US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 17

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

TUE 3:00    5.82%  5.87%   3.22%  3.34%   2.19%  2.21%   6.80%   5.92%

TUE OPEN    5.61%  5.67%   3.11%  3.25%   2.06%  2.14%   7.22%   5.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  133,814   -1,410   123.00 P  113,443  +3,562

JUN19 10Y NOTE  124.50 C  126,226     -594   122.50 P  154,729  +4,336

MAY19 5Y NOTE   116.25 C   57,951     -167   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   51,017   +4,394   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.75 C    8,391       -1   106.25 P   16,986  +2,114

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   56,964  -1,837

MAY19 EURODLR    97.37 C   45,761     +244    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  451,089   +1,500    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  182,251     -472    97.62 P  173,599    +604

JUN20 2Y-MIDC    97.75 C   88,628     +941    97.50 P  113,923    UNCH

JUN21 3Y-MIDC    97.75 C   93,532      -85    97.62 P   85,307  +1,250

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   44,689   +2,810   122.50 P   93,671  -5,955

MAY19 10Y NOTE  123.00 C  125,078   +4,391   123.00 P  113,443  +3,562

JUN19 10Y NOTE  122.50 C   24,526     +695   122.50 P  154,729  +4,336

JUN19 10Y NOTE  123.00 C   57,483   +4,268   123.00 P   93,003  +4,753

MAY19 5Y NOTE   115.00 C   28,847     +640   115.00 P   82,311  +8,654

MAY19 5Y NOTE   115.25 C   28,324   +3,254   115.25 P   37,040  -2,259

JUN19 5Y NOTE   115.00 C    9,175     +538   115.00 P   64,029  -1,611

JUN19 5Y NOTE   115.25 C   34,491     UNCH   115.25 P   41,940    +100

MAY19 2Y NOTE   106.50 C    7,321     UNCH   106.50 P    3,301      -1

MAY19 2Y NOTE   106.62 C    6,890       -1   106.62 P    6,199    UNCH

JUN19 2Y NOTE   106.50 C   15,340     UNCH   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   45,761     +244    97.37 P   47,223  -1,850

JUN19 EURODLR    97.25 C  259,720     UNCH    97.25 P  294,894  +1,000

JUN19 EURODLR    97.37 C  397,787     UNCH    97.37 P  246,826    +500

JUN20 1Y-MIDC    97.50 C   78,432     +600    97.50 P  148,387  +1,426

JUN20 1Y-MIDC    97.62 C   60,646   +3,324    97.62 P  173,599    +604

JUN21 2Y-MIDC    97.62 C   27,752     UNCH    97.62 P   33,206  +1,828

JUN21 2Y-MIDC    97.75 C   88,628     +941    97.75 P   70,431    -500

JUN22 3Y-MIDC    97.62 C   15,691   +1,592    97.62 P   85,307  +1,250

JUN22 3Y-MIDC    97.75 C   93,532      -85    97.75 P   47,717    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 2.52 (136,302 PUTS VS. 53,932 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.38 (124,989 PUTS VS. 90,465 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.60 (47,918 PUTS VS. 29,901 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.39 (35,572 PUTS VS. 25,534 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 64.8 (6,611 PUTS VS. 102 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 2.33 (9,881 PUTS VS. 4,197 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 1.00 (2,451 PUTS VS. 2,450 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 1.13 (2,500 PUTS VS. 2,250 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (22,544 PUTS VS. 21,800 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.80 (8,032 PUTS VS. 10,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.16 (23,600 PUTS VS. 20,375 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

Tue 3:00    48.03    51.38    53.88    51.57    57.75     62.71

Tue Open    47.69    50.46    53.51    51.18    57.97     63.23

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

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

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