US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 22

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDJ     EDM

FRI 3:00     N/A   6.24%    N/A   3.48%    N/A   2.31%   8.97%   5.93%

12:30        N/A   6.30%    N/A   3.47%    N/A   2.31%   9.15%   6.75%

FRI OPEN     N/A   6.17%    N/A   3.43%    N/A   2.27%   8.20%   6.59%

THU 3:00     N/A   5.80%    N/A   3.23%    N/A   2.17%   6.25%   5.88%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   91,012   -2,705   121.00 P  131,291    +395

JUN19 10Y NOTE  124.50 C   41,585   +4,361   121.00 P   58,542     -17

APR19 5Y NOTE   115.25 C   46,852     -866   114.75 P   53,887    -416

JUN19 5Y NOTE   116.00 C   44,514  +15,867   108.25 P  151,557    UNCH

APR19 2Y NOTE   106.12 C    4,358     UNCH   105.88 P    6,609    UNCH

JUN19 2Y NOTE   106.50 C   16,229     -500   106.00 P   47,682    UNCH

APR19 EURODLR    97.37 C  152,046     +200    97.37 P   78,541 +13,317

JUN19 EURODLR    97.37 C  423,150   -2,768    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  160,585   +1,461    97.00 P  139,532    UNCH

JUN20 2Y-MIDC    97.75 C   90,511     +172    97.25 P  102,094     -16

JUN21 3Y-MIDC    97.75 C   98,666   +1,750    97.62 P   53,047 +21,413

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   28,452       +8   122.00 P   85,866  -1,164

APR19 10Y NOTE  122.50 C   76,449   -1,483   122.50 P   69,639  +1,056

JUN19 10Y NOTE  122.00 C   21,600     -807   122.00 P   37,219  +1,060

JUN19 10Y NOTE  122.50 C   23,860     -480   122.50 P   33,733  +5,126

APR19 5Y NOTE   114.50 C   13,500      -32   114.50 P   43,095     -29

APR19 5Y NOTE   114.75 C   26,878      +32   114.75 P   53,887    -416

JUN19 5Y NOTE   114.50 C   11,231       +1   114.50 P   19,964  +2,076

JUN19 5Y NOTE   114.75 C   10,264     UNCH   114.75 P   41,392  +5,789

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

APR19 2Y NOTE   106.12 C    4,358     UNCH   106.12 P    7,641    UNCH

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

JUN19 2Y NOTE   106.12 C    2,283     -115   106.12 P   12,819  -1,211

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   68,786    UNCH

APR19 EURODLR    97.37 C  152,046     +200    97.37 P   78,541 +13,317

JUN19 EURODLR    97.25 C  261,160   +2,900    97.25 P  295,518    UNCH

JUN19 EURODLR    97.37 C  423,150   -2,768    97.37 P  236,613  +4,311

JUN20 1Y-MIDC    97.50 C   81,258   +1,469    97.50 P   90,030  -8,692

JUN20 1Y-MIDC    97.62 C   63,564   -4,907    97.62 P   22,644 +10,894

JUN21 2Y-MIDC    97.62 C   23,903     UNCH    97.62 P   19,164  +2,622

JUN21 2Y-MIDC    97.75 C   90,511     +172    97.75 P   13,267  +7,027

JUN22 3Y-MIDC    97.62 C   12,899     UNCH    97.62 P   53,047 +21,413

JUN22 3Y-MIDC    97.75 C   98,666   +1,750    97.75 P   38,481 +19,395

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.40 (60,620 PUTS VS. 148,734 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.85 (77,681 PUTS VS. 90,657 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.30 (12,788 PUTS VS. 41,615 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.61 (35,609 PUTS VS. 58,069 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.09 (50 PUTS VS. 508 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 4.34 (10,069 PUTS VS. 2,345 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 23.1 (18,525 PUTS VS. 800 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.05 (6,300 PUTS VS. 110,406 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.07 (48,312 PUTS VS. 44,828 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.01 (70,330 PUTS VS. 35,132 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 10.9 (77,978 PUTS VS. 7,106 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

Fri 3:00    46.41    55.23    54.42    54.97    59.14     64.59

12:30       47.05    56.44    56.81    56.29    59.58     64.67

Fri Open    43.66    49.29    50.73    49.68    57.48     63.58

Thu 3:00    43.08    46.53    49.45    48.91    57.46     63.70

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

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

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