US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 12

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

FRI 3:00    5.31%  5.61%   3.09%  3.24%   2.00%  2.15%    N/A    5.50%

1:30        5.29%  5.58%   3.07%  3.24%   1.96%  2.12%    N/A    5.50%

10:45       5.21%  5.51%   3.05%  3.17%   1.95%  2.12%    N/A    5.50%

FRI OPEN    5.40%  5.64%   3.10%  3.22%   1.96%  2.12%    N/A    5.88%

THU 3:00    5.18%  5.60%   2.90%  3.14%   1.90%  2.07%    N/A    8.44%

THU OPEN    5.49%  5.70%   3.02%  3.15%   1.99%  2.14%    N/A    7.85%

WED 3:00    5.55%  5.80%   3.08%  3.23%   2.03%  2.19%    N/A    8.71%

WED OPEN    5.70%  5.90%   3.20%  3.30%   2.15%  2.21%    N/A    8.35%

TUE 3:00    5.80%  5.98%   3.24%  3.34%   2.18%  2.24%    N/A    8.44%

TUE OPEN    5.99%  6.08%   3.23%  3.34%   2.17%  2.25%    N/A    8.45%

FRI 3:00    5.79%  6.07%   3.13%  3.36%   2.11%  2.24%   13.25%  4.65%

FRI OPEN    6.05%  6.16%   3.34%  3.45%   2.27%  2.30%   12.98%  8.80%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C   97,174   -2,330   123.00 P  103,820    -759

JUN19 10Y NOTE  124.50 C  101,265   +2,048   122.50 P  118,682  +4,840

MAY19 5Y NOTE   116.25 C   58,637      -16   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   51,737   -3,815   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.75 C    8,392     UNCH   106.25 P   16,780    UNCH

JUN19 2Y NOTE   106.75 C   15,568   -1,488   106.25 P   58,802    UNCH

APR19 EURODLR    97.37 C  162,305     +667    97.37 P   80,817    +784

JUN19 EURODLR    97.62 C  432,698  +66,836    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  186,975     -734    97.62 P  159,608  +8,374

JUN20 2Y-MIDC    97.75 C   85,887     UNCH    97.50 P  113,818    +250

JUN21 3Y-MIDC    97.75 C   92,993     -300    97.62 P   83,857  +1,652

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   58,619     -465   123.50 P   65,743  +2,789

MAY19 10Y NOTE  124.00 C   97,174   -2,330   124.00 P   37,191    -163

JUN19 10Y NOTE  123.50 C   37,835     -920   123.50 P   78,408  -1,436

JUN19 10Y NOTE  124.00 C   53,007   +2,752   124.00 P   20,900      +8

MAY19 5Y NOTE   115.25 C   16,985       +3   115.25 P   45,561  +3,423

MAY19 5Y NOTE   115.50 C   49,818     -949   115.50 P   25,722  -1,266

JUN19 5Y NOTE   115.25 C   12,023       +1   115.25 P   39,904    -300

JUN19 5Y NOTE   115.50 C   17,551     +212   115.50 P   33,817    -174

MAY19 2Y NOTE   106.50 C    8,024     +101   106.50 P    3,302    UNCH

MAY19 2Y NOTE   106.62 C    6,892     UNCH   106.62 P    6,265    UNCH

JUN19 2Y NOTE   106.50 C   15,404     UNCH   106.50 P   14,897    UNCH

JUN19 2Y NOTE   106.62 C    8,130      -46   106.62 P    3,242    UNCH

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

APR19 EURODLR    97.37 C  162,305     +667    97.37 P   80,817    +784

JUN19 EURODLR    97.25 C  259,470   -1,250    97.25 P  293,694    -700

JUN19 EURODLR    97.37 C  398,768   -3,366    97.37 P  243,001    -755

JUN20 1Y-MIDC    97.50 C   75,122     UNCH    97.50 P  137,678  -3,157

JUN20 1Y-MIDC    97.62 C   57,282   +1,400    97.62 P  159,608  +8,374

JUN21 2Y-MIDC    97.62 C   26,842     UNCH    97.62 P   30,468    UNCH

JUN21 2Y-MIDC    97.75 C   85,887     UNCH    97.75 P   66,565  +9,674

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   83,857  +1,652

JUN22 3Y-MIDC    97.75 C   92,993     -300    97.75 P   48,217  -9,617

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.34 (78,749 PUTS VS. 58,584 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.23 (57,339 PUTS VS. 46,502 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 2.89 (24,608 PUTS VS. 8,499 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.84 (25,045 PUTS VS. 29,765 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.59 (565 PUTS VS. 956 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.22 (1,357 PUTS VS. 5,408 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 1.00 (2,000 PUTS VS. 2,000 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.15 (34,750 PUTS VS. 232,614 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 6.37 (51,077 PUTS VS. 8,015 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (21,987 PUTS VS. 0 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 67.2 (50,411 PUTS VS. 750 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    48.56    49.60    53.88    51.27    58.39     63.97

1:30        48.49    49.59    53.79    51.27    58.39     63.98

10:45       48.34    49.43    53.65    51.17    58.29     63.94

Fri Open    48.42    48.84    53.52    50.82    58.16     63.99

Thu 3:00    48.60    48.93    53.47    50.73    58.07     63.99

Thu Open    49.94    49.95    54.10    51.62    58.19     64.05

Wed 3:00    49.82    50.65    54.12    51.65    57.98     63.75

Wed Open    49.50    51.08    54.43    52.04    58.13     63.66

Tue 3:00    49.28    50.66    53.99    51.69    57.68     63.57

Tue Open    49.24    50.40    53.72    51.48    57.63     63.57

Fri 3:00    53.44    51.17    55.27    53.04    58.23     64.05

Fri Open    54.52    53.41    56.41    54.24    58.53     64.37

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

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