US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 3

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

10:45       8.60%  7.75%   5.21%  4.72%   3.72%  3.23%   12.50%  33.05%

9:30        8.82%  7.77%   5.36%  4.75%   3.84%  3.25%   13.45%  32.27%

MON OPEN    9.02%  7.84%   5.70%  4.82%   3.95%  3.30%   12.30%  32.23%

FRI 1500    8.47%  7.65%   5.35%  4.75%   3.68%  3.18%   11.31%  27.41%

FRI OPEN    7.92%  7.15%   4.75%  4.36%   3.38%  2.98%   8.85%   23.88%

THU 1500    7.12%  7.01%   4.32%  4.14%   2.99%  2.83%   6.85%   16.70%

THU OPEN    7.13%  7.00%   4.29%  4.08%   3.00%  2.82%   6.32%   16.38%

WED 1500    7.59%  7.19%   4.53%  4.29%   3.03%  2.87%   7.92%   17.95%

WED OPEN    7.69%  7.31%   4.56%  4.34%   3.07%  2.89%   7.28%   17.50%

TUE 1500    7.05%  6.95%   4.23%  4.14%   2.95%  2.81%   7.10%   16.70%

TUE OPEN    6.65%  6.68%   4.01%  3.90%   2.70%  2.65%   7.41%   15.35%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   82,714   -9,078   124.00 P  103,503    +176

SEP19 10Y NOTE  126.00 C   37,159   -2,285   112.00 P   40,173      +7

JUL19 5Y NOTE   117.25 C   58,171   +7,516   116.50 P   78,687 +68,966

SEP19 5Y NOTE   119.00 C   14,617      +27   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C    8,561   -2,151   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.12 C    6,098     UNCH   104.12 P   15,023    UNCH

JUN19 EURODLR    97.37 C  364,364      -10    96.75 P  728,209    UNCH

JUL19 EURODLR    97.37 C  206,242     UNCH    97.62 P  170,962 +74,000

JUN19 1Y-MIDC    98.00 C  204,339   -2,495    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    97.75 C  106,325     UNCH    97.50 P  110,368    UNCH

JUN21 3Y-MIDC    97.75 C   94,808     UNCH    97.62 P   80,749    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   82,714   -9,078   126.00 P   21,162  +5,291

JUL19 10Y NOTE  126.50 C   78,759   +8,172   126.50 P   10,065  +9,565

SEP19 10Y NOTE  126.00 C   37,159   -2,285   126.00 P   13,760  +1,006

SEP19 10Y NOTE  126.50 C   12,999   +1,439   126.50 P    2,662  +2,424

JUL19 5Y NOTE   116.75 C   29,385     -297   116.75 P   12,942 +11,127

JUL19 5Y NOTE   117.00 C   42,947   -2,623   117.00 P   14,063 +11,262

SEP19 5Y NOTE   116.75 C   10,315     +568   116.75 P    2,128    +126

SEP19 5Y NOTE   117.00 C    8,093     -399   117.00 P    1,326    -199

JUL19 2Y NOTE   107.00 C    8,561   -2,151   107.00 P    1,359    +250

JUL19 2Y NOTE   107.12 C    3,517   -3,679   107.12 P       80     +30

SEP19 2Y NOTE   107.00 C      133      +91   107.00 P    6,250    UNCH

SEP19 2Y NOTE   107.12 C    6,098     UNCH   107.12 P      144    UNCH

JUN19 EURODLR    97.25 C  243,771   -4,188    97.25 P  316,665    UNCH

JUN19 EURODLR    97.37 C  364,364      -10    97.37 P  255,388    UNCH

JUL19 EURODLR    97.25 C   44,804   -8,951    97.25 P   85,853    UNCH

JUL19 EURODLR    97.37 C  206,242     UNCH    97.37 P  136,207    UNCH

JUN20 1Y-MIDC    97.50 C   69,827     -250    97.50 P  224,220    UNCH

JUN20 1Y-MIDC    97.62 C   98,431     UNCH    97.62 P  319,871    UNCH

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   60,568    UNCH

JUN21 2Y-MIDC    97.75 C  106,325     UNCH    97.75 P  100,992    UNCH

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,749    UNCH

JUN22 3Y-MIDC    97.75 C   94,808     UNCH    97.75 P   43,174    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.57 (177,876 PUTS VS. 309,618 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.64 (62,367 PUTS VS. 96,468 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.76 (282,804 PUTS VS. 102,815 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.81 (25,802 PUTS VS. 31,385 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.42 (6,384 PUTS VS. 14,877 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 2.21 (12,109 PUTS VS. 5,557 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.11 (17,268 PUTS VS. 156,130 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.29 (103,204 PUTS VS. 344,707 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.94 (85,585 PUTS VS. 97,004 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.07 (38,415 PUTS VS. 18,556 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.69 (2,000 PUTS VS. 2,875 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

10:45       81.75    73.70    78.29    71.16    66.83     70.52

9:30        82.53    74.26    78.35    71.03    66.79     70.62

Mon Open    80.50    73.68    78.01    70.77    66.79     70.54

Fri 1500    74.41    73.52    76.97    65.83    65.79     69.45

Fri Open    73.15    72.28    72.99    67.90    64.73     69.30

Thu 1500    68.83    63.47    67.56    62.82    63.41     68.07

Thu Open    69.88    65.06    69.08    64.12    63.90     68.36

Wed 1500    72.39    68.20    71.56    66.31    64.29     69.04

Wed Open    71.12    64.99    70.11    63.71    64.20     68.64

Tue 1500    69.24    62.08    66.65    61.80    63.45     67.49

Tue Open    66.10    60.80    65.60    60.05    62.80     67.45

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

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