US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 14

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

1:45        5.96%  6.12%   3.22%  3.39%   2.11%  2.25%    N/A    6.03%

12:30       5.98%  6.13%   3.20%  3.39%   2.10%  2.24%    N/A    6.10%

10:00       5.89%  6.10%   3.24%  3.37%   2.10%  2.23%    N/A    6.13%

THU OPEN    5.85%  6.07%   3.26%  3.36%   2.10%  2.23%    N/A    6.20%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   84,572   +3,128   121.00 P  133,407     -51

JUN19 10Y NOTE  124.50 C   30,689   +2,352   121.50 P   51,648  +1,036

APR19 5Y NOTE   115.50 C   43,471     UNCH   114.00 P   47,114     -53

JUN19 5Y NOTE   116.25 C   17,564   +1,070   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  143,628   +1,389    97.25 P   70,036    -300

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     UNCH    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   29,775       -2   122.00 P   85,438    -439

APR19 10Y NOTE  122.50 C   80,898     -138   122.50 P   48,849  +6,778

JUN19 10Y NOTE  122.00 C   22,388     UNCH   122.00 P   30,305    +171

JUN19 10Y NOTE  122.50 C   19,063     +151   122.50 P   22,609    +320

APR19 5Y NOTE   114.50 C   13,973     UNCH   114.50 P   40,324    +293

APR19 5Y NOTE   114.75 C   27,076     UNCH   114.75 P   21,712    +452

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

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

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

APR19 2Y NOTE   106.12 C    5,385       -1   106.12 P    3,483    UNCH

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   32,808    +361

JUN19 2Y NOTE   106.12 C    2,113     UNCH   106.12 P   12,203     +50

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

MAR19 EURODLR    97.37 C  290,105     +400    97.37 P  165,779    -750

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,036    -300

APR19 EURODLR    97.37 C  143,628   +1,389    97.37 P   39,305    +750

MAR20 1Y-MIDC    97.37 C  142,733     UNCH    97.37 P  150,574  +2,249

MAR20 1Y-MIDC    97.50 C  118,942   +5,100    97.50 P   39,058    UNCH

MAR21 2Y-MIDC    97.50 C   80,177     UNCH    97.50 P   72,023    -473

MAR21 2Y-MIDC    97.62 C   72,472   -3,456    97.62 P   30,269  +1,455

MAR22 3Y-MIDC    97.50 C   37,955     UNCH    97.50 P   22,321    +250

MAR22 3Y-MIDC    97.62 C   34,891   -4,370    97.62 P    9,320  +1,650

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.49 (40,876 PUTS VS. 81,939 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.69 (41,578 PUTS VS. 24,554 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.70 (8,191 PUTS VS. 11,774 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.93 (6,820 PUTS VS. 7,338 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 16.7 (167 PUTS VS. 10 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 17.6 (2,795 PUTS VS. 158 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 4.00 (2,000 PUTS VS. 500 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 2.20 (5,500 PUTS VS. 2,500 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 0.42 (3,777 PUTS VS. 8,800 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.45 (4,727 PUTS VS. 10,406 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (2,500 PUTS VS. 5,256 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

1:45        43.92    48.73    51.58    51.38    60.87     66.66

12:30       43.98    48.79    51.61    51.41    60.92     66.94

10:00       43.89    48.74    51.62    51.38    60.95     67.01

Thu Open    43.75    48.72    51.62    51.33    60.97     67.20

Wed 3:00    43.75    48.72    51.62    51.33    60.97     67.20

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

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

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