US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 20

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

            USN    USU     TYN    TYU     FVN    FVU     EDN     EDU

1145       9.27%  7.53%   5.52%  4.43%   3.30%  3.00%   38.70%  29.90%

THU OPEN   9.31%  7.55%   5.59%  4.40%   3.27%  3.01%   35.55%  28.99%

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

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   74,133      +29   124.00 P   98,572   -1,648

SEP19 10Y NOTE  126.00 C   35,186     +303   121.00 P  131,265     +988

JUL19 5Y NOTE   117.25 C   53,965      -63   116.50 P   87,604     +418

SEP19 5Y NOTE   117.75 C   16,863     +170   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    7,894      +50   107.00 P   23,862     +284

JUL19 EURODLR    97.87 C  233,772  +12,909    97.75 P  182,970   -1,842

SEP19 EURODLR    98.25 C  602,604   -1,000    97.50 P  808,058   -3,596

SEP20 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  175,397  +25,362

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 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  128.00 C   58,659   -4,023   128.00 P    5,243     +485

JUL19 10Y NOTE  128.50 C   22,447   -2,315   128.50 P      204       -1

SEP19 10Y NOTE  128.00 C   30,380   +1,470   128.00 P    4,932   +3,297

SEP19 10Y NOTE  128.50 C   18,930     +184   128.50 P      426       +6

JUL19 5Y NOTE   118.25 C   14,838     +744   118.25 P      363     +301

JUL19 5Y NOTE   118.50 C   15,395   +1,781   118.50 P       85       +1

SEP19 5Y NOTE   118.25 C    5,868     +236   118.25 P      334       +5

SEP19 5Y NOTE   118.50 C    7,637      -19   118.50 P    2,286     UNCH

JUL19 2Y NOTE   107.38 C    2,545   -1,545   107.38 P    3,878   +1,103

JUL19 2Y NOTE   107.50 C    4,992     -621   107.50 P    2,848     UNCH

SEP19 2Y NOTE   107.38 C    1,354     +223   107.38 P    1,076       +1

SEP19 2Y NOTE   107.50 C      551     UNCH   107.50 P      483     UNCH

JUL19 EURODLR    97.87 C  233,772  +12,909    97.87 P   91,808   -9,721

JUL19 EURODLR    98.00 C  229,011   -8,241    98.00 P   22,685   -1,382

SEP19 EURODLR    97.87 C  513,365  -18,973    97.87 P  109,008     -871

SEP19 EURODLR    98.00 C  402,831   -2,600    98.00 P   30,241     -210

SEP20 1Y-MIDC    98.37 C   99,971   -1,279    98.37 P   45,630     -124

SEP20 1Y-MIDC    98.50 C  103,414   +7,193    98.50 P   44,036   -2,140

SEP21 2Y-MIDC    98.37 C   52,491   +2,150    98.37 P   13,564     UNCH

SEP21 2Y-MIDC    98.50 C   20,393   +2,846    98.50 P      175     UNCH

SEP22 3Y-MIDC    98.25 C  100,000     UNCH    98.25 P    6,794     UNCH

SEP22 3Y-MIDC    98.37 C    6,225     UNCH    98.37 P      300     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.55 (193,083 PUTS VS. 124,565 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 4.60 (281,456 PUTS VS. 61,302 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.51 (63,811 PUTS VS. 127,289 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 2.66 (36,856 PUTS VS. 13,820 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.86 (12,799 PUTS VS. 14,838 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 7.04 (6,055 PUTS VS. 860 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.55 (151,687 PUTS VS. 273,975 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.91 (162,981 PUTS VS. 177,560 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 7.60 (213,753 PUTS VS. 28,266 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.26 (7,000 PUTS VS. 26,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (12,206 PUTS VS. 12,050 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

1145        83.76    66.39    74.35    65.99    63.30     66.49

Thu Open    84.52    68.21    75.33    66.27    63.81     66.77

Wed 1500    85.81    70.94    76.81    67.02    64.30     67.05

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$]