US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 11

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

10:45       5.98%  6.07%   3.35%  3.37%   2.18%  2.27%    N/A    6.38%

9:15        6.11%  6.13%   3.46%  3.45%   2.22%  2.30%    N/A    6.22%

MON OPEN    6.13%  6.12%   3.38%  3.43%   2.22%  2.28%   7.60%   6.90%

FRI 3:00    5.57%  6.05%   3.26%  3.38%   2.06%  2.25%   6.81%   6.58%

FRI OPEN    5.77%  6.03%   3.20%  3.43%   2.14%  2.25%   7.10%   6.59%

WED 3:00    5.96%  6.12%   3.27%  3.41%   2.13%  2.24%   6.77%   6.98%

WED OPEN    6.15%  6.29%   3.31%  3.45%   2.15%  2.25%   7.56%   7.35%

TUE 3:00    6.19%  6.32%   3.34%  3.49%   2.12%  2.27%   7.23%   7.42%

TUE OPEN    6.32%  6.43%   3.40%  3.56%   2.24%  2.31%   7.60%   7.43%

MON 3:00    6.29%  6.43%   3.42%  3.54%   2.20%  2.32%   7.40%   7.15%

MON OPEN    6.50%  6.49%   3.55%  3.61%   2.34%  2.33%   8.37%   7.31%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.50 C   80,745     +320   121.00 P  132,567  -3,680

JUN19 10Y NOTE  124.00 C   22,700     +226   121.50 P   50,560    +302

APR19 5Y NOTE   115.50 C   44,055   +3,368   114.25 P   49,600  +7,359

JUN19 5Y NOTE   116.25 C   16,494       -9   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.25 C    5,877     +594   105.88 P    6,607    -401

JUN19 2Y NOTE   106.00 C    4,246     -339   105.25 P   35,000    UNCH

MAR19 EURODLR    97.25 C  322,453     UNCH    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  139,128     -100    97.25 P   70,761  -1,000

MAR19 1Y-MIDC    97.37 C  133,190     -500    96.62 P  789,236  -1,000

MAR20 2Y-MIDC    97.62 C   83,778   -1,057    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.75 C   52,860  +28,463    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   30,214     -828   122.00 P   78,576 +17,566

APR19 10Y NOTE  122.50 C   80,745     +320   122.50 P   41,767    +845

JUN19 10Y NOTE  122.00 C   22,383     -946   122.00 P   29,653  -2,438

JUN19 10Y NOTE  122.50 C   17,330      +91   122.50 P   20,405    -376

APR19 5Y NOTE   114.50 C   13,971     -105   114.50 P   39,744  -2,620

APR19 5Y NOTE   114.75 C   27,179      -58   114.75 P   19,093  +2,893

JUN19 5Y NOTE   114.50 C   11,230     UNCH   114.50 P   11,793  -2,096

JUN19 5Y NOTE   114.75 C   11,014     +138   114.75 P   36,522    +166

APR19 2Y NOTE   106.00 C    1,626      +96   106.00 P    4,718      +2

APR19 2Y NOTE   106.12 C    5,385       +2   106.12 P    3,540     -38

JUN19 2Y NOTE   106.00 C    4,246     -339   106.00 P   28,506  +2,000

JUN19 2Y NOTE   106.12 C    2,113     UNCH   106.12 P   12,103  +1,000

MAR19 EURODLR    97.25 C  322,453     UNCH    97.25 P  318,126    UNCH

MAR19 EURODLR    97.37 C  294,008     +250    97.37 P  166,227  +3,635

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,761  -1,000

APR19 EURODLR    97.37 C  139,128     -100    97.37 P   35,839    -700

MAR20 1Y-MIDC    97.37 C  133,190     -500    97.37 P  129,175  -2,484

MAR20 1Y-MIDC    97.50 C  115,222   +9,251    97.50 P   39,658  +1,400

MAR21 2Y-MIDC    97.50 C   80,177     UNCH    97.50 P   68,133    +150

MAR21 2Y-MIDC    97.62 C   83,778   -1,057    97.62 P   28,589  +2,557

MAR22 3Y-MIDC    97.50 C   37,955     -250    97.50 P   21,957  +2,000

MAR22 3Y-MIDC    97.62 C   52,356   +1,869    97.62 P    6,845  +1,120

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 1.06 (173,000 PUTS VS. 163,540 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.93 (30,479 PUTS VS. 32,624 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.75 (29,635 PUTS VS. 39,307 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.24 (27,491 PUTS VS. 22,127 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.93 (1,545 PUTS VS. 1,667 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 2.22 (6,030 PUTS VS. 2,699 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 3.52 (6,004 PUTS VS. 1,750 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.14 (3,500 PUTS VS. 23,600 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.73 (23,193 PUTS VS. 31,450 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 4.12 (13,209 PUTS VS. 3,200 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (8,100 PUTS VS. 14,600 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       43.98    49.45    52.55    52.37    62.60     69.10

9:15        44.25    49.52    52.68    52.52    62.74     69.22

Mon Open    44.23    49.47    52.72    52.57    62.71     69.19

Fri 3:00    44.11    48.90    52.38    52.23    62.79     69.11

Fri Open    44.25    49.65    52.66    52.81    62.99     69.11

Wed 3:00    43.92    49.57    52.65    52.77    63.07     69.25

Wed Open    44.10    50.33    52.90    53.03    63.20     69.30

Tue 3:00    44.29    51.74    53.36    53.56    63.42     69.58

Tue Open    44.62    52.26    53.66    53.87    63.62     69.70

Mon 3:00    44.57    51.84    53.70    53.75    63.47     69.60

Mon Open    44.84    51.97    54.08    54.10    64.03     70.02

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

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