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US EURODLR FUTURES

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EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            
             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM
12:00       5.80%  5.92%   3.24%  3.28%   2.13%  2.22%    N/A    8.34%
10:45       5.99%  6.12%   3.30%  3.36%   2.17%  2.26%    N/A    8.20%
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
12:00       49.34    50.63    53.93    51.63    57.66     63.52
10:45       49.68    50.57    53.90    51.59    57.66     63.52
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$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com