US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 26

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

             USK    USM     TYK    TYM     FVK    FVM     EDK     EDM

9:30         N/A   5.82%    N/A   3.42%    N/A   2.34%   11.87%  10.15%

FRI OPEN     N/A   5.91%    N/A   3.47%    N/A   2.38%   12.10%  10.25%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.00 C  108,770  -23,396   123.00 P  115,304  +5,231

JUN19 10Y NOTE  124.50 C  115,361   -3,019   122.50 P  161,538  +1,694

MAY19 5Y NOTE   116.25 C   55,852     UNCH   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.25 C   55,670   -2,470   108.25 P  151,203    UNCH

MAY19 2Y NOTE   106.37 C    8,648      -10   106.25 P   16,366    UNCH

JUN19 2Y NOTE   106.75 C   20,959   +1,391   106.25 P   52,754  -2,924

MAY19 EURODLR    97.37 C   44,961     UNCH    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  463,567   +2,000    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  167,850   +2,180    97.62 P  181,673  +2,970

JUN20 2Y-MIDC    97.75 C   83,878     -700    97.50 P  107,009    UNCH

JUN21 3Y-MIDC    97.75 C   92,464      +57    97.62 P   85,064     -93

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  122.50 C   45,948       -5   122.50 P   89,212    -388

MAY19 10Y NOTE  123.00 C  100,293  -15,596   123.00 P  115,304  +5,231

JUN19 10Y NOTE  122.50 C   26,665       +2   122.50 P  161,538  +1,694

JUN19 10Y NOTE  123.00 C   61,268     -194   123.00 P   93,369 +13,650

MAY19 5Y NOTE   115.00 C   29,208     UNCH   115.00 P   55,055  -2,010

MAY19 5Y NOTE   115.25 C   14,099   -1,055   115.25 P   31,360  +2,315

JUN19 5Y NOTE   115.00 C   13,509     +106   115.00 P   76,797  +2,670

JUN19 5Y NOTE   115.25 C   33,602   -3,942   115.25 P   39,893    +437

MAY19 2Y NOTE   106.50 C    7,321     UNCH   106.50 P    3,677    UNCH

MAY19 2Y NOTE   106.62 C    6,899     UNCH   106.62 P    6,199    UNCH

JUN19 2Y NOTE   106.50 C   14,037     UNCH   106.50 P   14,896     -86

JUN19 2Y NOTE   106.62 C    8,812     +644   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   44,961     UNCH    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  257,225     UNCH    97.25 P  301,794    UNCH

JUN19 EURODLR    97.37 C  393,724     UNCH    97.37 P  245,886     +98

JUN20 1Y-MIDC    97.50 C   77,060     +330    97.50 P  174,476  +2,530

JUN20 1Y-MIDC    97.62 C   79,196     UNCH    97.62 P  181,673  +2,970

JUN21 2Y-MIDC    97.62 C   27,639     UNCH    97.62 P   33,856    +250

JUN21 2Y-MIDC    97.75 C   83,878     -700    97.75 P   80,780  +1,000

JUN22 3Y-MIDC    97.62 C   15,783     UNCH    97.62 P   85,064     -93

JUN22 3Y-MIDC    97.75 C   92,464      +57    97.75 P   47,050    +550

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.63 (99,347 PUTS VS. 155,239 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.56 (112,259 PUTS VS. 71,515 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.78 (28,973 PUTS VS. 36,976 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.43 (16,800 PUTS VS. 38,579 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 1.82 (51 PUTS VS. 28 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.09 (8,387 PUTS VS. 7,600 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.05 (300 PUTS VS. 5,700 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.00 (406 PUTS VS. 59,650 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.18 (27,780 PUTS VS. 149,790 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.33 (3,050 PUTS VS. 9,008 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.88 (3,293 PUTS VS. 1,743 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

9:30        52.86    51.52    56.48    53.53    59.88     64.25

Fri Open    52.95    51.55    56.54    53.65    59.90     64.27

Thu 3:00    52.52    51.56    56.35    53.66    59.91     64.27

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

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

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