US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUN 7

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

1230        7.11%  7.35%   4.36%  4.30%   3.13%  2.98%   16.20%  32.05%

0900        8.21%  7.83%   4.74%  4.57%   3.42%  3.20%   16.50%  34.55%

FRI OPEN    8.25%  7.94%   4.91%  4.70%   3.60%  3.25%   14.75%  34.45%

THU 1500    8.26%  7.90%   4.87%  4.69%   3.61%  3.26%   12.00%  34.25%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C   79,380     -317   124.00 P  100,371    UNCH

SEP19 10Y NOTE  126.00 C   33,738   -1,186   112.00 P   69,712  +2,000

JUL19 5Y NOTE   117.25 C   57,371      -64   116.50 P   85,897  +5,415

SEP19 5Y NOTE   117.75 C   16,699   +7,315   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   23,523      -1

JUN19 EURODLR    97.37 C  365,217     UNCH    96.75 P  728,204    UNCH

JUL19 EURODLR    97.37 C  205,742     UNCH    97.50 P  168,323  -3,941

JUN19 1Y-MIDC    98.00 C  186,365     -750    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    98.00 C   98,424   -1,925    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   54,329     +384   127.00 P    9,747  +1,578

JUL19 10Y NOTE  127.50 C   65,125   +2,705   127.50 P    2,177      -4

SEP19 10Y NOTE  127.00 C   23,827   +1,872   127.00 P   10,837  +3,308

SEP19 10Y NOTE  127.50 C   15,617     -434   127.50 P    1,974    -330

JUL19 5Y NOTE   117.50 C   22,545      +19   117.50 P    7,672    +294

JUL19 5Y NOTE   117.75 C   33,972     +172   117.75 P    3,860     -49

SEP19 5Y NOTE   117.50 C   10,649     +569   117.50 P    6,101    +100

SEP19 5Y NOTE   117.75 C   16,699   +7,315   117.75 P   12,738  +7,268

JUL19 2Y NOTE   107.38 C    4,889     UNCH   107.38 P      507      +7

JUL19 2Y NOTE   107.50 C      702      -88   107.50 P    1,549    UNCH

SEP19 2Y NOTE   107.38 C      582     UNCH   107.38 P      141     +40

SEP19 2Y NOTE   107.50 C      252     +127   107.50 P      164     +79

JUN19 EURODLR    97.25 C  241,083   -2,688    97.25 P  316,665    UNCH

JUN19 EURODLR    97.37 C  365,217     UNCH    97.37 P  253,363  -1,000

JUL19 EURODLR    97.25 C   44,170     UNCH    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     UNCH    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   24,249   -2,247    97.62 P   60,118    -450

JUN21 2Y-MIDC    97.75 C   97,503     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   -- 0.78 (61,807 PUTS VS. 76,478 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.77 (71,461 PUTS VS. 40,572 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 6.83 (42,443 PUTS VS. 6,245 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.08 (23,050 PUTS VS. 21,253 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.80 (362 PUTS VS. 447 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 4.63 (3,438 PUTS VS. 741 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.18 (24,282 PUTS VS. 133,146 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 1.54 (97,030 PUTS VS. 50,890 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.71 (70,595 PUTS VS. 26,015 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.27 (7,205 PUTS VS. 26,425 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.95 (5,786 PUTS VS. 6,036 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

1230        79.01    65.28    72.53    64.55    63.45     67.46

0900        80.71    67.54    74.80    64.13    64.05     68.20

Fri Open    81.83    67.11    74.52    63.95    64.85     68.86

Thu 1500    83.85    70.03    77.47    68.56    64.85     68.86

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

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

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