US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 16

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

MON 3:00    5.53%  5.62%   3.15%  3.25%   2.05%  2.14%   7.42%   6.20%

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  135,224   +3,924   123.00 P  109,881  -3,295

JUN19 10Y NOTE  124.50 C  126,820     +928   122.50 P  150,393  +7,213

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

JUN19 5Y NOTE   116.25 C   47,351      -74   108.25 P  151,203    UNCH

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

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   58,801      -1

MAY19 EURODLR    97.37 C   45,517     -100    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  449,589     +750    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  182,723     +250    97.62 P  172,995    +246

JUN20 2Y-MIDC    97.75 C   87,687     +800    97.50 P  113,923    +205

JUN21 3Y-MIDC    97.75 C   93,617     UNCH    97.62 P   84,057    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   64,323   +2,810   123.50 P   67,932    +150

MAY19 10Y NOTE  124.00 C  135,224   +3,924   124.00 P   37,249     +50

JUN19 10Y NOTE  123.50 C   59,379  +19,793   123.50 P   55,580 -22,999

JUN19 10Y NOTE  124.00 C   77,691  +21,495   124.00 P   21,375      -2

MAY19 5Y NOTE   115.25 C   25,070   +6,535   115.25 P   39,299  -1,965

MAY19 5Y NOTE   115.50 C   40,549   -1,670   115.50 P   25,093    UNCH

JUN19 5Y NOTE   115.25 C   34,491     UNCH   115.25 P   41,840    UNCH

JUN19 5Y NOTE   115.50 C   17,870   +1,352   115.50 P   33,894    +800

MAY19 2Y NOTE   106.50 C    7,321       -2   106.50 P    3,302    UNCH

MAY19 2Y NOTE   106.62 C    6,891     UNCH   106.62 P    6,199    UNCH

JUN19 2Y NOTE   106.50 C   15,344      -64   106.50 P   14,982     +86

JUN19 2Y NOTE   106.62 C    8,140     UNCH   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   45,517     -100    97.37 P   49,073    -100

JUN19 EURODLR    97.25 C  259,720     UNCH    97.25 P  293,894    UNCH

JUN19 EURODLR    97.37 C  397,787     +500    97.37 P  246,326  +2,600

JUN20 1Y-MIDC    97.50 C   77,832     +750    97.50 P  146,961  +6,376

JUN20 1Y-MIDC    97.62 C   57,322     +760    97.62 P  172,995    +246

JUN21 2Y-MIDC    97.62 C   27,752     +910    97.62 P   31,378    +910

JUN21 2Y-MIDC    97.75 C   87,687     +800    97.75 P   70,931    -700

JUN22 3Y-MIDC    97.62 C   14,099      -50    97.62 P   84,057    UNCH

JUN22 3Y-MIDC    97.75 C   93,617     UNCH    97.75 P   47,717    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.99 (77,731 PUTS VS. 78,203 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.80 (120,424 PUTS VS. 150,401 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.22 (51,615 PUTS VS. 42,244 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.88 (15,273 PUTS VS. 17,211 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 156.0 (468 PUTS VS. 3 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.40 (1,406 PUTS VS. 1,048 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.50 (101 PUTS VS. 200 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.37 (7,730 PUTS VS. 20,332 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.52 (47,504 PUTS VS. 31,160 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (4,115 PUTS VS. 10,630 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.16 (15,250 PUTS VS. 13,050 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 3:00    48.49    50.53    53.84    51.43    58.19     63.39

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$]