US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 24

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

THU 3:00     N/A   5.87%    N/A   3.43%    N/A   2.37%   11.90%  9.90%

1:45         N/A   5.92%    N/A   3.50%    N/A   2.40%   11.05%  10.12%

12:15        N/A   5.84%    N/A   3.45%    N/A   2.38%   12.40%  10.50%

10:45        N/A   5.89%    N/A   3.49%    N/A   2.39%   9.85%   10.18%

THU OPEN     N/A   5.88%    N/A   3.50%    N/A   2.40%   11.50%  10.00%

WED 3:00     N/A   5.98%    N/A   3.52%    N/A   2.38%   12.97%  10.94%

WED OPEN    6.90%  6.10%   3.89%  3.53%   2.65%  2.35%   11.25%  10.65%

TUE 3:00    6.90%  6.02%   3.89%  3.48%   2.65%  2.32%   11.15%  7.67%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  146,697   +2,343   123.00 P  113,340  -1,048

JUN19 10Y NOTE  124.50 C  118,751   +1,389   122.50 P  158,067  +4,262

MAY19 5Y NOTE   116.25 C   55,850      -37   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   52,548     +719   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.37 C   10,418   +1,559   106.25 P   16,366    -585

JUN19 2Y NOTE   106.75 C   15,568     UNCH   106.25 P   56,033     +75

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

JUN19 EURODLR    97.62 C  475,615     +251    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  180,520     -250    97.62 P  179,526  +4,489

JUN20 2Y-MIDC    97.75 C   83,928   -4,250    97.50 P  107,009    UNCH

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   45,980     UNCH   122.50 P   87,225    -835

MAY19 10Y NOTE  123.00 C  125,059     -440   123.00 P  113,340  -1,048

JUN19 10Y NOTE  122.50 C   27,016     +179   122.50 P  158,067  +4,262

JUN19 10Y NOTE  123.00 C   61,102     +105   123.00 P   79,258  -3,656

MAY19 5Y NOTE   115.00 C   29,215       -3   115.00 P   57,662    -861

MAY19 5Y NOTE   115.25 C   23,796   -3,023   115.25 P   29,786  -3,669

JUN19 5Y NOTE   115.00 C   13,296     UNCH   115.00 P   73,954     +60

JUN19 5Y NOTE   115.25 C   37,494   +1,853   115.25 P   42,648    +512

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   15,266      +25   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  259,220     -500    97.25 P  299,394    UNCH

JUN19 EURODLR    97.37 C  397,286     -501    97.37 P  245,738  +1,757

JUN20 1Y-MIDC    97.50 C   78,874     +250    97.50 P  172,064 +11,195

JUN20 1Y-MIDC    97.62 C   63,603      +26    97.62 P  179,526  +4,489

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

JUN21 2Y-MIDC    97.75 C   83,928   -4,250    97.75 P   70,431    UNCH

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

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   -- 0.53 (42,727 PUTS VS. 80,086 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.29 (90,110 PUTS VS. 69,890 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.41 (29,168 PUTS VS. 20,509 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.78 (10,081 PUTS VS. 12,801 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 3.22 (5,815 PUTS VS. 1,819 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.55 (1,023 PUTS VS. 1,837 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.08 (150 PUTS VS. 1,703 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.41 (4,602 PUTS VS. 11,037 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.24 (38,103 PUTS VS. 30,599 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (250 PUTS VS. 30,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 56.5 (5,650 PUTS VS. 100 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

Thu 3:00    52.52    51.56    56.35    53.66    59.91     64.27

1:45        52.47    51.55    56.31    53.65    59.89     64.23

12:15       52.54    51.81    56.43    53.81    59.91     64.19

10:45       52.63    52.01    56.56    53.92    59.98     64.21

Thu Open    52.60    52.67    56.58    53.92    60.02     64.22

Wed 3:00    52.00    53.97    56.01    53.65    59.50     63.87

Wed Open    51.67    53.87    55.89    53.75    59.11     63.45

Tue 3:00    50.32    53.10    55.58    53.39    58.82     63.14

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

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

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