US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 21

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDJ     EDM

12:30        N/A   5.79%    N/A   3.21%    N/A   2.16%   6.07%   5.64%

10:30        N/A   5.73%    N/A   3.21%    N/A   2.15%   6.02%   5.50%

THU OPEN     N/A   5.74%    N/A   3.20%    N/A   2.14%   6.77%   5.69%

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   93,717   +2,152   121.50 P  133,081    UNCH

JUN19 10Y NOTE  124.50 C   37,224     -672   121.00 P   58,559  +8,516

APR19 5Y NOTE   115.25 C   47,718  +15,838   114.75 P   54,303  +3,627

JUN19 5Y NOTE   116.00 C   28,647   +1,833   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.38 C    4,508     -822   105.88 P    6,609      -1

JUN19 2Y NOTE   106.50 C   16,729     -502   106.00 P   47,682  +3,599

APR19 EURODLR    97.37 C  151,846     UNCH    97.12 P   69,739    UNCH

JUN19 EURODLR    97.37 C  425,918     -952    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  159,124   +6,302    97.00 P  139,532    UNCH

JUN20 2Y-MIDC    97.75 C   90,339   +2,663    97.25 P  102,110    +500

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   28,444     -301   122.00 P   87,030  +3,716

APR19 10Y NOTE  122.50 C   77,932     -937   122.50 P   68,583 +12,196

JUN19 10Y NOTE  122.00 C   22,407     UNCH   122.00 P   36,159    -307

JUN19 10Y NOTE  122.50 C   23,340     +554   122.50 P   28,607  +1,241

APR19 5Y NOTE   114.50 C   13,532       -1   114.50 P   41,841  +2,318

APR19 5Y NOTE   114.75 C   26,846      -34   114.75 P   54,303  +3,627

JUN19 5Y NOTE   114.50 C   11,230     UNCH   114.50 P   17,888  -1,189

JUN19 5Y NOTE   114.75 C   10,264     UNCH   114.75 P   35,603    -474

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

APR19 2Y NOTE   106.12 C    4,358   -1,025   106.12 P    7,641  +2,163

JUN19 2Y NOTE   106.00 C    4,246     UNCH   106.00 P   47,682  +3,599

JUN19 2Y NOTE   106.12 C    2,398     -150   106.12 P   14,030  -2,615

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   68,786  -1,700

APR19 EURODLR    97.37 C  151,846     UNCH    97.37 P   65,224  +6,450

JUN19 EURODLR    97.25 C  258,260     +600    97.25 P  295,518    UNCH

JUN19 EURODLR    97.37 C  425,918     -952    97.37 P  232,302  +6,902

JUN20 1Y-MIDC    97.50 C   79,789   +3,816    97.50 P   98,772 -11,654

JUN20 1Y-MIDC    97.62 C   68,471   +5,764    97.62 P   11,750  +3,125

JUN21 2Y-MIDC    97.62 C   23,903      +50    97.62 P   16,542  +6,157

JUN21 2Y-MIDC    97.75 C   90,339   +2,663    97.75 P    6,240    -100

JUN22 3Y-MIDC    97.62 C   12,899      +50    97.62 P   31,634    UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.61 (138,868 PUTS VS. 224,673 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.27 (83,198 PUTS VS. 65,315 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.32 (34,582 PUTS VS. 106,117 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.42 (13,867 PUTS VS. 32,672 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.39 (2,955 PUTS VS. 7,476 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 19.5 (44,073 PUTS VS. 2,249 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.17 (9,300 PUTS VS. 51,730 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.12 (13,312 PUTS VS. 107,868 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.82 (112,200 PUTS VS. 61,500 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.55 (49,136 PUTS VS. 13,786 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 131.0 (6,550 PUTS VS. 50 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

12:30       42.91    46.26    49.23    48.67    57.42     63.68

10:30       42.78    45.93    49.17    48.65    57.48     63.73

Thu Open    42.98    45.84    49.18    48.64    57.38     63.98

Wed 3:00    44.01    46.94    50.68    49.62    58.13     64.53

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

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

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