US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 17

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

            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

MON 1500   9.85%  7.90%   6.37%  4.65%   4.64%  3.15%   37.02%  30.38%

1300      10.06%  7.92%   6.32%  4.63%   4.59%  3.15%   36.35%  29.78%

1115      10.15%  7.93%   6.26%  4.65%   4.55%  3.15%   36.20%  29.45%

MON OPEN   9.83%  7.83%   6.35%  4.65%   4.67%  3.18%   38.60%  30.33%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   75,749     -538   124.00 P  100,221    UNCH

SEP19 10Y NOTE  126.00 C   34,353     +636   112.00 P   69,712    UNCH

JUL19 5Y NOTE   117.75 C   62,271   -3,894   116.50 P   86,272  +1,162

SEP19 5Y NOTE   117.75 C   17,004     +552   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C    8,592     UNCH   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.75 C    7,844     +101   107.00 P   23,525      +2

JUL19 EURODLR    98.00 C  248,865     +829    97.50 P  179,770  +2,050

SEP19 EURODLR    98.25 C  595,104  +81,500    97.50 P  818,262  -1,600

SEP19 1Y-MIDC    98.62 C  161,654   +1,490    97.75 P  143,745    +625

SEP20 2Y-MIDC    98.00 C  102,680     UNCH    97.12 P   74,826    UNCH

SEP21 3Y-MIDC    98.00 C  125,307     UNCH    97.50 P   57,834    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  127.00 C   50,525     +131   127.00 P   23,160  +3,502

JUL19 10Y NOTE  127.50 C   58,996   +4,354   127.50 P    3,672    +731

SEP19 10Y NOTE  127.00 C   24,665   +1,872   127.00 P   12,610    -215

SEP19 10Y NOTE  127.50 C   17,378     -243   127.50 P    8,149    +852

JUL19 5Y NOTE   117.50 C   46,297      -19   117.50 P   22,286  +7,378

JUL19 5Y NOTE   117.75 C   62,271   -3,894   117.75 P    9,980    +683

SEP19 5Y NOTE   117.50 C   13,008     -357   117.50 P    7,097     -10

SEP19 5Y NOTE   117.75 C   17,004     +552   117.75 P   15,565    +841

JUL19 2Y NOTE   107.38 C    4,090     UNCH   107.38 P    1,581    UNCH

JUL19 2Y NOTE   107.50 C    3,605      +50   107.50 P    2,848    UNCH

SEP19 2Y NOTE   107.38 C      713      +31   107.38 P      493     +41

SEP19 2Y NOTE   107.50 C      429     +239   107.50 P      362    +198

JUL19 EURODLR    97.75 C  132,595     +750    97.75 P  176,214 -22,396

JUL19 EURODLR    97.87 C  210,477     -888    97.87 P   87,764 -13,120

SEP19 EURODLR    97.75 C  327,633  -60,700    97.75 P  303,314     +11

SEP19 EURODLR    97.87 C  533,738 -195,085    97.87 P   95,490    +400

SEP20 1Y-MIDC    98.25 C  134,797     UNCH    98.25 P   46,176  +4,365

SEP20 1Y-MIDC    98.37 C  113,446   +2,250    98.37 P   45,404    UNCH

SEP21 2Y-MIDC    98.25 C   32,280     UNCH    98.25 P   11,198    UNCH

SEP21 2Y-MIDC    98.37 C   27,708     UNCH    98.37 P   13,199    UNCH

SEP22 3Y-MIDC    98.12 C   46,358     UNCH    98.12 P   29,679    UNCH

SEP22 3Y-MIDC    98.25 C  100,000     UNCH    98.25 P    6,494    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.73 (70,513 PUTS VS. 95,928 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.80 (34,341 PUTS VS. 42,410 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.17 (62,587 PUTS VS. 53,125 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.29 (14,805 PUTS VS. 11,440 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.51 (537 PUTS VS. 1,048 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.63 (409 PUTS VS. 627 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 2.33 (241,001 PUTS VS. 103,028 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.24 (221,691 PUTS VS. 903,249 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.19 (36,306 PUTS VS. 30,350 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.10 (2,750 PUTS VS. 26,425 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 52.0 (5,208 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

Mon 1500    88.47    71.84    78.39    68.70    65.80     68.10

1300        88.24    71.44    78.27    68.65    65.82     68.12

1115        88.48    71.75    78.41    68.72    65.91     68.15

Mon Open    92.26    72.74    79.56    69.24    66.68     68.78

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

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