US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 12

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

11:45       5.72%  5.92%   3.10%  3.29%   2.07%  2.16%    N/A    6.64%

10:30       5.62%  5.90%   3.13%  3.26%   2.00%  2.15%    N/A    6.75%

TUE OPEN    6.08%  6.01%   3.33%  3.35%   2.23%  2.23%    N/A    6.37%

MON 3:00    5.92%  6.00%   3.28%  3.36%   2.12%  2.23%    N/A    6.56%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.50 C   81,415     +670   121.50 P  138,468 +19,755

JUN19 10Y NOTE  123.50 C   22,704      +19   121.50 P   50,607     +47

APR19 5Y NOTE   115.50 C   43,996      -59   114.00 P   49,458    -142

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

APR19 2Y NOTE   106.25 C    5,878       +1   105.88 P    6,608      +1

JUN19 2Y NOTE   106.00 C    4,246     UNCH   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  139,489     +361    97.25 P   70,761    UNCH

MAR19 1Y-MIDC    97.37 C  142,733   +6,543    96.62 P  789,236    UNCH

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

MAR21 3Y-MIDC    97.75 C   52,485     -375    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   29,837     -377   122.00 P   89,208 +10,632

APR19 10Y NOTE  122.50 C   81,415     +670   122.50 P   42,108    +341

JUN19 10Y NOTE  122.00 C   22,578     +195   122.00 P   29,657      +4

JUN19 10Y NOTE  122.50 C   18,208     +878   122.50 P   21,003    +598

APR19 5Y NOTE   114.50 C   13,972       +1   114.50 P   39,474     +50

APR19 5Y NOTE   114.75 C   27,395     +216   114.75 P   20,451  +1,358

JUN19 5Y NOTE   114.50 C   11,229       -1   114.50 P   11,793    UNCH

JUN19 5Y NOTE   114.75 C   11,013       -1   114.75 P   36,367    -155

APR19 2Y NOTE   106.00 C    1,625       -1   106.00 P    4,717      -1

APR19 2Y NOTE   106.12 C    5,386       +1   106.12 P    3,540    UNCH

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   28,506    UNCH

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

MAR19 EURODLR    97.25 C  322,453     UNCH    97.25 P  318,001    -125

MAR19 EURODLR    97.37 C  294,953     UNCH    97.37 P  166,529    +302

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,761    UNCH

APR19 EURODLR    97.37 C  139,489     +361    97.37 P   36,089    +250

MAR20 1Y-MIDC    97.37 C  142,733   +6,543    97.37 P  135,602  +6,427

MAR20 1Y-MIDC    97.50 C  116,372   +1,150    97.50 P   40,008    +350

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

MAR21 2Y-MIDC    97.62 C   83,778     UNCH    97.62 P   28,589    UNCH

MAR22 3Y-MIDC    97.50 C   37,955     UNCH    97.50 P   22,221    +264

MAR22 3Y-MIDC    97.62 C   50,101   -2,255    97.62 P    6,845    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 2.78 (114,422 PUTS VS. 41,154 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.57 (4,797 PUTS VS. 8,423 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.67 (5,300 PUTS VS. 7,842 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.88 (2,298 PUTS VS. 2,657 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.57 (4 PUTS VS. 7 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 2.40 (12 PUTS VS. 5 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.34 (3,860 PUTS VS. 10,960 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.52 (500 PUTS VS. 950 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.63 (14,200 PUTS VS. 22,425 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.02 (250 PUTS VS. 11,994 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.07 (500 PUTS VS. 6,712 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

11:45       42.56    48.78    50.93    50.54    61.27     67.49

10:30       42.76    49.00    51.24    51.07    61.46     67.60

Tue Open    43.37    49.35    51.89    51.67    61.85     68.33

Mon 3:00    43.52    49.50    52.23    52.06    62.24     68.67

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

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

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