US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR APR 9

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

TUE OPEN    5.99%  6.08%   3.23%  3.34%   2.17%  2.25%    N/A    8.45%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C  123,491     -189   123.00 P  104,386    -773

JUN19 10Y NOTE  125.50 C   70,234   +1,544   122.50 P  115,460    +851

MAY19 5Y NOTE   116.25 C   58,654     +993   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   56,800   +1,001   108.25 P  151,559    UNCH

MAY19 2Y NOTE   106.75 C    8,392     UNCH   106.25 P   19,210    +501

JUN19 2Y NOTE   106.75 C   17,056     UNCH   106.25 P   58,859      -1

APR19 EURODLR    97.37 C  161,638     UNCH    97.37 P   80,033    -100

JUN19 EURODLR    97.37 C  453,048  -82,700    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  184,626   +1,200    97.62 P  143,673 +13,100

JUN20 2Y-MIDC    97.75 C   85,721     UNCH    97.50 P  112,262  +3,793

JUN21 3Y-MIDC    97.75 C   97,993   -1,690    97.62 P   81,917  -1,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  123.50 C   58,637   +1,928   123.50 P   60,809  -1,749

MAY19 10Y NOTE  124.00 C   90,170     +722   124.00 P   37,380    -622

JUN19 10Y NOTE  123.50 C   38,111     +614   123.50 P   73,584    +731

JUN19 10Y NOTE  124.00 C   43,024   -1,119   124.00 P   22,605    +162

MAY19 5Y NOTE   115.25 C   16,986     UNCH   115.25 P   41,522    +782

MAY19 5Y NOTE   115.50 C   52,060     +839   115.50 P   29,625  -1,477

JUN19 5Y NOTE   115.25 C   10,903     UNCH   115.25 P   40,222    +497

JUN19 5Y NOTE   115.50 C   16,806   +1,242   115.50 P   30,944  -1,991

MAY19 2Y NOTE   106.50 C    7,923     +370   106.50 P    3,302    -100

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

JUN19 2Y NOTE   106.50 C   15,336      -20   106.50 P   15,427     +13

JUN19 2Y NOTE   106.62 C    8,176     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     UNCH    97.37 P   80,033    -100

JUN19 EURODLR    97.25 C  275,887  -32,404    97.25 P  295,194  -2,000

JUN19 EURODLR    97.37 C  453,048  -82,700    97.37 P  243,294  +1,668

JUN20 1Y-MIDC    97.50 C   74,425     UNCH    97.50 P  137,714  +5,607

JUN20 1Y-MIDC    97.62 C   54,793     +100    97.62 P  143,673 +13,100

JUN21 2Y-MIDC    97.62 C   26,842     UNCH    97.62 P   28,224    UNCH

JUN21 2Y-MIDC    97.75 C   85,721     UNCH    97.75 P   47,166  +6,223

JUN22 3Y-MIDC    97.62 C   14,149     UNCH    97.62 P   81,917  -1,000

JUN22 3Y-MIDC    97.75 C   97,993   -1,690    97.75 P   56,615    +500

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.15 (51,579 PUTS VS. 44,489 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.98 (35,429 PUTS VS. 35,922 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.36 (9,888 PUTS VS. 27,001 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.51 (35,166 PUTS VS. 23,101 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 1.21 (1,749 PUTS VS. 1,411 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.81 (468 PUTS VS. 575 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 1.00 (350 PUTS VS. 350 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.02 (6,000 PUTS VS. 302,008 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 6.52 (38,224 PUTS VS. 5,850 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 27.7 (27,709 PUTS VS. 1,015 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.95 (6,185 PUTS VS. 2,110 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

Tue Open    49.24    50.40    53.72    51.48    57.63     63.57

Fri 3:00    53.44    51.17    55.27    53.04    58.23     64.05

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

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

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