US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 31

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

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

3:00       7.66%   7.44%    4.34%   4.12%   3.01%   2.76%   15.52%   16.28%

11:00      7.39%   7.44%    4.19%   4.10%   2.95%   2.72%   16.97%   16.66%

THU OPEN   7.53%   7.40%    4.26%   4.07%   3.96%   2.70%   17.48%   15.69%

WED 3:00   7.74%   7.61%    4.35%   4.16%   3.07%   2.81%   17.22%   16.48%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.00 C  104,289     +353   118.00 P  128,909 -13,373

SEP18 10Y NOTE  121.00 C   37,567     +342   117.00 P   46,343  +5,100

JUL18 5Y NOTE   114.25 C   56,740  +10,772   113.00 P   37,312  +2,933

SEP18 5Y NOTE   113.50 C   17,431     -311   106.25 P   90,263 +18,007

JUL18 2Y NOTE   106.37 C  121,332   +2,100   105.67 P    7,382    UNCH

SEP18 2Y NOTE   108.25 C    2,302   +2,300   106.00 P   11,153 +10,940

JUN18 EURODLR    98.00 C  375,361  -11,150    97.50 P  514,696 -42,554

JUL18 EURODLR    97.75 C  109,199   +2,650    97.37 P  111,898    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  426,805 -24,324

JUN20 2Y-MIDC    97.37 C  151,032     UNCH    97.37 P  164,552     -50

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   59,237   -5,394   119.00 P   85,642  -3,096

JUL18 10Y NOTE  119.50 C   72,743     -936   119.50 P   54,206 +14,315

SEP18 10Y NOTE  119.00 C   20,917   -1,323   119.00 P   27,358  +2,230

SEP18 10Y NOTE  119.50 C   16,314     -333   119.50 P   14,622     +15

JUL18 5Y NOTE   113.00 C   54,222      -65   113.00 P   37,312  +2,933

JUL18 5Y NOTE   113.50 C   33,143   -2,288   113.50 P   18,628  +3,869

SEP18 5Y NOTE   113.00 C    5,594      -97   113.00 P    7,073    +246

SEP18 5Y NOTE   113.50 C   17,431     -311   113.50 P    5,341  +3,618

JUL18 2Y NOTE   106.00 C    1,076     UNCH   106.00 P    2,644    UNCH

JUL18 2Y NOTE   106.12 C   30,657     -500   106.12 P      201    UNCH

SEP18 2Y NOTE   106.00 C      104     UNCH   106.00 P   11,153 +10,940

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

JUN18 EURODLR    97.75 C  351,495   +1,780    97.75 P  374,929      -2

JUN18 EURODLR    97.87 C  361,647     +100    97.87 P  317,917    UNCH

JUL18 EURODLR    97.50 C   31,807   +2,950    97.50 P   86,734    +964

JUL18 EURODLR    97.62 C   55,346   -6,810    97.62 P   42,733    UNCH

JUN19 1Y-MIDC    97.37 C  153,225  -15,274    97.37 P  226,532  -6,131

JUN19 1Y-MIDC    97.50 C  188,892   +4,436    97.50 P  122,585    UNCH

JUN20 2Y-MIDC    97.00 C   47,161     -100    97.00 P   88,049  -3,414

JUN20 2Y-MIDC    97.12 C   78,301   +3,210    97.12 P  102,240  -1,774

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

JUN21 3Y-MIDC    97.00 C   63,061     -585    97.00 P   70,838  +1,971

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUL18 10Y NOTE PUT/CALL RATIO  -- 0.72 (204,558 PUTS VS. 285,722 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.53 (87,184 PUTS VS. 163,641 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.42 (39,214 PUTS VS. 93,578 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 3.12 (99,041 PUTS VS. 31,859 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.01 (54 PUTS VS. 11,976 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 6.73 (22,343 PUTS VS. 3,322 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 2.37 (108,305 PUTS VS. 45,724 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.08 (4,170 PUTS VS. 50,880 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.00 (110,581 PUTS VS. 110,200 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.91 (15,800 PUTS VS. 17,300 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 2.14 (10,110 PUTS VS. 4,731 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         54.01    65.92    66.15    65.96    71.40    74.90

11:00        53.59    65.42    65.10    64.77    70.90    74.63

THU OPEN     53.92    66.02    65.69    65.17    71.06    74.69

WED 3:00     53.12    68.79    65.95    66.24    70.82    74.30

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

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

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