US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 3

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

12:30       6.08%  6.30%   3.41%  3.49%   2.36%  2.37%   15.60%  9.00%

10:45       6.06%  6.34%   3.40%  3.50%   2.35%  2.36%   14.80%  9.15%

TUE 3:00    6.34%  6.48%   3.55%  3.61%   2.44%  2.48%   12.65%  9.25%

TUE OPEN    6.24%  6.40%   3.56%  3.65%   2.47%  2.49%   13.85%  9.66%

MON 3:00    6.42%  6.59%   3.71%  3.70%   2.59%  2.57%   15.30%  9.15%

MON OPEN    6.81%  6.81%   3.97%  3.83%   2.74%  2.66%   13.55%  11.01%

FRI 3:00    6.84%  6.96%   3.91%  3.91%   2.83%  2.71%   12.85%  11.47%

FRI OPEN    7.01%  7.02%   4.03%  3.92%   2.86%  2.75%   14.22%  11.19%

THU 3:00    7.09%  7.03%   4.05%  3.94%   2.86%  2.75%   14.71%  11.19%

THU OPEN    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

WED 3:00    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

WED OPEN    7.18%  7.03%   4.23%  4.08%   3.01%  2.83%   16.40%  11.38%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   86,292     +387   123.00 P   95,735  +9,259

JUN19 10Y NOTE  124.50 C   66,669   +2,974   122.50 P  104,114  +1,111

MAY19 5Y NOTE   115.50 C   51,842     +664   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   60,871  +15,586   108.25 P  151,559      +2

MAY19 2Y NOTE   106.50 C   16,205     UNCH   106.25 P   18,694      +2

JUN19 2Y NOTE   106.50 C   15,451       +1   106.25 P   59,698  +2,000

APR19 EURODLR    97.37 C  160,920     -125    97.37 P   80,113    +500

JUN19 EURODLR    97.37 C  483,548   -7,889    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  177,326   -1,090    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   85,971     UNCH    97.50 P  109,969  +2,432

JUN21 3Y-MIDC    97.75 C  101,395     UNCH    97.62 P   82,917    -250

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   86,292     +387   124.50 P   22,204    UNCH

MAY19 10Y NOTE  125.00 C   80,121  +10,559   125.00 P      897    -227

JUN19 10Y NOTE  124.50 C   66,669   +2,974   124.50 P   23,707    +858

JUN19 10Y NOTE  125.00 C   49,433   +2,160   125.00 P   10,374    UNCH

MAY19 5Y NOTE   116.00 C   44,405   +3,313   116.00 P   22,445    UNCH

MAY19 5Y NOTE   116.25 C   44,319     +595   116.25 P   10,459     -12

JUN19 5Y NOTE   116.00 C   21,315     +197   116.00 P   14,945      -5

JUN19 5Y NOTE   116.25 C   26,761       +1   116.25 P    2,931    UNCH

MAY19 2Y NOTE   106.62 C    6,798     UNCH   106.62 P    7,515    UNCH

MAY19 2Y NOTE   106.75 C    8,393     UNCH   106.75 P      131    UNCH

JUN19 2Y NOTE   106.62 C    2,171     UNCH   106.62 P    3,242    UNCH

JUN19 2Y NOTE   106.75 C    6,823     +251   106.75 P    2,000    UNCH

APR19 EURODLR    97.25 C   93,688     UNCH    97.25 P   68,836    UNCH

APR19 EURODLR    97.37 C  160,920     -125    97.37 P   80,113    +500

JUN19 EURODLR    97.25 C  295,638     UNCH    97.25 P  296,444    UNCH

JUN19 EURODLR    97.37 C  483,548   -7,889    97.37 P  233,938  +4,961

JUN20 1Y-MIDC    97.50 C   76,325     +998    97.50 P  135,391  +7,249

JUN20 1Y-MIDC    97.62 C   54,693     -174    97.62 P  133,523 +15,501

JUN21 2Y-MIDC    97.62 C   26,155     UNCH    97.62 P   28,474    UNCH

JUN21 2Y-MIDC    97.75 C   85,971     UNCH    97.75 P   41,793    UNCH

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   82,917    -250

JUN22 3Y-MIDC    97.75 C  101,395     UNCH    97.75 P   54,215    +125

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.40 (195,585 PUTS VS. 139,400 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.55 (51,742 PUTS VS. 33,317 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.46 (11,393 PUTS VS. 24,772 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.50 (24,158 PUTS VS. 47,605 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.92 (603 PUTS VS. 652 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 8.94 (6,954 PUTS VS. 777 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.51 (2,401 PUTS VS. 4,748 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.08 (14,229 PUTS VS. 167,644 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.98 (50,830 PUTS VS. 51,668 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 5.46 (8,250 PUTS VS. 1,586 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 22.5 (5,625 PUTS VS. 250 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       55.50    56.06    57.17    54.94    59.57     65.29

10:45       55.11    55.52    57.10    54.84    59.56     65.27

Wed 3:00    56.20    55.54    57.60    55.00    60.04     66.06

Tue Open    55.42    55.27    56.78    54.22    60.12     66.30

Mon 3:00    55.43    55.65    57.58    54.91    60.51     66.81

Mon Open    59.19    59.23    60.11    57.05    61.19     67.21

Fri 3:00    59.47    59.65    60.46    57.36    61.32     67.50

Fri Open    59.99    60.33    61.41    58.11    61.55     67.93

Thu 3:00    60.43    61.21    62.14    58.60    61.84     68.04

Thu Open    60.95    63.01    64.12    60.04    62.37     67.90

Wed 3:00    60.95    63.01    64.12    60.04    62.37     67.90

Wed Open    54.79    60.45    59.44    57.88    60.71     66.39

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

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