US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 19

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

            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

WED 1500   9.34%  7.30%   5.55%  4.16%   3.19%  2.97%   29.80%  25.60%

1355      12.83%  7.57%   8.18%  4.36%   5.71%  2.97%   35.13%  28.00%

1130      12.41%  7.59%   7.97%  4.35%   5.74%  2.97%   34.45%  27.09%

9:45      12.15%  7.75%   7.75%  4.47%   5.69%  3.05%   34.38%  27.65%

WED OPEN  12.22%  7.82%   7.90%  4.52%   5.83%  3.09%   34.40%  27.35%

TUE 1500  10.58%  7.73%   7.01%  4.59%   5.30%  3.10%   33.68%  28.07%

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   74,104   -1,082   124.00 P  100,220     UNCH

SEP19 10Y NOTE  126.00 C   34,883     +278   119.50 P  168,188  +75,000

JUL19 5Y NOTE   117.75 C   56,480   -5,823   116.50 P   87,186   +1,011

SEP19 5Y NOTE   117.75 C   16,693     -243   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   23,578       +3

JUL19 EURODLR    98.00 C  237,252  -21,113    97.75 P  184,812   +3,958

SEP19 EURODLR    98.25 C  603,604   +8,500    97.50 P  811,654   -2,875

SEP19 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  150,035   +6,290

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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUL19 10Y NOTE  127.00 C   47,164     -537   127.00 P   29,191   +2,916

JUL19 10Y NOTE  127.50 C   35,366   -7,362   127.50 P   11,367   +7,629

SEP19 10Y NOTE  127.00 C   23,762     -525   127.00 P   13,698     +270

SEP19 10Y NOTE  127.50 C   20,260     +844   127.50 P   10,640     +632

JUL19 5Y NOTE   117.50 C   47,553     +276   117.50 P   21,204   +1,796

JUL19 5Y NOTE   117.75 C   56,480   -5,823   117.75 P   11,857   +2,583

SEP19 5Y NOTE   117.50 C   15,526      +60   117.50 P    7,149      +52

SEP19 5Y NOTE   117.75 C   16,693     -243   117.75 P   15,864     +171

JUL19 2Y NOTE   107.38 C    4,090     UNCH   107.38 P    2,775     +918

JUL19 2Y NOTE   107.50 C    5,613   +2,008   107.50 P    2,848     UNCH

SEP19 2Y NOTE   107.38 C    1,131     UNCH   107.38 P    1,075       +1

SEP19 2Y NOTE   107.50 C      551     +122   107.50 P      483     +121

JUL19 EURODLR    97.75 C  128,095     -153    97.75 P  184,812   +3,958

JUL19 EURODLR    97.87 C  220,863   -6,500    97.87 P  101,529  +10,407

SEP19 EURODLR    97.75 C  307,813  -12,986    97.75 P  292,515   -2,198

SEP19 EURODLR    97.87 C  532,338   +3,900    97.87 P  109,879  +10,092

SEP20 1Y-MIDC    98.25 C  133,797   -1,000    98.25 P   44,036   -2,140

SEP20 1Y-MIDC    98.37 C  101,250  -12,550    98.37 P   45,754     UNCH

SEP21 2Y-MIDC    98.25 C   59,580  +27,300    98.25 P   12,069     +271

SEP21 2Y-MIDC    98.37 C   50,341  +22,633    98.37 P   13,564      +36

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    6,794     +300

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.84 (107,331 PUTS VS. 126,793 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 11.9 (383,995 PUTS VS. 32,707 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.28 (58,515 PUTS VS. 45,338 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 4.63 (26,921 PUTS VS. 5,845 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.06 (6,429 PUTS VS. 6,079 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 4.89 (4,078 PUTS VS. 833 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.56 (50,424 PUTS VS. 88,976 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.57 (80,450 PUTS VS. 140,765 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.23 (76,100 PUTS VS. 61,751 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (29,000 PUTS VS. 63,740 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.89 (3,350 PUTS VS. 3,790 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

Wed 1500    85.81    70.94    76.81    67.02    64.30     67.05

1355        86.04    71.09    76.83    67.87    64.84     67.04

1130        87.38    71.28    76.87    67.50    64.56     67.05

9:45        89.43    72.44    78.24    68.45    64.92     67.43

Wed Open    89.16    73.55    78.86    68.84    65.12     67.42

Tue 1500    89.15    73.03    78.77    68.80    65.29     67.63

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$]