US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 18

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

            USN    USU     TYN    TYU     FVN    FVU      EDN     EDU

TUE OPEN  11.17%  8.17%   7.00%  4.82%   5.25%  3.29%    38.20%  30.80%

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

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   75,186     -563   124.00 P  100,220       -1

SEP19 10Y NOTE  126.00 C   34,605     +2526  121.50 P  122,347 +116,311

JUL19 5Y NOTE   117.75 C   62,303      +32   116.50 P   86,175      -97

SEP19 5Y NOTE   117.75 C   16,936      -68   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     UNCH   107.00 P   23,575      +50

JUL19 EURODLR    98.00 C  258,365   +9,500    97.75 P  180,854   +4,640

SEP19 EURODLR    98.25 C  595,104     UNCH    97.50 P  814,529   -3,733

SEP19 1Y-MIDC    98.62 C  161,704      +50    97.75 P  143,745     UNCH

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   57,763      -71

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL19 10Y NOTE  127.00 C   47,701   -2,824   127.00 P   26,275   +3,115

JUL19 10Y NOTE  127.50 C   42,728  -16,263   127.50 P    3,738      +66

SEP19 10Y NOTE  127.00 C   24,287     -378   127.00 P   13,428     +818

SEP19 10Y NOTE  127.50 C   19,416   +2,142   127.50 P   10,008   +1,859

JUL19 5Y NOTE   117.50 C   47,277     +980   117.50 P   19,408   -2,878

JUL19 5Y NOTE   117.75 C   62,303      +32   117.75 P    9,274     -706

SEP19 5Y NOTE   117.50 C   15,466   +2,458   117.50 P    7,097     UNCH

SEP19 5Y NOTE   117.75 C   16,936      -68   117.75 P   15,693     +128

JUL19 2Y NOTE   107.38 C    4,090     UNCH   107.38 P    1,857     +276

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

SEP19 2Y NOTE   107.38 C    1,131     +418   107.38 P    1,074     +581

SEP19 2Y NOTE   107.50 C      429     UNCH   107.50 P      362     UNCH

JUL19 EURODLR    97.75 C  130,248   -2,347    97.75 P  180,854   +4,640

JUL19 EURODLR    97.87 C  227,365  +16,886    97.87 P   91,122   +3,358

SEP19 EURODLR    97.75 C  320,799   -6,834    97.75 P  294,713   -8,701

SEP19 EURODLR    97.87 C  528,438   -4,800    97.87 P   99,787   +4,297

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

SEP20 1Y-MIDC    98.37 C  113,800     +354    98.37 P   45,754     +350

SEP21 2Y-MIDC    98.25 C   32,280     UNCH    98.25 P   11,798     +600

SEP21 2Y-MIDC    98.37 C   27,708     UNCH    98.37 P   13,528     +329

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   -- 1.58 (171,724 PUTS VS. 108,799 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 16.5 (315,152 PUTS VS. 19,074 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.67 (53,906 PUTS VS. 32,223 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.14 (10,917 PUTS VS. 74,493 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.93 (1,477 PUTS VS. 1,503 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 2.25 (2,721 PUTS VS. 1,245 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.53 (41,015 PUTS VS. 76,500 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.53 (79,534 PUTS VS. 148,501 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.29 (16,620 PUTS VS. 12,850 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 10.0 (12,200 PUTS VS. 1,250 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (71 PUTS VS. 0 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    90.56    72.91    80.38    69.85    65.96     68.28

Mon 1500    88.47    71.84    78.39    68.70    65.80     68.10

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$]