US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 28

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1245       7.14%  7.20%   4.45%  4.43%   3.09%  2.98%   30.70%  27.55%

1030       7.28%  7.29%   4.53%  4.44%   3.14%  3.00%   29.57%  28.25%

FRI OPEN   7.43%  7.37%   4.60%  4.47%   3.18%  3.05%   31.68%  28.80%

THU 1500   7.08%  7.15%   4.44%  4.39%   3.07%  2.98%   31.90%  28.01%

THU OPEN   7.15%  7.15%   4.39%  4.28%   3.08%  2.95%   31.19%  28.68%

WED 1500   7.17%  7.19%   4.44%  4.39%   3.10%  3.00%   33.20%  28.56%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P   93,205  +19,143

SEP19 10Y NOTE  130.00 C   57,991   +6,808   121.00 P  130,215     UNCH

AUG19 5Y NOTE   119.00 C   81,013     -435   113.25 P  127,079     UNCH

SEP19 5Y NOTE   119.00 C   51,051   +9,332   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.75 C    5,891      +58   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,478   +1,350   107.00 P   28,060   +5,000

JUL19 EURODLR    98.00 C  217,492     -788    97.75 P  190,259     +200

SEP19 EURODLR    98.25 C  812,615   +7,688    97.50 P  781,211  -27,456

SEP20 1Y-MIDC    98.12 C  141,859   -1,000    97.75 P  169,375   -3,522

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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.50 C   41,189   +2,462   127.50 P   30,477     +387

AUG19 10Y NOTE  128.00 C   58,686     +381   128.00 P   18,493      -87

SEP19 10Y NOTE  127.50 C   23,768     +974   127.50 P   25,069   +1,066

SEP19 10Y NOTE  128.00 C   52,510   +1,091   128.00 P   17,023     +711

AUG19 5Y NOTE   118.00 C   29,107       +5   118.00 P   10,564   +1,467

AUG19 5Y NOTE   118.25 C   20,335   +4,286   118.25 P    9,689   +1,814

SEP19 5Y NOTE   118.00 C   17,312     +411   118.00 P    8,381     +596

SEP19 5Y NOTE   118.25 C   12,597     -151   118.25 P    9,195     UNCH

AUG19 2Y NOTE   107.50 C    1,425     UNCH   107.50 P    3,239     UNCH

AUG19 2Y NOTE   107.62 C    5,891      +58   107.62 P    6,700     UNCH

SEP19 2Y NOTE   107.50 C    2,625     +394   107.50 P    5,190      +19

SEP19 2Y NOTE   107.62 C      964     +409   107.62 P    1,026     UNCH

JUL19 EURODLR    97.87 C  180,197   +1,597    97.87 P  170,681   +2,750

JUL19 EURODLR    98.00 C  217,492     -788    98.00 P   83,568   +3,027

SEP19 EURODLR    97.87 C  511,135   -2,002    97.87 P  129,549   +2,501

SEP19 EURODLR    98.00 C  389,243   +1,771    98.00 P   43,667     +566

SEP20 1Y-MIDC    98.37 C   78,525     UNCH    98.37 P   42,786   +1,400

SEP20 1Y-MIDC    98.50 C  108,223   -3,471    98.50 P   21,312     UNCH

SEP21 2Y-MIDC    98.37 C   52,614     UNCH    98.37 P   14,429     UNCH

SEP21 2Y-MIDC    98.50 C   21,700     UNCH    98.50 P   11,185     UNCH

SEP22 3Y-MIDC    98.25 C  106,784     UNCH    98.25 P   13,439      +82

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG19 10Y NOTE PUT/CALL RATIO   -- 0.81 (102,079 PUTS VS. 126,250 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.23 (63,021 PUTS VS. 51,524 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.71 (28,087 PUTS VS. 39,143 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.33 (7,423 PUTS VS. 22,413 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.51 (555 PUTS VS. 1,005 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 2.11 (7,640 PUTS VS. 3,653 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.73 (32,421 PUTS VS. 43,882 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.55 (109,242 PUTS VS. 195,650 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.20 (71,150 PUTS VS. 59,300 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.75 (5,500 PUTS VS. 2,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (82 PUTS VS. 82 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

1245        79.30    66.08    75.03    66.81    63.05     66.26

1030        79.91    66.32    75.38    67.01    63.08     66.29

Fri Open    80.11    66.10    75.26    67.03    63.13     66.37

Thu 1500    80.43    65.62    75.17    66.94    62.84     66.00

Thu Open    80.53    66.02    75.48    67.01    63.22     66.25

Wed 1500    82.28    68.40    76.53    67.84    63.43     66.55

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

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

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