US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 9

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

            USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

3:00       7.53%  6.93%   3.61%  3.42%   2.14%  2.13%   12.26%   9.58%

10:40      7.64%  7.16%   3.66%  3.56%   2.21%  2.20%   11.75%   9.56% 

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%

     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

3:00         40.88    55.96    54.41    58.81    68.19    73.04

10:40        41.12    56.87    54.85    59.25    68.28    73.07

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

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

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