US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 4

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

9:30        5.99%  6.29%   3.44%  3.45%   2.32%  2.36%   15.30%  8.88%

THU OPEN    5.97%  6.31%   3.45%  3.47%   2.35%  2.38%   14.75%  9.03%

WED 3:00    6.04%  6.37%   3.39%  3.52%   2.35%  2.38%   15.77%  8.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C  102,280  +15,988   123.00 P  100,474  +4,739

JUN19 10Y NOTE  125.50 C   67,024   +4,474   122.50 P  112,152  +8,038

MAY19 5Y NOTE   115.50 C   54,117   +2,275   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   57,799   -3,072   108.25 P  151,559    UNCH

MAY19 2Y NOTE   106.75 C    8,393     UNCH   106.25 P   18,694    UNCH

JUN19 2Y NOTE   106.75 C   17,057  +10,234   106.25 P   61,698  +2,000

APR19 EURODLR    97.37 C  160,920     UNCH    97.37 P   80,113    UNCH

JUN19 EURODLR    97.37 C  542,548  +59,000    96.75 P  728,209    UNCH

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

JUN20 2Y-MIDC    97.75 C   85,721     -250    97.50 P  109,469    -500

JUN21 3Y-MIDC    97.75 C  101,645     +250    97.62 P   82,917    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   61,605     -967   123.50 P   62,106    +789

MAY19 10Y NOTE  124.00 C   86,347   +4,875   124.00 P   38,774    -519

JUN19 10Y NOTE  123.50 C   34,101   +2,177   123.50 P   70,924  -1,249

JUN19 10Y NOTE  124.00 C   44,496   +2,487   124.00 P   22,572    -908

MAY19 5Y NOTE   115.50 C   54,117   +2,275   115.50 P   22,445    UNCH

MAY19 5Y NOTE   115.75 C   19,296     +845   115.75 P   10,459     -12

JUN19 5Y NOTE   115.50 C   12,319   +2,626   115.50 P   25,857    -829

JUN19 5Y NOTE   115.75 C   14,160     +519   115.75 P   20,514    -161

MAY19 2Y NOTE   106.50 C    6,843   -9,362   106.50 P    4,274      -1

MAY19 2Y NOTE   106.62 C    6,896      +98   106.62 P    7,515    UNCH

JUN19 2Y NOTE   106.50 C   15,293     -158   106.50 P   15,270    UNCH

JUN19 2Y NOTE   106.62 C    8,133   +5,962   106.62 P    3,242    UNCH

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

APR19 EURODLR    97.37 C  160,920     UNCH    97.37 P   80,113    UNCH

JUN19 EURODLR    97.25 C  307,291  +11,653    97.25 P  297,444  +1,000

JUN19 EURODLR    97.37 C  542,548  +59,000    97.37 P  238,529  +4,591

JUN20 1Y-MIDC    97.50 C   74,425   -1,900    97.50 P  137,050  +1,659

JUN20 1Y-MIDC    97.62 C   54,693     UNCH    97.62 P  133,573     +50

JUN21 2Y-MIDC    97.62 C   26,842     +687    97.62 P   28,474    UNCH

JUN21 2Y-MIDC    97.75 C   85,721     -250    97.75 P   41,793    UNCH

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

JUN22 3Y-MIDC    97.75 C  101,645     +250    97.75 P   54,965    +750

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.80 (111,385 PUTS VS. 139,264 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.96 (86,744 PUTS VS. 89,404 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.30 (33,264 PUTS VS. 25,438 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.86 (41,290 PUTS VS. 47,942 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.04 (768 PUTS VS. 18,816 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.16 (25,536 PUTS VS. 21,919 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 801 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.16 (18,010 PUTS VS. 106,300 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.61 (23,234 PUTS VS. 37,600 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.04 (1,000 PUTS VS. 24,811 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.86 (750 PUTS VS. 875 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        55.31    54.90    56.88    54.65    58.89     64.49

Thu Open    55.44    55.37    57.01    54.81    59.21     64.77

Wed 3:00    55.50    56.02    57.13    54.90    59.41     65.08

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

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

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