US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 25

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

TUE 1500   7.52%  7.63%   4.64%  4.54%   3.25%  3.11%   36.36%  29.70%

1200       7.49%  7.58%   4.64%  4.50%   3.23%  3.12%   36.88%  30.42%

1045       7.59%  7.61%   4.65%  4.54%   3.22%  3.12%   36.65%  29.77%

0900       7.40%  7.51%   4.69%  4.44%   3.18%  3.07%   37.14%  31.00%

TUE OPEN   7.41%  7.42%   4.57%  4.41%   3.18%  3.04%   37.77%  31.03%

MON 1500   7.40%  7.36%   4.54%  4.40%   3.20%  3.02%   39.01%  31.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,669     UNCH   121.50 P   91,917   +1,574

SEP19 10Y NOTE  128.00 C   47,143   +7,323   121.00 P  130,193     UNCH

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

SEP19 5Y NOTE   119.00 C   33,359  +21,415   106.50 P   80,403     UNCH

AUG19 2Y NOTE   108.00 C    3,177     +623   105.50 P   50,500     UNCH

SEP19 2Y NOTE   107.75 C    7,894       -1   107.00 P   22,010       +1

JUL19 EURODLR    98.00 C  232,352     +125    97.62 P  175,930   -1,400

SEP19 EURODLR    98.25 C  783,748 +155,394    97.50 P  806,889   +1,750

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

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   56,639   -1,100

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.50 C   46,370   -1,207   127.50 P   26,136     +864

AUG19 10Y NOTE  128.00 C   54,499     -395   128.00 P    9,895      -51

SEP19 10Y NOTE  127.50 C   22,754      -79   127.50 P   23,702     +110

SEP19 10Y NOTE  128.00 C   47,143   +7,323   128.00 P   12,476   +1,902

AUG19 5Y NOTE   118.00 C   28,397     +142   118.00 P    6,510      +83

AUG19 5Y NOTE   118.25 C   10,563   +1,224   118.25 P    5,727   +1,114

SEP19 5Y NOTE   118.00 C   16,692   +2,182   118.00 P    7,831     +987

SEP19 5Y NOTE   118.25 C    8,290     +885   118.25 P    3,662   +1,828

AUG19 2Y NOTE   107.50 C    1,435     UNCH   107.50 P    2,886     UNCH

AUG19 2Y NOTE   107.62 C    2,008     +750   107.62 P    2,779     UNCH

SEP19 2Y NOTE   107.50 C    2,231     UNCH   107.50 P    4,861     UNCH

SEP19 2Y NOTE   107.62 C      555     +375   107.62 P      826     +425

JUL19 EURODLR    97.87 C  193,988     UNCH    97.87 P  133,760   +7,750

JUL19 EURODLR    98.00 C  232,352     +125    98.00 P   77,634      +22

SEP19 EURODLR    97.87 C  514,138     +550    97.87 P  122,406     +331

SEP19 EURODLR    98.00 C  413,805  +12,368    98.00 P   36,086     +750

SEP20 1Y-MIDC    98.37 C   79,275     UNCH    98.37 P   40,586     +350

SEP20 1Y-MIDC    98.50 C  108,576   +1,062    98.50 P    9,173     +250

SEP21 2Y-MIDC    98.37 C   52,578     UNCH    98.37 P   14,419     +705

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

SEP22 3Y-MIDC    98.25 C  101,000     UNCH    98.25 P   13,357     UNCH

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   -- 1.16 (45,108 PUTS VS. 38,873 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.25 (57,106 PUTS VS. 45,432 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.11 (43,234 PUTS VS. 38,864 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.20 (8,929 PUTS VS. 42,682 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 15.3 (38,360 PUTS VS. 2,516 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 7.26 (3,379 PUTS VS. 465 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.32 (27,800 PUTS VS. 85,650 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.06 (35,300 PUTS VS. 527,942 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.12 (2,450 PUTS VS. 18,534 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 13.0 (26,037 PUTS VS. 2,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (3,125 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 1500    85.79    71.34    79.56    69.29    63.58     66.55

1200        86.29    71.08    79.37    69.31    63.48     66.57

1045        86.23    70.96    78.82    68.73    63.29     66.35

0900        86.00    70.66    78.48    68.50    63.06     66.21

Tue Open    85.35    70.81    77.99    68.10    63.03     66.29

Mon 1500    84.76    70.96    77.69    67.95    63.01     66.35

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

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]