US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 20

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDJ     EDM

WED 3:00     N/A   5.74%    N/A   3.17%    N/A   2.13%   6.09%   5.69%

11:30        N/A   5.77%    N/A   3.23%    N/A   2.18%   7.36%   6.20%

9:45         N/A   5.77%    N/A   3.28%    N/A   2.21%   7.34%   6.26%

WED OPEN     N/A   5.79%    N/A   3.29%    N/A   2.18%   7.03%   6.31%

TUE 3:00     N/A   5.80%    N/A   3.29%    N/A   2.18%   6.99%   6.39%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   89,878   +3,764   121.50 P  133,081     -91

JUN19 10Y NOTE  124.50 C   37,896   +5,376   121.50 P   51,535  -1,700

APR19 5Y NOTE   115.50 C   44,318   -1,344   114.75 P   50,676    +583

JUN19 5Y NOTE   116.00 C   26,814  +13,069   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.12 C    5,383       -1   105.88 P    6,610      +2

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

APR19 EURODLR    97.37 C  151,846     UNCH    97.25 P   70,486    UNCH

JUN19 EURODLR    97.37 C  426,870     +250    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  152,822     UNCH    97.37 P  143,125  +1,970

JUN20 2Y-MIDC    97.75 C   87,676   +5,000    97.25 P  101,610    UNCH

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   28,745     -503   122.00 P   83,314  +1,825

APR19 10Y NOTE  122.50 C   78,869   -1,385   122.50 P   56,387  +5,522

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

JUN19 10Y NOTE  122.50 C   23,786   +3,098   122.50 P   23,666    -580

APR19 5Y NOTE   114.50 C   13,533     -407   114.50 P   41,841  +2,318

APR19 5Y NOTE   114.75 C   26,880      -19   114.75 P   50,676    +583

JUN19 5Y NOTE   114.50 C   11,230       -1   114.50 P   19,077     +75

JUN19 5Y NOTE   114.75 C   10,264     -950   114.75 P   36,077    -650

APR19 2Y NOTE   106.00 C    1,660     UNCH   106.00 P    4,233    -263

APR19 2Y NOTE   106.12 C    5,383       -1   106.12 P    5,478  +2,058

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

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

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

APR19 EURODLR    97.37 C  151,846     UNCH    97.37 P   58,774  +3,600

JUN19 EURODLR    97.25 C  257,660     UNCH    97.25 P  295,518  -2,000

JUN19 EURODLR    97.37 C  426,870     +250    97.37 P  225,400    +100

JUN20 1Y-MIDC    97.50 C   75,973   +2,092    97.50 P  110,376    -550

JUN20 1Y-MIDC    97.62 C   62,707   +1,000    97.62 P    8,625    UNCH

JUN21 2Y-MIDC    97.62 C   23,853     +100    97.62 P   10,385  +1,200

JUN21 2Y-MIDC    97.75 C   87,676   +5,000    97.75 P    6,340    UNCH

JUN22 3Y-MIDC    97.62 C   12,849   +3,040    97.62 P   31,634  +7,548

JUN22 3Y-MIDC    97.75 C   96,916     UNCH    97.75 P   19,086  +6,000

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.42 (60,905 PUTS VS. 142,694 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.08 (57,872 PUTS VS. 53,299 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.07 (24,397 PUTS VS. 22,726 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.95 (24,000 PUTS VS. 25,243 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 1.26 (3,837 PUTS VS. 3,001 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 1.87 (1,727 PUTS VS. 919 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.83 (5,000 PUTS VS. 6,000 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 1.21 (7,790 PUTS VS. 6,390 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.60 (12,177 PUTS VS. 19,887 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.91 (7,350 PUTS VS. 8,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 3.84 (31,500 PUTS VS. 8,250 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    44.01    46.94    50.68    49.62    58.13     64.53

11:30       44.06    47.22    50.72    49.62    58.12     64.70

9:45        44.00    47.32    50.71    49.60    58.18     64.76

Wed Open    43.98    48.13    50.65    49.59    58.33     64.89

Tue 3:00    43.97    48.67    50.70    49.77    58.78     65.33

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

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

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