US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 26

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1345       7.21%  7.21%   4.47%  4.38%   3.07%  2.99%   31.63%  28.62%

1215       7.20%  7.21%   4.41%  4.42%   3.07%  2.99%   34.60%  28.90%

1030       7.21%  7.22%   4.44%  4.40%   3.08%  3.00%   32.16%  28.62%

0915       7.23%  7.23%   4.45%  4.40%   3.09%  3.00%   32.16%  28.62%

WED OPEN   7.51%  7.60%   4.59%  4.52%   3.21%  3.10%   35.85%  29.60%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649      -20   121.50 P   91,917     UNCH

SEP19 10Y NOTE  130.00 C   51,505  +11,845   121.00 P  130,193     UNCH

AUG19 5Y NOTE   119.00 C   74,502  +22,635   113.25 P  127,079     UNCH

SEP19 5Y NOTE   119.00 C   41,601   +8,242   106.50 P   80,403     UNCH

AUG19 2Y NOTE   108.00 C    2,927     -250   105.50 P   50,500     UNCH

SEP19 2Y NOTE   107.75 C    7,894     UNCH   107.00 P   23,060   +1,050

JUL19 EURODLR    98.00 C  224,652   -7,700    97.75 P  188,859  +14,827

SEP19 EURODLR    98.25 C  802,248  +18,500    97.50 P  808,669   +1,780

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   55,580   -1,059

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.50 C   38,415   -7,955   127.50 P   29,976   +3,840

AUG19 10Y NOTE  128.00 C   54,217     -282   128.00 P   15,578   +5,683

SEP19 10Y NOTE  127.50 C   22,488     -266   127.50 P   23,529     -172

SEP19 10Y NOTE  128.00 C   50,189   +3,046   128.00 P   14,361   +1,885

AUG19 5Y NOTE   118.00 C   28,366      -31   118.00 P    7,182     +672

AUG19 5Y NOTE   118.25 C   15,721   +5,158   118.25 P    7,995   +2,268

SEP19 5Y NOTE   118.00 C   16,578     -114   118.00 P    7,704     -127

SEP19 5Y NOTE   118.25 C   10,911   +2,621   118.25 P    7,195   +3,533

AUG19 2Y NOTE   107.50 C    1,425      -10   107.50 P    3,239     +353

AUG19 2Y NOTE   107.62 C    1,997      -11   107.62 P    2,775      -24

SEP19 2Y NOTE   107.50 C    2,231     UNCH   107.50 P    5,071     +210

SEP19 2Y NOTE   107.62 C      555     UNCH   107.62 P    1,026     +200

JUL19 EURODLR    97.87 C  181,566  -12,422    97.87 P  166,899  +33,139

JUL19 EURODLR    98.00 C  224,652   -7,700    98.00 P   80,541   +2,907

SEP19 EURODLR    97.87 C  513,138   -1,000    97.87 P  125,231   +2,825

SEP19 EURODLR    98.00 C  409,340   -4,465    98.00 P   40,701   +4,615

SEP20 1Y-MIDC    98.37 C   78,525     -750    98.37 P   41,386     +800

SEP20 1Y-MIDC    98.50 C  112,645   +4,069    98.50 P   15,762   +6,589

SEP21 2Y-MIDC    98.37 C   52,614      +36    98.37 P   14,419     UNCH

SEP21 2Y-MIDC    98.50 C   20,650     +257    98.50 P    8,175   +8,000

SEP22 3Y-MIDC    98.25 C  104,284   +3,284    98.25 P   13,357     UNCH

SEP22 3Y-MIDC    98.37 C    6,975     +750    98.37 P    1,150     +850

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG19 10Y NOTE PUT/CALL RATIO   -- 0.64 (127,603 PUTS VS. 198,430 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.38 (83,358 PUTS VS. 214,694 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.02 (82,873 PUTS VS. 80,873 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.60 (28,721 PUTS VS. 47,892 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 1.85 (2,638 PUTS VS. 1,440 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.48 (4,588 PUTS VS. 9,301 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.71 (94,978 PUTS VS. 133,305 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.39 (153,652 PUTS VS. 387,400 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (8,657 PUTS VS. 33,470 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.72 (21,900 PUTS VS. 12,776 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.59 (14,475 PUTS VS. 24,475 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

1345        83.56    68.75    77.26    68.03    63.43     66.59

1215        83.52    68.57    77.63    68.15    63.50     66.55

1030        84.77    70.11    78.45    68.80    63.66     66.61

0915        85.44    71.06    79.25    69.30    63.72     66.73

Wed Open    85.80    71.32    79.45    69.27    63.61     66.60

Tue 1500    85.79    71.34    79.56    69.29    63.58     66.55

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

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

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