US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 29

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

12:30       5.78%  5.90%   3.54%  3.57%   2.47%  2.39%   12.05%  9.40%

10:15       5.68%  5.78%   3.42%  3.51%   2.36%  2.40%   12.20%  9.48%

MON OPEN    5.71%  5.86%   3.47%  3.58%   2.38%  2.45%   12.75%  9.84%

FRI 3:00    5.54%   N/A    3.33%   N/A    2.27%   N/A    10.10%  9.99%

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

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

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

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

WED OPEN    6.10%   N/A    3.53%   N/A    2.35%   N/A    11.25%  10.65%

TUE 3:00    6.02%   N/A    3.48%   N/A    2.32%   N/A    11.15%  7.67%

TUE OPEN    6.07%   N/A    3.42%   N/A    2.29%   N/A    9.25%   6.56%

MON 3:00    6.07%   N/A    3.42%   N/A    2.29%   N/A    9.25%   6.56%

MON OPEN    6.00%   N/A    3.45%   N/A    2.29%   N/A    8.60%   5.43%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C  102,332   -3,896   122.50 P  168,052  +6,514

JUL19 10Y NOTE  124.50 C   47,965   +2,565   112.50 P   11,670    UNCH

JUN19 5Y NOTE   116.50 C   51,560     +138   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   23,726   +9,634   114.50 P   12,372    +122

JUN19 2Y NOTE   106.75 C   21,083     +124   106.25 P   58,304  +5,550

JUL19 2Y NOTE   107.00 C    1,080   +1,080   106.25 P   16,366    UNCH

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

JUN19 EURODLR    97.62 C  463,547      -20    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  174,826   +6,976    97.62 P  184,017  +2,344

JUN20 2Y-MIDC    97.75 C   86,428   +2,550    97.50 P  107,009    UNCH

JUN21 3Y-MIDC    97.75 C   92,664     +200    97.62 P   85,064    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   90,268     -983   123.50 P   59,306  +5,440

JUN19 10Y NOTE  124.00 C  102,332   -3,896   124.00 P   20,314    -317

JUL19 10Y NOTE  123.50 C    5,267     +370   123.50 P    6,553    +791

JUL19 10Y NOTE  124.00 C   12,039   +5,312   124.00 P    7,551  +5,532

JUN19 5Y NOTE   115.25 C   17,126  -16,476   115.25 P   44,456  +4,563

JUN19 5Y NOTE   115.50 C   24,385   -1,939   115.50 P   38,456  +1,136

JUL19 5Y NOTE   115.25 C      336      +49   115.25 P    8,712  +3,888

JUL19 5Y NOTE   115.50 C    3,974     UNCH   115.50 P    8,634  +1,492

JUN19 2Y NOTE   106.50 C   14,044       +7   106.50 P   14,896     -86

JUN19 2Y NOTE   106.62 C    9,312     +500   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    1,000     UNCH   106.50 P   14,896    UNCH

JUL19 2Y NOTE   106.62 C    1,000     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   44,961     UNCH    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  257,225     UNCH    97.25 P  307,694  +5,900

JUN19 EURODLR    97.37 C  393,474     -250    97.37 P  247,285  +1,399

JUN20 1Y-MIDC    97.50 C   77,013      -47    97.50 P  178,299  +3,823

JUN20 1Y-MIDC    97.62 C   85,236   +6,040    97.62 P  184,017  +2,344

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

JUN21 2Y-MIDC    97.75 C   86,428   +2,550    97.75 P   80,430    -350

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

JUN22 3Y-MIDC    97.75 C   92,664     +200    97.75 P   47,250    +200

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.45 (123,299 PUTS VS. 269,296 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.03 (24,729 PUTS VS. 23,884 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.73 (75,321 PUTS VS. 102,637 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.94 (30,283 PUTS VS. 31,894 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.01 (51 PUTS VS. 6,263 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 21.6 (34,719 PUTS VS. 1,620 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (2 PUTS VS. 251 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.62 (9,002 PUTS VS. 14,280 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.29 (41,199 PUTS VS. 141,927 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.23 (4,600 PUTS VS. 19,383 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (900 PUTS VS. 900 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

12:30       52.45    50.28    54.88    51.88    59.14     64.06

10:15       52.72    50.59    55.44    52.46    59.17     64.01

Mon Open    52.52    50.69    55.80    52.75    59.36     64.15

Fri 3:00    53.15    51.00    56.05    53.25    59.95     64.40

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$]