US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 22

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

MON OPEN    6.62%  6.00%   3.82%  3.45%   2.49%  2.29%   8.60%   5.43%

THU 1:00    5.10%  5.72%   3.00%  3.33%   1.90%  2.20%   7.44%   6.80%

THU OPEN    5.45%  5.80%   3.16%  3.35%   2.05%  2.25%   6.65%   6.30%

WED 3:00    5.60%  5.85%   3.17%  3.34%   1.95%  2.17%   6.90%   6.30%

WED OPEN    5.81%  5.88%   3.22%  3.36%   2.11%  2.22%   7.05%   6.20%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  142,655   +6,132   123.00 P  110,465    +182

JUN19 10Y NOTE  124.50 C  116,470   -8,766   122.50 P  152,262    +485

MAY19 5Y NOTE   116.25 C   55,886   -2,064   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   51,929   -2,504   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.37 C    8,859   +1,650   106.25 P   16,951    UNCH

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   55,968    -719

MAY19 EURODLR    97.37 C   45,561     -100    97.25 P   64,254    UNCH

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

JUN19 1Y-MIDC    98.00 C  181,770     -181    97.62 P  173,853     +50

JUN20 2Y-MIDC    97.75 C   88,628     UNCH    97.50 P  107,009  -1,525

JUN21 3Y-MIDC    97.75 C   92,407   -1,000    97.62 P   85,057    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   45,980     +692   122.50 P   88,182  -5,709

MAY19 10Y NOTE  123.00 C  130,604   +3,198   123.00 P  110,465    +182

JUN19 10Y NOTE  122.50 C   26,167     -564   122.50 P  152,262    +485

JUN19 10Y NOTE  123.00 C   61,407   +2,141   123.00 P   82,893 -10,704

MAY19 5Y NOTE   115.00 C   29,219       -7   115.00 P   61,219  -2,595

MAY19 5Y NOTE   115.25 C   27,148   -1,504   115.25 P   35,378  -1,001

JUN19 5Y NOTE   115.00 C   12,461     -253   115.00 P   73,902     -57

JUN19 5Y NOTE   115.25 C   35,641   +1,005   115.25 P   42,087     -51

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

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

JUN19 2Y NOTE   106.50 C   15,241      +15   106.50 P   14,982    UNCH

JUN19 2Y NOTE   106.62 C    8,131     UNCH   106.62 P    2,765    UNCH

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

MAY19 EURODLR    97.37 C   45,561     -100    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  259,720     UNCH    97.25 P  299,144  +4,250

JUN19 EURODLR    97.37 C  397,787     UNCH    97.37 P  246,631  +1,900

JUN20 1Y-MIDC    97.50 C   77,284   -1,148    97.50 P  148,382    UNCH

JUN20 1Y-MIDC    97.62 C   63,764     +100    97.62 P  173,853     +50

JUN21 2Y-MIDC    97.62 C   27,639     UNCH    97.62 P   32,106  -1,100

JUN21 2Y-MIDC    97.75 C   88,628     UNCH    97.75 P   70,431    UNCH

JUN22 3Y-MIDC    97.62 C   17,291     UNCH    97.62 P   85,057    UNCH

JUN22 3Y-MIDC    97.75 C   92,407   -1,000    97.75 P   49,100    +783

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.11 (102,046 PUTS VS. 91,792 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.39 (110,694 PUTS VS. 79,570 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.22 (26,085 PUTS VS. 21,228 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.55 (17,185 PUTS VS. 30,848 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 1.09 (3,450 PUTS VS. 3,100 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 3.58 (4,374 PUTS VS. 1,277 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 1.00 (100 PUTS VS. 100 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 6.38 (13,422 PUTS VS. 2,101 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.30 (4,669 PUTS VS. 15,196 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 4.05 (6,950 PUTS VS. 1,700 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 10.7 (21,499 PUTS VS. 2,000 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    48.79    52.03    55.00    52.66    57.66     62.25

Thu 1:00    48.60    51.06    54.55    52.36    57.37     62.14

Thu Open    48.25    51.95    54.15    52.10    57.32     62.18

Wed 3:00    48.25    51.85    54.11    52.08    57.34     62.18

Wed Open    48.22    51.57    53.91    51.73    57.66     62.62

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

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

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