US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 6

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

9:15        8.08%  7.81%   4.75%  4.63%   3.64%  3.30%   12.15%  30.75%

THU OPEN    8.18%  7.85%   4.98%  4.72%   3.70%  3.34%   13.25%  32.80%

WED 1500    8.09%  7.72%   4.98%  4.72%   3.70%  3.34%   14.00%  34.68%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   79,697   -1,376   124.00 P  100,371  -1,168

SEP19 10Y NOTE  126.00 C   35,064      -54   112.00 P   67,712  +3,144

JUL19 5Y NOTE   117.25 C   57,435     UNCH   116.50 P   80,482    +728

SEP19 5Y NOTE   119.00 C   15,318     +581   106.50 P   80,403    UNCH

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

SEP19 2Y NOTE   107.75 C    7,693     UNCH   107.00 P   23,524     +23

JUN19 EURODLR    97.37 C  365,217     +500    96.75 P  728,204      -5

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

JUN19 1Y-MIDC    98.00 C  187,115  -12,450    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    98.00 C  100,349     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  127.00 C   53,945     +655   127.00 P    8,169    +837

JUL19 10Y NOTE  127.50 C   62,420   +6,189   127.50 P    2,181    +493

SEP19 10Y NOTE  127.00 C   21,955     +261   127.00 P    7,529    +807

SEP19 10Y NOTE  127.50 C   16,051     +950   127.50 P    2,304    +915

JUL19 5Y NOTE   117.50 C   22,526      +25   117.50 P    7,378  +2,417

JUL19 5Y NOTE   117.75 C   33,800   +2,964   117.75 P    3,909  +3,162

SEP19 5Y NOTE   117.50 C   10,080       -5   117.50 P    6,001      +1

SEP19 5Y NOTE   117.75 C    9,384   +1,570   117.75 P    5,470  +1,372

JUL19 2Y NOTE   107.38 C    4,889      -26   107.38 P      500    UNCH

JUL19 2Y NOTE   107.50 C      790     UNCH   107.50 P    1,549  +1,549

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

SEP19 2Y NOTE   107.50 C       95      +85   107.50 P       85     +85

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

JUN19 EURODLR    97.37 C  365,217     +500    97.37 P  254,363    UNCH

JUL19 EURODLR    97.25 C   44,170     -200    97.25 P   85,854    UNCH

JUL19 EURODLR    97.37 C  205,742     UNCH    97.37 P  141,306    UNCH

JUN20 1Y-MIDC    97.50 C   65,695   -1,843    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   97,503     -291    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   -- 1.12 (121,246 PUTS VS. 108,812 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 2.10 (61,242 PUTS VS. 29,051 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.13 (62,085 PUTS VS. 29,993 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.11 (39,940 PUTS VS. 35,412 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 2.32 (8,658 PUTS VS. 3,769 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 3.10 (2,484 PUTS VS. 800 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.09 (33,943 PUTS VS. 342,559 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.09 (53,864 PUTS VS. 540,980 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.94 (77,533 PUTS VS. 82,183 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.29 (14,650 PUTS VS. 11,332 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 3.17 (11,150 PUTS VS. 3,552 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

9:15        86.08    72.34    79.30    69.93    65.56     69.62

Thu Open    85.19    74.45    79.98    70.17    65.86     70.09

Wed 1500    85.19    74.45    79.98    70.17    65.86     70.09

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     68.46

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

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