US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 15

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

MON OPEN    5.74%  5.66%   3.35%  3.30%   2.13%  2.19%   7.75%   6.20%

FRI 3:00    5.31%  5.61%   3.09%  3.24%   2.00%  2.15%    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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  131,300  +34,126   123.00 P  113,833 +10,013

JUN19 10Y NOTE  124.50 C  125,892  +24,627   122.50 P  143,180 +24,498

MAY19 5Y NOTE   116.25 C   58,118     -519   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   47,425  +19,288   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.75 C    8,392     UNCH   106.25 P   14,872  -1,908

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

MAY19 EURODLR    97.37 C   45,617       -1    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  450,589  +17,891    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  182,473   -4,502    97.62 P  172,749 +13,141

JUN20 2Y-MIDC    97.75 C   86,887   +1,000    97.50 P  113,718    -100

JUN21 3Y-MIDC    97.75 C   93,617     +624    97.62 P   84,057    +200

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   61,513   +2,894   123.50 P   67,782  +2,039

MAY19 10Y NOTE  124.00 C  131,300  +34,126   124.00 P   37,199      +8

JUN19 10Y NOTE  123.50 C   39,486   +1,651   123.50 P   78,579    +171

JUN19 10Y NOTE  124.00 C   56,196   +3,189   124.00 P   21,377    +477

MAY19 5Y NOTE   115.25 C   18,535   +1,550   115.25 P   41,264  -4,297

MAY19 5Y NOTE   115.50 C   42,219   -7,599   115.50 P   25,093    -629

JUN19 5Y NOTE   115.25 C   34,491  +22,468   115.25 P   41,840  +2,036

JUN19 5Y NOTE   115.50 C   16,518   -1,033   115.50 P   33,094    -723

MAY19 2Y NOTE   106.50 C    7,323     -701   106.50 P    3,302    UNCH

MAY19 2Y NOTE   106.62 C    6,891       -1   106.62 P    6,199     -66

JUN19 2Y NOTE   106.50 C   15,404     UNCH   106.50 P   14,896      -1

JUN19 2Y NOTE   106.62 C    8,140      +10   106.62 P    3,242    UNCH

MAY19 EURODLR    97.25 C    6,227     UNCH    97.25 P   64,254    UNCH

MAY19 EURODLR    97.37 C   45,617       -1    97.37 P   49,173  +7,786

JUN19 EURODLR    97.25 C  259,720     +250    97.25 P  293,894    +200

JUN19 EURODLR    97.37 C  397,287   -1,481    97.37 P  243,726    +725

JUN20 1Y-MIDC    97.50 C   77,082   +1,960    97.50 P  140,585  +2,907

JUN20 1Y-MIDC    97.62 C   56,562     -720    97.62 P  172,749 +13,141

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

JUN21 2Y-MIDC    97.75 C   86,887   +1,000    97.75 P   71,631  +5,066

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   84,057    +200

JUN22 3Y-MIDC    97.75 C   93,617     +624    97.75 P   47,717    -500

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.83 (211,119 PUTS VS. 254,333 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.19 (264,307 PUTS VS. 221,349 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.03 (62,831 PUTS VS. 60,509 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.78 (82,524 PUTS VS. 105,440 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.99 (4,216 PUTS VS. 4,296 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 3.26 (4,949 PUTS VS. 1,588 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 9.63 (10,650 PUTS VS. 1,102 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.33 (27,194 PUTS VS. 81,330 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.08 (51,077 PUTS VS. 47,133 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.62 (11,334 PUTS VS. 18,077 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.23 (6,058 PUTS VS. 24,850 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

Mon Open    48.96    50.43    54.09    51.58    58.46     63.83

Fri 3:00    48.56    49.60    53.88    51.27    58.39     63.97

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

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

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