US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 7

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

9:40       6.96%   6.83%  3.43%   3.51%  2.09%  2.12%   13.76%  10.55%

MON OPEN   6.96%   6.93%  3.43%   3.47%  1.98%  2.02%   12.21%  10.54%

FRI 3:00   6.59%   6.73%  3.26%   3.43%  1.98%  2.10%   11.01%  10.74%

FRI OPEN   6.86%   6.88%  3.45%   3.40%  2.09%  2.17%   10.62%  10.75%

THU 3:00   6.80%   6.88%  3.40%   3.49%  2.11%  2.18%    7.52%   9.27%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  126,419     +876   119.00 P  174,385  +6,805

JUL18 10Y NOTE  120.00 C   35,252     +603   118.00 P   47,207  -9,614 

JUN18 5Y NOTE   113.50 C   35,512     +111   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.50 C   15,498   +2,456   113.00 P   21,860      +3

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,215    UNCH

JUL18 2Y NOTE   106.25 C   62,900     +560   105.50 P    6,012    UNCH

MAY18 EURODLR    97.87 C  139,198     UNCH    97.62 P  212,330  +4,700

JUN18 EURODLR    98.00 C  386,622     UNCH    97.50 P  584,988  +2,363

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  507,107 -34,331

JUN20 2Y-MIDC    97.37 C  144,194     UNCH    96.75 P  178,502 -19,481

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   17,934     -111   119.00 P  174,385  +6,805

JUN18 10Y NOTE  119.50 C   34,122     -728   119.50 P   95,426  -1,570

JUL18 10Y NOTE  119.00 C   11,855      +16   119.00 P   18,830  +2,328

JUL18 10Y NOTE  119.50 C   13,879   +2,698   119.50 P    7,290  +2,694

JUN18 5Y NOTE   113.00 C    8,054      -18   113.00 P   57,569  +1,128

JUN18 5Y NOTE   113.50 C   35,512     +111   113.50 P   45,469    -840

JUL18 5Y NOTE   113.00 C    9,494      +60   113.00 P   21,860      +3

JUL18 5Y NOTE   113.50 C   15,498   +2,456   113.50 P    6,098    +888

JUN18 2Y NOTE   106.00 C      938      +21   106.00 P    3,317    -250

JUN18 2Y NOTE   106.12 C    8,242     UNCH   106.12 P   30,215    UNCH

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   62,302   -2,748    97.75 P   80,559    UNCH

MAY18 EURODLR    97.87 C  139,198     UNCH    97.87 P   11,872    UNCH

JUN18 EURODLR    97.75 C  363,505   +4,596    97.75 P  405,599    -100

JUN18 EURODLR    97.87 C  386,389   +1,829    97.87 P  371,767    -100 

JUN19 1Y-MIDC    97.37 C  158,818   -1,000    97.37 P  300,719  -9,250

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

JUN20 2Y-MIDC    97.00 C   25,698     +440    97.00 P   89,612 -21,250

JUN20 2Y-MIDC    97.12 C   66,566     UNCH    97.12 P  103,894    UNCH

JUN21 3Y-MIDC    96.87 C   13,353      -31    96.87 P   55,122    +444

JUN21 3Y-MIDC    97.00 C   50,984   -2,450    97.00 P   70,457  -3,477

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN18 10Y NOTE PUT/CALL RATIO  -- 0.81 (115,270 PUTS VS. 142,264 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 2.50 (72,312 PUTS VS. 28,874 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 1.45 (30,970 PUTS VS. 21,307 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 1.01 (16,070 PUTS VS. 15,941 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 985.0 (23,637 PUTS VS. 24 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.15 (105 PUTS VS. 678 CALLS)

MAY18 EURODLRS PUT/CALL RATIO  -- 3.11 (31,726 PUTS VS. 10,204 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 1.43 (48,406 PUTS VS. 33,865 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 3.83 (86,046 PUTS VS. 22,450 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 9.03 (56,900 PUTS VS. 6,300 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.86 (7,300 PUTS VS. 8,500 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

9:40         40.42    54.84    53.44    58.03    67.49    72.87

MON OPEN     41.11    54.70    53.84    58.42    67.93    73.01 

FRI 3:00     40.86    54.45    53.60    58.18    67.94    72.74

FRI OPEN     40.99    55.69    53.82    58.54    68.01    73.09

THU 3:00     41.41    55.90    54.22    59.00    68.17    73.15

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

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

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