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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM
WED OPEN   7.63%  7.23%   3.82%  3.60%   2.25%  2.20%   11.46%  10.35%
TUE 3:00   7.29%  7.05%   3.50%  3.46%   2.13%  2.08%   12.96%   9.84%
TUE OPEN   6.91%  6.90%   3.37%  3.34%   2.01%  1.99%   13.83%  10.20%
MON 3:00   7.00%  7.02%   3.40%  3.55%   2.06%  2.15%   12.60%  10.58%
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% 
     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN18 10Y NOTE  120.00 C  129,581   +3,335   119.00 P  177,231  +5,207
JUL18 10Y NOTE  120.00 C   53,248     +554   118.00 P   49,039  +1,507 
JUN18 5Y NOTE   113.50 C   38,701   +2,222   105.50 P  156,003    UNCH
JUL18 5Y NOTE   113.50 C   16,451     +953   113.00 P   21,884    UNCH
JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,215    UNCH
JUL18 2Y NOTE   106.25 C  107,400  +44,500   105.50 P    6,012    UNCH
MAY18 EURODLR    97.87 C  139,198     UNCH    97.62 P  202,933  -8,047
JUN18 EURODLR    98.00 C  386,828     +206    97.50 P  574,392 -11,846
JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  503,907  -7,600
JUN20 2Y-MIDC    97.37 C  152,294   +4,100    96.75 P  177,952    -550
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   17,830       -5   119.00 P  177,231  +5,207
JUN18 10Y NOTE  119.50 C   36,064     +110   119.50 P   99,560  +1,633
JUL18 10Y NOTE  119.00 C   11,410     -495   119.00 P   19,142   -593
JUL18 10Y NOTE  119.50 C   16,526   +2,401   119.50 P    8,635  +1,008
JUN18 5Y NOTE   113.00 C    8,057       -1   113.00 P   57,795    -185
JUN18 5Y NOTE   113.50 C   38,701   +2,222   113.50 P   45,399    +513
JUL18 5Y NOTE   113.00 C    9,430      -59   113.00 P   21,884    UNCH
JUL18 5Y NOTE   113.50 C   16,451     +953   113.50 P    6,090      -7
JUN18 2Y NOTE   106.00 C      938     UNCH   106.00 P    3,405     +79
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     UNCH    97.75 P   80,559    UNCH
MAY18 EURODLR    97.87 C  139,198     UNCH    97.87 P   11,222    UNCH
JUN18 EURODLR    97.75 C  361,203     -465    97.75 P  405,699    -400
JUN18 EURODLR    97.87 C  386,539     +150    97.87 P  371,767    UNCH 
JUN19 1Y-MIDC    97.37 C  158,818     UNCH    97.37 P  300,719    UNCH
JUN19 1Y-MIDC    97.50 C  198,479     UNCH    97.50 P  123,935    UNCH
JUN20 2Y-MIDC    97.00 C   25,085     +280    97.00 P   88,902    -910
JUN20 2Y-MIDC    97.12 C   64,066   +3,243    97.12 P  103,894    UNCH
JUN21 3Y-MIDC    96.87 C   13,573     +220    96.87 P   54,813    +131
JUN21 3Y-MIDC    97.00 C   52,634     UNCH    97.00 P   70,207    -250
     PUT/CALL RATIO FOR VOLUME CLEARED:
     JUN18 10Y NOTE PUT/CALL RATIO  -- 2.77 (236,663 PUTS VS. 85,429 CALLS)
JUL18 10Y NOTE PUT/CALL RATIO  -- 1.22 (35,252 PUTS VS. 28,828 CALLS)
JUN18 5Y NOTE PUT/CALL RATIO   -- 1.42 (15,526 PUTS VS. 10,944 CALLS)
JUL18 5Y NOTE PUT/CALL RATIO   -- 0.42 (7,120 PUTS VS. 16,916 CALLS)
JUN18 2Y NOTE PUT/CALL RATIO   -- 0.19 (136 PUTS VS. 700 CALLS)
JUL18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 89,004 CALLS)
MAY18 EURODLRS PUT/CALL RATIO  -- 1.93 (31,950 PUTS VS. 16,542 CALLS)
JUN18 EURODLRS PUT/CALL RATIO  -- 2.47 (87,368 PUTS VS. 35,442 CALLS)
JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 174.3 (26,150 PUTS VS. 150 CALLS)
JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.47 (7,340 PUTS VS. 15,650 CALLS)
JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 3.78 (25,150 PUTS VS. 6,650 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 OPEN     41.28    56.61    55.03    59.39    68.33    73.23
TUE 3:00     40.81    56.46    54.31    58.45    67.93    72.92
Tue Open     40.80    55.66    53.92    58.21    67.70    72.95
Mon 3:00     40.73    55.27    53.65    58.19    67.78    72.82
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
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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