TUE 9:30     45.85    64.81    59.00    61.80    69.59    73.54     

FRI 1:00     43.90    58.70    56.17    59.49    69.06    73.26

FRI OPEN     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   

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

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