US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 1

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

10:30       6.05%  6.28%   3.37%  3.47%   2.15%  2.27%   7.69%   8.39%

FRI OPEN    6.29%  6.38%   3.44%  3.53%   2.23%  2.33%   7.88%   8.19%

THU 3:00    6.16%  6.30%   3.40%  3.54%   2.20%  2.30%   7.39%   8.41%

THU OPEN    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   8.23%   7.61%

WED 3:00    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   7.31%   7.57%

WED OPEN    5.71%  6.04%   3.22%  3.36%   2.14%  2.23%   6.67%   7.74%

TUE 3:00    5.80%  6.07%   3.23%  3.38%   2.17%  2.23%   7.16%   7.27%

TUE OPEN    5.82%  6.10%   3.29%  3.39%   2.16%  2.21%   6.65%   7.75%

MON 3:00    5.85%  6.12%   3.33%  3.35%   2.12%  2.15%   6.57%   7.70%

MON OPEN    6.03%  6.24%   3.33%  3.44%   2.18%  2.25%   7.12%   7.70%

FRI 3:00    5.97%   N/A    3.27%   N/A    2.09%   N/A    7.27%   7.82%

FRI OPEN    6.01%   N/A    3.24%   N/A    2.14%   N/A    7.11%   7.37%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C  104,750   +2,711   121.00 P  123,869  -1,230

JUN19 10Y NOTE  124.50 C   24,342     +510   121.50 P   42,182 +13,805

APR19 5Y NOTE   115.50 C   43,540     +103   114.25 P   42,734  +2,786

JUN19 5Y NOTE   116.00 C   12,325     UNCH   108.25 P  151,523    UNCH

APR19 2Y NOTE   106.25 C    3,580     +874   105.62 P    6,707  +3,473

JUN19 2Y NOTE   106.00 C    4,598     UNCH   105.25 P   35,000    UNCH

MAR19 EURODLR    97.25 C  322,561     UNCH    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  134,736     +125    97.12 P   69,739  +2,000

MAR19 1Y-MIDC    97.50 C  139,542   +2,146    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   96,137      +66    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   49,340     UNCH    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   28,290   +2,013   122.00 P   59,740  +1,143

APR19 10Y NOTE  122.50 C   71,699   +4,820   122.50 P   67,484    -344

JUN19 10Y NOTE  122.00 C   21,433   +1,846   122.00 P   27,848    +705

JUN19 10Y NOTE  122.50 C   16,566     +379   122.50 P   19,998    +164

APR19 5Y NOTE   114.50 C   13,533   +3,541   114.50 P   41,031  +3,018

APR19 5Y NOTE   114.75 C   23,425   +3,907   114.75 P   16,571    +279

JUN19 5Y NOTE   114.50 C    8,398     +119   114.50 P    9,989    +621

JUN19 5Y NOTE   114.75 C   11,980     +189   114.75 P   36,275    +258

APR19 2Y NOTE   106.00 C      622     UNCH   106.00 P    4,923  +2,837

APR19 2Y NOTE   106.12 C      826     +115   106.12 P    4,594  +2,170

JUN19 2Y NOTE   106.00 C    4,598     UNCH   106.00 P   26,547  +5,587

JUN19 2Y NOTE   106.12 C    2,175     +750   106.12 P   11,098     +95

MAR19 EURODLR    97.25 C  322,561     UNCH    97.25 P  318,126    UNCH

MAR19 EURODLR    97.37 C  298,864   -3,500    97.37 P  147,160  -1,750

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   68,840    UNCH

APR19 EURODLR    97.37 C  134,736     +125    97.37 P   35,157    -375

MAR20 1Y-MIDC    97.37 C  133,273   -1,079    97.37 P  130,545    +811

MAR20 1Y-MIDC    97.50 C  139,542   +2,146    97.50 P   38,163    +398

MAR21 2Y-MIDC    97.50 C   84,576     -425    97.50 P   71,489  +5,393

MAR21 2Y-MIDC    97.62 C   96,137      +66    97.62 P   24,595  +1,467

MAR22 3Y-MIDC    97.50 C   43,421     +669    97.50 P   15,119    UNCH

MAR22 3Y-MIDC    97.62 C   47,084  -13,837    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 1.53 (140,772 PUTS VS. 91,472 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.84 (62,904 PUTS VS. 34,118 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 2.20 (50,261 PUTS VS. 22,864 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 5.02 (24,128 PUTS VS. 4,830 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 12.2 (14,705 PUTS VS. 1,266 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 3.41 (10,631 PUTS VS. 3,171 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.40 (3,000 PUTS VS. 7,500 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 5.13 (3,875 PUTS VS. 754 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 3.36 (53,564 PUTS VS. 15,950 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 2.14 (100,680 PUTS VS. 46,844 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 1.98 (48,748 PUTS VS. 24,507 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

10:30       44.60    50.79    53.78    53.65    63.65     70.00

Fri Open    44.20    50.61    53.34    53.27    63.55     69.93

Thu 3:00    44.25    51.10    53.35    53.24    63.38     69.82

Thu Open    44.31    50.66    53.07    52.95    63.28     69.69

Wed 3:00    44.32    50.67    53.02    52.84    63.24     69.65

Wed Open    44.01    50.33    52.78    52.59    63.03     69.32

Tue 3:00    43.93    50.42    52.73    52.51    63.06     69.28

Tue Open    44.10    50.52    52.79    52.61    63.04     69.27

Mon 3:00    44.24    50.87    52.92    52.80    63.18     69.41

Mon Open    44.58    51.33    53.36    53.16    63.27     69.49

Fri 3:00    44.06    50.60    53.28    53.01    63.10     69.34

Fri Open    44.22    50.11    53.10    52.84    63.13     69.37

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

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