US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 30

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:45       5.66%  5.85%   3.42%  3.52%   2.39%  2.45%   12.10%  9.76%

10:15       5.77%  5.90%   3.48%  3.50%   2.39%  2.44%   11.05%  9.65%

TUE OPEN    5.75%  5.80%   3.44%  3.52%   2.38%  2.49%   12.40%  9.92%

MON 3:00    5.73%  5.84%   3.47%  3.53%   2.39%  2.38%   12.50%  9.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C  104,510   +2,178   122.50 P  178,348 +10,296

JUL19 10Y NOTE  124.50 C   47,988      +23   112.50 P   11,670    UNCH

JUN19 5Y NOTE   116.50 C   52,809   +1,249   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,726   +6,000   114.50 P   12,422     +50

JUN19 2Y NOTE   106.75 C   22,014     +931   106.25 P   55,796  -2,508

JUL19 2Y NOTE   107.00 C    1,080     UNCH   106.25 P    5,050    UNCH

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

JUN19 EURODLR    97.62 C  464,547   +1,000    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  174,826     UNCH    97.62 P  183,572    -445

JUN20 2Y-MIDC    97.75 C   87,928   +1,500    97.50 P  107,059     +50

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   89,090   -1,178   123.50 P   62,396  +3,090

JUN19 10Y NOTE  124.00 C  104,510   +2,178   124.00 P   20,246     -68

JUL19 10Y NOTE  123.50 C    5,085     -182   123.50 P    6,703    +150

JUL19 10Y NOTE  124.00 C   12,134      +95   124.00 P    7,526     -25

JUN19 5Y NOTE   115.25 C   16,927     -199   115.25 P   47,704  +3,248

JUN19 5Y NOTE   115.50 C   24,611     +226   115.50 P   35,753  -2,703

JUL19 5Y NOTE   115.25 C      371      +35   115.25 P    9,063    +351

JUL19 5Y NOTE   115.50 C    6,912   +2,938   115.50 P    9,800  +1,166

JUN19 2Y NOTE   106.50 C   14,044     UNCH   106.50 P   14,896    UNCH

JUN19 2Y NOTE   106.62 C    9,736     +425   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    1,000     UNCH   106.50 P    2,500    UNCH

JUL19 2Y NOTE   106.62 C    1,000     UNCH   106.62 P      110    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  307,394    -300

JUN19 EURODLR    97.37 C  383,474  -10,000    97.37 P  247,485    +200

JUN20 1Y-MIDC    97.50 C   77,013     UNCH    97.50 P  178,049    -250

JUN20 1Y-MIDC    97.62 C   87,536   +2,300    97.62 P  183,572    -445

JUN21 2Y-MIDC    97.62 C   27,639     UNCH    97.62 P   37,276  +3,420

JUN21 2Y-MIDC    97.75 C   87,928   +1,500    97.75 P   80,330    -100

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

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.98 (165,848 PUTS VS. 168,114 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.87 (24,723 PUTS VS. 13,233 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 8.72 (366,651 PUTS VS. 42,022 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.84 (15,377 PUTS VS. 18,287 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 3.18 (8,604 PUTS VS. 2,750 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.00 (496 PUTS VS. 0 CALLS)

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

JUN19 EURODLRS PUT/CALL RATIO   -- 0.01 (500 PUTS VS. 36,327 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.08 (5,861 PUTS VS. 68,504 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.51 (18,940 PUTS VS. 12,550 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.00 (200 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

11:45       52.24    50.09    54.50    51.44    58.54     63.55

10:15       51.20    49.99    54.31    51.31    58.53     63.58

Tue Open    51.73    49.79    54.24    51.15    58.56     63.61

Mon 3:00    52.40    50.27    54.88    51.88    58.97     63.97

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

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

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