US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 19

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDJ     EDM

12:45        N/A   5.83%    N/A   3.27%    N/A   2.17%   7.22%   6.59%

11:15        N/A   5.78%    N/A   3.30%    N/A   2.19%   7.69%   6.33%

10:00        N/A   5.75%    N/A   3.30%    N/A   2.20%   7.17%   6.76%

TUE OPEN    6.91%  5.97%   4.09%  3.37%   2.85%  2.24%   6.93%   6.30%

MON 3:00    6.91%  5.97%   4.09%  3.37%   2.85%  2.24%   6.93%   6.30%

MON OPEN    6.81%  6.19%   3.03%  3.45%   2.71%  2.27%   6.25%   6.31%

FRI 3:00    5.68%  6.08%   3.22%  3.40%   2.09%  2.24%   6.00%    N/A

FRI OPEN    5.85%  6.11%   3.23%  3.38%   2.12%  2.24%   6.05%    N/A

THU 3:00    5.68%  6.11%   3.13%  3.38%   2.10%  2.24%   6.05%    N/A

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   86,677   +7,522   121.50 P  133,172    UNCH

JUN19 10Y NOTE  124.50 C   32,520      +61   121.00 P   51,535  -1,700

APR19 5Y NOTE   115.50 C   45,662     +829   114.00 P   46,239    -133

JUN19 5Y NOTE   116.25 C   20,225     UNCH   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.12 C    5,384       -1   105.88 P    6,608    UNCH

JUN19 2Y NOTE   106.50 C   17,231     UNCH   106.00 P   44,083    UNCH

APR19 EURODLR    97.37 C  151,846   +4,718    97.25 P   70,486    +450

JUN19 EURODLR    97.37 C  426,620   -1,442    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  152,822     UNCH    97.37 P  141,155    +986

JUN20 2Y-MIDC    97.50 C   84,001     UNCH    97.25 P  101,610    +300

JUN21 3Y-MIDC    97.75 C   96,916     UNCH    97.25 P   48,136    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   29,248     -102   122.00 P   81,689 -10,720

APR19 10Y NOTE  122.50 C   80,254     +236   122.50 P   50,865    +590

JUN19 10Y NOTE  122.00 C   22,407      +49   122.00 P   33,668    +811

JUN19 10Y NOTE  122.50 C   20,688     UNCH   122.50 P   23,666    -580

APR19 5Y NOTE   114.50 C   13,940       -1   114.50 P   39,523    -950

APR19 5Y NOTE   114.75 C   26,899     -174   114.75 P   57,093 +36,980

JUN19 5Y NOTE   114.50 C   11,231     UNCH   114.50 P   19,002    UNCH

JUN19 5Y NOTE   114.75 C   11,214     UNCH   114.75 P   36,727     +10

APR19 2Y NOTE   106.00 C    1,660      +95   106.00 P    4,496    -200

APR19 2Y NOTE   106.12 C    5,384       -1   106.12 P    3,420     -34

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   44,083    UNCH

JUN19 2Y NOTE   106.12 C    2,548       +1   106.12 P   16,645    UNCH

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   70,486    +450

APR19 EURODLR    97.37 C  151,846   +4,718    97.37 P   55,174  +4,400

JUN19 EURODLR    97.25 C  257,660     +180    97.25 P  297,518    -500

JUN19 EURODLR    97.37 C  426,620   -1,442    97.37 P  225,300  +1,800

JUN20 1Y-MIDC    97.50 C   73,881     UNCH    97.50 P  110,926    +100

JUN20 1Y-MIDC    97.62 C   61,707     UNCH    97.62 P    8,625    UNCH

JUN21 2Y-MIDC    97.62 C   23,753     -200    97.62 P    9,185    UNCH

JUN21 2Y-MIDC    97.75 C   82,676     UNCH    97.75 P    6,340    UNCH

JUN22 3Y-MIDC    97.62 C    9,809     +250    97.62 P   24,086 +13,086

JUN22 3Y-MIDC    97.75 C   96,916     UNCH    97.75 P   13,086 +13,086

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.52 (86,188 PUTS VS. 164,936 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.67 (40,855 PUTS VS. 60,225 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.41 (72,831 PUTS VS. 51,654 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.64 (12,492 PUTS VS. 19,567 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 1.92 (1,451 PUTS VS. 755 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 14.5 (4,448 PUTS VS. 305 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.13 (5,750 PUTS VS. 41,106 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.04 (6,600 PUTS VS. 146,646 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.49 (21,200 PUTS VS. 8,500 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.06 (800 PUTS VS. 750 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 83.4 (41,703 PUTS VS. 500 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

12:45       44.04    48.56    50.95    50.05    58.88     65.35

11:15       44.09    48.66    50.99    50.10    58.88     65.40

10:00       44.19    48.74    51.00    50.12    59.21     65.53

Tue Open    44.09    49.86    51.40    51.13    59.72     65.70

Mon 3:00    44.09    49.86    51.40    51.13    59.72     65.70

Mon Open    44.04    49.44    51.48    51.24    59.89     65.80

Fri 3:00    43.57    48.92    51.21    51.03    60.17     66.00

Fri Open    43.29    48.37    50.88    50.03    60.01     65.98

Thu 3:00    43.92    48.61    51.51    51.33    60.85     66.58

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

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

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