US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 13

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

WED 3:00    5.85%  6.07%   3.26%  3.36%   2.10%  2.23%    N/A    6.20%

1:15        5.96%  6.01%   3.23%  3.37%   2.11%  2.21%    N/A    6.15%

11:00       5.99%  6.01%   3.27%  3.34%   2.07%  2.21%    N/A    6.05%

9:30        5.96%  5.95%   3.27%  3.34%   2.11%  2.20%    N/A    6.16%

WED OPEN    5.98%  6.00%   3.26%  3.32%   2.14%  2.22%    N/A    5.95%

TUE 3:00    5.97%  5.99%   3.33%  3.31%   2.15%  2.18%    N/A    6.05%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   81,444   +2,421   121.50 P  135,005  -3,463

JUN19 10Y NOTE  124.50 C   27,837   +5,830   121.50 P   50,612      +5

APR19 5Y NOTE   115.50 C   43,471     -525   114.00 P   47,167  -2,291

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

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

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  142,239   +2,750    97.25 P   70,336    -425

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

MAR20 2Y-MIDC    97.50 C   80,177     UNCH    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.75 C   52,535      +50    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   29,777      -60   122.00 P   88,377    -831

APR19 10Y NOTE  122.50 C   81,036     +381   122.50 P   42,071     -37

JUN19 10Y NOTE  122.00 C   22,388     -190   122.00 P   30,134    +477

JUN19 10Y NOTE  122.50 C   18,912     +704   122.50 P   22,289  +1,286

APR19 5Y NOTE   114.50 C   13,973       +1   114.50 P   40,031    +237

APR19 5Y NOTE   114.75 C   27,076     -319   114.75 P   21,260    +809

JUN19 5Y NOTE   114.50 C   11,229     UNCH   114.50 P   15,797  +4,004

JUN19 5Y NOTE   114.75 C   11,013     UNCH   114.75 P   36,317     -50

APR19 2Y NOTE   106.00 C    1,625     UNCH   106.00 P    4,696     -21

APR19 2Y NOTE   106.12 C    5,386     UNCH   106.12 P    3,483     -57

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   32,447  +3,941

JUN19 2Y NOTE   106.12 C    2,113     UNCH   106.12 P   12,153     +50

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

MAR19 EURODLR    97.37 C  289,705   -3,800    97.37 P  166,529    UNCH

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,336    -425

APR19 EURODLR    97.37 C  142,239   +2,750    97.37 P   38,555  +2,466

MAR20 1Y-MIDC    97.37 C  142,733     UNCH    97.37 P  158,325 +22,723

MAR20 1Y-MIDC    97.50 C  113,862     -510    97.50 P   39,058    -950

MAR21 2Y-MIDC    97.50 C   80,177     UNCH    97.50 P   72,496  +4,363

MAR21 2Y-MIDC    97.62 C   75,928   -7,850    97.62 P   28,814    +225

MAR22 3Y-MIDC    97.50 C   37,955     UNCH    97.50 P   22,071    -150

MAR22 3Y-MIDC    97.62 C   40,061   -8,740    97.62 P    7,670    +825

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.82 (95,600 PUTS VS. 116,008 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.44 (48,210 PUTS VS. 33,339 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.37 (20,200 PUTS VS. 14,751 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.25 (28,962 PUTS VS. 12,819 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 4.23 (220 PUTS VS. 52 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 1.39 (15,199 PUTS VS. 10,960 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.01 (250 PUTS VS. 17,459 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 1.30 (4,300 PUTS VS. 3,350 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 1.20 (45,537 PUTS VS. 37,938 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.53 (12,651 PUTS VS. 23,450 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (1,100 PUTS VS. 12,520 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

Wed 3:00    43.75    48.72    51.62    51.33    60.97     67.20

1:15        43.64    48.71    51.56    51.25    60.96     67.22

11:00       43.59    48.73    51.48    51.17    60.99     67.24

9:30        43.36    48.56    51.33    51.05    60.98     67.21

Wed Open    43.33    48.79    51.41    51.15    61.08     67.32

Tue 3:00    43.02    49.20    51.17    50.69    61.03     67.33

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

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

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