US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 23

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

1:15        6.90%  6.02%   3.89%  3.48%   2.65%  2.32%   11.15%  7.67%

10:30       6.88%  6.05%   3.75%  3.45%   2.57%  2.30%   10.55%  7.26%

TUE OPEN    6.65%  6.07%   3.58%  3.42%   2.45%  2.29%   9.25%   6.56%

MON 3:00    6.65%  6.07%   3.58%  3.42%   2.45%  2.29%   9.25%   6.56%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  144,354   +1,699   123.00 P  114,388  +3,923

JUN19 10Y NOTE  124.50 C  117,362   -2,056   122.50 P  153,805  +1,543

MAY19 5Y NOTE   116.25 C   55,887     UNCH   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   51,829     -100   108.25 P  151,203    UNCH

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

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   55,958     -10

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

JUN19 EURODLR    97.62 C  475,364  +24,275    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  180,770   -1,000    97.62 P  175,037  +1,184

JUN20 2Y-MIDC    97.75 C   88,178     -450    97.50 P  107,009    UNCH

JUN21 3Y-MIDC    97.75 C   92,407     UNCH    97.62 P   85,007     -50

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   45,980     UNCH   122.50 P   88,093     -89

MAY19 10Y NOTE  123.00 C  125,499   -5,105   123.00 P  114,388  +3,923

JUN19 10Y NOTE  122.50 C   26,837     +670   122.50 P  153,805  +1,543

JUN19 10Y NOTE  123.00 C   60,997     -410   123.00 P   82,914     +21

MAY19 5Y NOTE   115.00 C   29,218       -1   115.00 P   58,523  -2,696

MAY19 5Y NOTE   115.25 C   26,819     -329   115.25 P   33,455  -1,923

JUN19 5Y NOTE   115.00 C   13,296     +835   115.00 P   73,894      -8

JUN19 5Y NOTE   115.25 C   35,641     UNCH   115.25 P   42,136     +49

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     UNCH   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     UNCH    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  259,720     UNCH    97.25 P  299,394    +250

JUN19 EURODLR    97.37 C  397,787     UNCH    97.37 P  243,981  -2,650

JUN20 1Y-MIDC    97.50 C   78,624   +1,340    97.50 P  160,829 +12,447

JUN20 1Y-MIDC    97.62 C   63,577     -187    97.62 P  175,037  +1,184

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

JUN21 2Y-MIDC    97.75 C   88,178     -450    97.75 P   70,431    UNCH

JUN22 3Y-MIDC    97.62 C   18,233     +942    97.62 P   85,007     -50

JUN22 3Y-MIDC    97.75 C   92,407     UNCH    97.75 P   46,500    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.90 (56,789 PUTS VS. 62,980 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.60 (25,801 PUTS VS. 42,793 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 3.42 (26,038 PUTS VS. 7,655 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.06 (9,309 PUTS VS. 4,530 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 228 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.00 (2,159 PUTS VS. 0 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 3,080 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.02 (3,100 PUTS VS. 121,799 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 3.14 (31,851 PUTS VS. 10,100 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.50 (3,500 PUTS VS. 1,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.76 (2,050 PUTS VS. 2,675 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

1:15        50.32    53.10    55.58    53.39    58.82     63.14

10:30       49.22    53.08    55.48    53.32    58.58     63.01

Tue Open    48.87    52.07    55.01    52.81    58.15     62.76

Mon 3:00    48.87    52.07    55.01    52.81    58.15     62.76

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

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

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