US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 2

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

MON 3:00    6.42%  6.59%   3.71%  3.70%   2.59%  2.57%   15.30%  9.15%

MON OPEN    6.81%  6.81%   3.97%  3.83%   2.74%  2.66%   13.55%  11.01%

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   85,905   -2,152   122.50 P   87,433    +451

JUN19 10Y NOTE  124.50 C   63,695   -3,311   122.50 P  103,003  +8,666

MAY19 5Y NOTE   115.50 C   51,178     -307   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   45,285   +9,493   108.25 P  151,557    UNCH

MAY19 2Y NOTE   106.50 C   16,205      +36   106.25 P   18,692    +730

JUN19 2Y NOTE   106.50 C   15,450       +3   106.25 P   55,467  +9,391

APR19 EURODLR    97.37 C  161,045     UNCH    97.37 P   79,613    UNCH

JUN19 EURODLR    97.37 C  491,437     -500    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  178,416   +2,019    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   85,971     -182    97.50 P  107,537    +548

JUN21 3Y-MIDC    97.75 C  101,395   +1,225    97.62 P   83,167  +1,858

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   85,905   -2,152   124.50 P   22,204    -549

MAY19 10Y NOTE  125.00 C   69,562   +2,343   125.00 P    1,124     -78

JUN19 10Y NOTE  124.50 C   63,695   -3,311   124.50 P   22,849    +677

JUN19 10Y NOTE  125.00 C   47,273   +6,090   125.00 P   10,374    +551

MAY19 5Y NOTE   116.00 C   41,274     +824   116.00 P   22,445    UNCH

MAY19 5Y NOTE   116.25 C   43,724     -115   116.25 P   10,471      -2

JUN19 5Y NOTE   116.00 C   21,118     +293   116.00 P   14,950      -4

JUN19 5Y NOTE   116.25 C   26,760     +256   116.25 P    2,931      +4

MAY19 2Y NOTE   106.62 C    6,798       -1   106.62 P    7,515  -1,251

MAY19 2Y NOTE   106.75 C    8,393     -249   106.75 P      131    UNCH

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

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

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

APR19 EURODLR    97.37 C  161,045     UNCH    97.37 P   79,613    UNCH

JUN19 EURODLR    97.25 C  295,638     UNCH    97.25 P  296,444  +1,761

JUN19 EURODLR    97.37 C  491,437     -500    97.37 P  228,977  +8,000

JUN20 1Y-MIDC    97.50 C   75,327     UNCH    97.50 P  128,142  +8,013

JUN20 1Y-MIDC    97.62 C   54,867     +300    97.62 P  118,022  +5,778

JUN21 2Y-MIDC    97.62 C   26,155     +483    97.62 P   28,474    UNCH

JUN21 2Y-MIDC    97.75 C   85,971     -182    97.75 P   41,793    +700

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   83,167  +1,858

JUN22 3Y-MIDC    97.75 C  101,395   +1,225    97.75 P   54,090  +2,479

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.14 (140,217 PUTS VS. 122,017 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.19 (122,591 PUTS VS. 102,351 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 2.30 (41,722 PUTS VS. 18,180 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.04 (41,074 PUTS VS. 39,379 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 5.27 (5,823 PUTS VS. 1,146 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 25.3 (45,785 PUTS VS. 1,793 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 28,964 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.69 (29,969 PUTS VS. 43,132 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.25 (79,235 PUTS VS. 63,259 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.23 (2,610 PUTS VS. 2,099 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.96 (2,896 PUTS VS. 2,920 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    55.43    55.65    57.58    54.91    60.51     66.81

Mon Open    59.19    59.23    60.11    57.05    61.19     67.21

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$]