US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 24

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1300       7.45%  7.40%   4.55%  4.42%   3.19%  3.03%   39.41%  30.47%

1045       7.22%  7.20%   4.47%  4.33%   3.15%  3.00%   38.85%  30.84%

0930       7.13%  7.12%   4.39%  4.27%   3.10%  2.96%   37.30%  30.23%

MON OPEN   7.09%  7.15%   4.40%  4.27%   3.08%  2.96%   37.60%  29.85%

FRI 1500    N/A   7.15%    N/A   4.23%    N/A   2.94%   34.50%  29.12%

FRI OPEN    N/A   7.17%    N/A   4.19%    N/A   2.85%   31.65%  27.15%

THU 1500   8.82%  7.27%   4.18%  4.33%   3.14%  2.93%   34.42%  27.89%

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

AUG19 10Y NOTE  133.00 C  109,669     UNCH   121.50 P   90,343     -338

SEP19 10Y NOTE  128.00 C   39,820   +3,544   121.00 P  130,193     UNCH

AUG19 5Y NOTE   118.50 C   62,565     UNCH   113.25 P  127,079     UNCH

SEP19 5Y NOTE   118.50 C   24,115  +15,386   106.50 P   80,403     UNCH

AUG19 2Y NOTE   108.00 C    2,554     -191   105.50 P   50,500     UNCH

SEP19 2Y NOTE   107.75 C    7,895     UNCH   107.00 P   22,009   -4,299

JUL19 EURODLR    98.00 C  232,227     -866    97.62 P  177,330     -286

SEP19 EURODLR    98.25 C  628,354  +58,750    97.50 P  805,139   -2,654

SEP20 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  172,897   -2,500

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   57,739      -24

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.50 C   47,577   +4,846   127.50 P   25,272   +4,630

AUG19 10Y NOTE  128.00 C   54,894     +844   128.00 P    9,946     -323

SEP19 10Y NOTE  127.50 C   22,833   +5,717   127.50 P   23,542   +8,449

SEP19 10Y NOTE  128.00 C   39,820   +3,544   128.00 P   10,574     -150

AUG19 5Y NOTE   118.00 C   28,577   +1,362   118.00 P    6,427     +104

AUG19 5Y NOTE   118.25 C    9,339     +868   118.25 P    4,583     +102

SEP19 5Y NOTE   118.00 C   14,510   +1,330   118.00 P    6,844   +3,866

SEP19 5Y NOTE   118.25 C    7,405      +35   118.25 P    1,834     UNCH

AUG19 2Y NOTE   107.50 C    1,435     +200   107.50 P    2,886     +954

AUG19 2Y NOTE   107.62 C    1,258       +2   107.62 P    2,779     UNCH

SEP19 2Y NOTE   107.50 C    2,231       -5   107.50 P    4,861   +2,500

SEP19 2Y NOTE   107.62 C      180       +1   107.62 P      401      +76

JUL19 EURODLR    97.87 C  193,988   -5,452    97.87 P  126,010  +35,379

JUL19 EURODLR    98.00 C  232,227     -866    98.00 P   77,612   +9,682

SEP19 EURODLR    97.87 C  513,588     +250    97.87 P  122,075      +32

SEP19 EURODLR    98.00 C  401,437   -3,517    98.00 P   35,336     +253

SEP20 1Y-MIDC    98.37 C   79,275   -6,590    98.37 P   40,436      +50

SEP20 1Y-MIDC    98.50 C  107,514     +440    98.50 P    8,923   +3,259

SEP21 2Y-MIDC    98.37 C   52,578      +87    98.37 P   13,714     -100

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

SEP22 3Y-MIDC    98.25 C  101,000   +1,000    98.25 P   13,357   +2,543

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

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG19 10Y NOTE PUT/CALL RATIO   -- 1.03 (117,236 PUTS VS. 113,528 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.90 (139,012 PUTS VS. 73,024 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 2.55 (63,602 PUTS VS. 24,901 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.67 (30,434 PUTS VS. 44,874 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 13.8 (34,637 PUTS VS. 2,493 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 16.2 (10,940 PUTS VS. 674 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 1.21 (67,706 PUTS VS. 55,753 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.25 (68,498 PUTS VS. 270,679 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.27 (26,346 PUTS VS. 94,250 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.13 (6,700 PUTS VS. 48,601 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 21.0 (35,701 PUTS VS. 1,775 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

1300        84.10    70.34    76.82    67.16    62.94     66.23

1045        84.30    70.38    76.81    66.98    62.92     66.18

0930        84.30    69.50    76.67    66.91    62.95     66.27

Mon Open    84.26    69.47    76.47    66.75    62.93     66.31

Fri 1500    83.84    68.47    75.29    66.37    63.25     66.64

Fri Open    82.85    66.11    73.52    65.08    63.21     66.71

Thu 1500    85.19    66.77    76.41    66.43    63.52     66.76

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$]