US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 5

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

FRI 3:00    5.79%  6.07%   3.13%  3.36%   2.11%  2.24%   13.25%  4.65%

1:30        5.73%  6.04%   3.13%  3.31%   2.07%  2.21%   13.20%  4.47%

11:30       5.65%  6.01%   3.07%  3.33%   2.08%  2.22%   10.25%  4.65%

9:45        6.04%  6.19%   3.36%  3.47%   2.31%  2.32%   13.03%  8.80%

FRI OPEN    6.05%  6.16%   3.34%  3.45%   2.27%  2.30%   12.98%  8.80%

THU 3:00    6.06%  6.31%   3.42%  3.46%   2.32%  2.38%   15.95%  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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C  111,315   +9,035   123.00 P  102,942  +2,468

JUN19 10Y NOTE  125.50 C   66,733     -291   122.50 P  113,175  +1,023

MAY19 5Y NOTE   116.25 C   54,341   +7,713   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   55,799   -2,000   108.25 P  151,559    UNCH

MAY19 2Y NOTE   106.75 C    8,392       -1   106.25 P   18,709     +15

JUN19 2Y NOTE   106.75 C   17,056       -1   106.25 P   58,860    -867

APR19 EURODLR    97.37 C  161,638     +718    97.37 P   80,133     +20

JUN19 EURODLR    97.37 C  541,248   -1,300    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  183,426   +6,100    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   85,721     UNCH    97.50 P  108,469  -1,000

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   62,638   +1,033   123.50 P   62,984    +878

MAY19 10Y NOTE  124.00 C   88,799   +2,452   124.00 P   38,260    -514

JUN19 10Y NOTE  123.50 C   36,277   +2,176   123.50 P   72,681  +1,757

JUN19 10Y NOTE  124.00 C   42,634   -1,862   124.00 P   23,357    +785

MAY19 5Y NOTE   115.50 C   52,564   -1,553   115.50 P   31,507  +2,000

MAY19 5Y NOTE   115.75 C   23,199   +3,903   115.75 P   35,452    UNCH

JUN19 5Y NOTE   115.50 C   13,425   +1,106   115.50 P   27,757  +1,900

JUN19 5Y NOTE   115.75 C   14,558     +398   115.75 P   19,244  -1,270

MAY19 2Y NOTE   106.50 C    7,553     +710   106.50 P    4,063    -211

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

JUN19 2Y NOTE   106.50 C   15,292       -1   106.50 P   15,597    +327

JUN19 2Y NOTE   106.62 C    8,133     UNCH   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  161,638     +718    97.37 P   80,133     +20

JUN19 EURODLR    97.25 C  308,291   +1,000    97.25 P  297,444    UNCH

JUN19 EURODLR    97.37 C  541,248   -1,300    97.37 P  239,029    +500

JUN20 1Y-MIDC    97.50 C   74,425     UNCH    97.50 P  135,300  -1,750

JUN20 1Y-MIDC    97.62 C   54,693     UNCH    97.62 P  131,573  -2,000

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

JUN21 2Y-MIDC    97.75 C   85,721     UNCH    97.75 P   41,343    -250

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

JUN22 3Y-MIDC    97.75 C  101,645     UNCH    97.75 P   55,255    +250

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.33 (41,703 PUTS VS. 124,275 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.04 (48,869 PUTS VS. 46,868 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.50 (23,071 PUTS VS. 45,879 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.72 (16,363 PUTS VS. 22,648 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 3.02 (2,453 PUTS VS. 810 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.66 (11,314 PUTS VS. 6,850 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 1.00 (738 PUTS VS. 738 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.02 (750 PUTS VS. 25,458 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.44 (24,050 PUTS VS. 53,400 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.52 (5,250 PUTS VS. 10,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 7.00 (3,500 PUTS VS. 500 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

Fri 3:00    53.44    51.17    55.27    53.04    58.23     64.05

1:30        53.53    51.24    55.21    53.03    58.20     64.02

11:30       53.54    51.92    55.33    53.21    58.17     64.04

9:45        54.67    53.55    56.49    54.31    58.55     64.39

Fri Open    54.52    53.41    56.41    54.24    58.53     64.37

Thu 3:00    54.96    53.84    56.48    54.20    58.54     64.28

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

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

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