US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 1

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

FRI 3:00    6.84%  6.96%   3.91%  3.91%   2.83%  2.71%   12.85%  11.47%

FRI OPEN    7.01%  7.02%   4.03%  3.92%   2.86%  2.75%   14.22%  11.19%

THU 3:00    7.09%  7.03%   4.05%  3.94%   2.86%  2.75%   14.71%  11.19%

THU OPEN    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

WED 3:00    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

WED OPEN    7.18%  7.03%   4.23%  4.08%   3.01%  2.83%   16.40%  11.38%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   88,057   -1,889   122.00 P   87,406    +372

JUN19 10Y NOTE  124.50 C   67,006   +3,942   122.50 P   94,337  +4,872

MAY19 5Y NOTE   115.50 C   51,485      +36   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   35,792  +13,159   108.25 P  151,557    UNCH

MAY19 2Y NOTE   106.50 C   16,169     UNCH   106.25 P   17,962  -6,967

JUN19 2Y NOTE   106.50 C   15,447     -100   106.25 P   46,076     +14

APR19 EURODLR    97.37 C  161,045     +124    97.37 P   79,613    +522

JUN19 EURODLR    97.37 C  491,937  -17,794    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  176,397     -496    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   86,153     UNCH    97.50 P  106,989    UNCH

JUN21 3Y-MIDC    97.75 C  101,170   +1,504    97.62 P   81,309    -163

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   88,057   -1,889   124.50 P   22,753  -1,380

MAY19 10Y NOTE  125.00 C   67,219   +2,442   125.00 P    1,202     +93

JUN19 10Y NOTE  124.50 C   67,006   +3,942   124.50 P   22,172    +777

JUN19 10Y NOTE  125.00 C   41,183   +1,339   125.00 P    9,823  +1,096

MAY19 5Y NOTE   116.00 C   40,450     -248   116.00 P   22,445    UNCH

MAY19 5Y NOTE   116.25 C   43,839   +2,478   116.25 P   10,473    -228

JUN19 5Y NOTE   116.00 C   20,825   +1,117   116.00 P   14,954     +78

JUN19 5Y NOTE   116.25 C   26,504     +858   116.25 P    2,927     -84

MAY19 2Y NOTE   106.62 C    6,799   +1,801   106.62 P    8,766  -1,553

MAY19 2Y NOTE   106.75 C    8,642     UNCH   106.75 P      131    UNCH

JUN19 2Y NOTE   106.62 C    2,171       -8   106.62 P    3,242    UNCH

JUN19 2Y NOTE   106.75 C    6,572     +370   106.75 P    2,000    UNCH

APR19 EURODLR    97.25 C   93,688     -124    97.25 P   68,836    UNCH

APR19 EURODLR    97.37 C  161,045     +124    97.37 P   79,613    +522

JUN19 EURODLR    97.25 C  295,638     UNCH    97.25 P  294,683  -7,000

JUN19 EURODLR    97.37 C  491,937  -17,794    97.37 P  220,977    +694

JUN20 1Y-MIDC    97.50 C   75,327     UNCH    97.50 P  120,129  -1,419

JUN20 1Y-MIDC    97.62 C   54,567     UNCH    97.62 P  112,244 +13,077

JUN21 2Y-MIDC    97.62 C   25,672     UNCH    97.62 P   28,474    UNCH

JUN21 2Y-MIDC    97.75 C   86,153     UNCH    97.75 P   40,893    -216

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   81,309    -163

JUN22 3Y-MIDC    97.75 C  101,170   +1,504    97.75 P   51,611  +1,000

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.93 (113,884 PUTS VS. 122,400 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.80 (66,910 PUTS VS. 83,022 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.02 (39,447 PUTS VS. 38,457 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.44 (30,251 PUTS VS. 67,416 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.80 (9,425 PUTS VS. 11,716 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.69 (2,929 PUTS VS. 4,234 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.04 (1,350 PUTS VS. 28,964 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.09 (30,676 PUTS VS. 329,389 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.60 (92,339 PUTS VS. 57,655 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.01 (7,394 PUTS VS. 7,285 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.12 (4,389 PUTS VS. 3,900 CALLS)

(VOLUME, OPEN INTEREST, RATIOS 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

Fri 3:00    59.47    59.65    60.46    57.36    61.32     67.50

Fri Open    59.99    60.33    61.41    58.11    61.55     67.93

Thu 3:00    60.43    61.21    62.14    58.60    61.84     68.04

Thu Open    60.95    63.01    64.12    60.04    62.37     67.90

Wed 3:00    60.95    63.01    64.12    60.04    62.37     67.90

Wed Open    54.79    60.45    59.44    57.88    60.71     66.39

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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