US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 5

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1300        7.97%  7.62%   4.97%  4.70%   3.74%  3.32%   13.50%  34.05%

1030        8.17%  7.70%   5.08%  4.72%   3.76%  3.35%   15.10%  33.84%

WED OPEN    8.15%  7.65%   5.02%  4.65%   3.60%  3.22%   14.90%  34.15%

TUE 1500    8.29%  7.75%   5.11%  4.68%   3.68%  3.27%   15.30%  35.15%

TUE OPEN    8.53%  7.80%   5.25%  4.74%   3.77%  3.40%   13.65%  32.91%

Mon 1500    8.68%  7.83%   5.20%  4.76%   3.79%  3.29%   11.30%  35.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   81,073   -1,059   124.00 P  101,539    +356

SEP19 10Y NOTE  126.00 C   34,978     -293   112.00 P   64,568 +13,036

JUL19 5Y NOTE   117.25 C   57,435      -66   116.50 P   79,754    +405

SEP19 5Y NOTE   119.00 C   14,737       +3   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C    8,583       +2   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.75 C    7,693   +4,995   104.12 P   15,023    UNCH

JUN19 EURODLR    97.37 C  364,717      -48    96.75 P  728,209    UNCH

JUL19 EURODLR    97.37 C  205,742     UNCH    97.50 P  172,264 +10,314

JUN19 1Y-MIDC    98.00 C  199,565   -5,124    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    98.00 C  100,349     -125    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  127.00 C   53,290     -566   127.00 P    7,332     -68

JUL19 10Y NOTE  127.50 C   56,231   +1,591   127.50 P    1,688     +86

SEP19 10Y NOTE  127.00 C   21,694   +1,166   127.00 P    6,722  +1,002

SEP19 10Y NOTE  127.50 C   15,101     -544   127.50 P    1,389     +17

JUL19 5Y NOTE   117.50 C   22,501     +973   117.50 P    4,961  +4,278

JUL19 5Y NOTE   117.75 C   30,836   +1,124   117.75 P      747    +466

SEP19 5Y NOTE   117.50 C   10,085     +816   117.50 P    6,000  +2,000

SEP19 5Y NOTE   117.75 C    7,814     +836   117.75 P    4,098     +98

JUL19 2Y NOTE   107.38 C    4,915     -899   107.38 P      500      -4

JUL19 2Y NOTE   107.50 C      790     UNCH   107.50 P        0    UNCH

SEP19 2Y NOTE   107.38 C      582     +448   107.38 P      101    UNCH

SEP19 2Y NOTE   107.50 C       10       +5   107.50 P        0    UNCH

JUN19 EURODLR    97.25 C  243,771     UNCH    97.25 P  316,665    UNCH

JUN19 EURODLR    97.37 C  364,717      -48    97.37 P  254,363  -1,275

JUL19 EURODLR    97.25 C   44,370     -434    97.25 P   85,854      -8

JUL19 EURODLR    97.37 C  205,742     UNCH    97.37 P  141,306  -3,566

JUN20 1Y-MIDC    97.50 C   67,538   -2,289    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   97,794   -8,531    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   -- 1.14 (130,046 PUTS VS. 114,132 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.34 (55,607 PUTS VS. 41,125 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.11 (76,884 PUTS VS. 68,944 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.65 (15,936 PUTS VS. 23,835 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.49 (2,614 PUTS VS. 5,351 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 3.98 (28,354 PUTS VS. 7,121 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.06 (21,684 PUTS VS. 330,032 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.48 (137,832 PUTS VS. 285,721 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.32 (82,148 PUTS VS. 62,400 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 10.8 (14,857 PUTS VS. 1,375 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.13 (750 PUTS VS. 5,500 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        85.24    74.55    79.83    70.37    65.99     70.13

1030        86.85    74.96    79.63    70.39    66.21     70.15

Wed Open    84.53    73.64    78.35    69.52    65.42     69.85

Tue 1500    84.22    73.58    78.17    69.91    65.68     70.10

Tue Open    84.03    74.48    77.80    71.02    66.31     70.47

Mon 1500    82.22    73.77    78.32    70.04    66.06     69.80

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

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

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