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

1330      11.00%  7.75%   6.93%  4.57%   5.25%  3.29%    34.32%  28.76%

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

1330        89.17    72.86    78.61    68.77    65.41     67.92

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$]