US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 27

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

WED 3:00    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

1:30        7.19%  7.04%   4.14%  4.06%   2.93%  2.77%   16.49%  12.47%

11:45       7.43%  7.25%   4.31%  4.19%   3.07%  2.88%   17.40%  12.80%

9:30        7.20%  7.06%   4.22%  4.10%   3.02%  2.83%   15.30%  11.42%

WED OPEN    7.18%  7.03%   4.23%  4.08%   3.01%  2.83%   16.40%  11.38%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   87,652  +21,680   122.50 P   82,044  +7,343

JUN19 10Y NOTE  124.50 C   54,887   +4,229   122.50 P   72,322 +29,749

MAY19 5Y NOTE   115.50 C   54,163      -30   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   34,305  +10,000   108.25 P  151,557    UNCH

MAY19 2Y NOTE   106.50 C   16,168     UNCH   105.25 P    4,800    UNCH

JUN19 2Y NOTE   106.50 C   15,266   -1,000   106.00 P   47,892    UNCH

APR19 EURODLR    97.37 C  172,764     -875    97.37 P   79,091    UNCH

JUN19 EURODLR    97.37 C  512,585   +4,325    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  166,029   +6,435    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   86,903     UNCH    97.50 P  106,239    +132

JUN21 3Y-MIDC    97.75 C   98,666     UNCH    97.62 P   60,578    -131

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   87,652  +21,680   124.50 P   15,511  +3,274

MAY19 10Y NOTE  125.00 C   66,563   +4,596   125.00 P      350     +48

JUN19 10Y NOTE  124.50 C   54,887   +4,229   124.50 P    4,831  +1,583

JUN19 10Y NOTE  125.00 C   29,656     +289   125.00 P      617    +226

MAY19 5Y NOTE   116.00 C   40,844  -19,388   116.00 P   18,350  +1,350

MAY19 5Y NOTE   116.25 C   30,919   +3,506   116.25 P      216     +86

JUN19 5Y NOTE   116.00 C   18,600   -6,390   116.00 P    3,820  +2,769

JUN19 5Y NOTE   116.25 C   24,481      +14   116.25 P      253     -93

MAY19 2Y NOTE   106.62 C    5,129     -676   106.62 P    4,484    +693

MAY19 2Y NOTE   106.75 C    8,775   +4,201   106.75 P    1,600    +101

JUN19 2Y NOTE   106.62 C    2,276       +1   106.62 P       84     +75

JUN19 2Y NOTE   106.75 C    5,281   +1,000   106.75 P        1    UNCH

APR19 EURODLR    97.25 C   93,812     UNCH    97.25 P   68,836    UNCH

APR19 EURODLR    97.37 C  172,764     -875    97.37 P   79,091    UNCH

JUN19 EURODLR    97.25 C  298,552   -1,250    97.25 P  296,277  +4,459

JUN19 EURODLR    97.37 C  512,585   +4,325    97.37 P  227,212    UNCH

JUN20 1Y-MIDC    97.50 C   79,186      -72    97.50 P  116,933 +12,362

JUN20 1Y-MIDC    97.62 C   61,233   -1,000    97.62 P   55,610 +14,853

JUN21 2Y-MIDC    97.62 C   25,172     +100    97.62 P   28,224  +4,150

JUN21 2Y-MIDC    97.75 C   86,903     UNCH    97.75 P   38,109  +6,738

JUN22 3Y-MIDC    97.62 C   14,399     UNCH    97.62 P   60,578    -131

JUN22 3Y-MIDC    97.75 C   98,666     UNCH    97.75 P   39,189  +1,050

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.36 (117,117 PUTS VS. 318,047 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.63 (166,366 PUTS VS. 102,038 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.79 (63,167 PUTS VS. 79,249 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.09 (89,988 PUTS VS. 81,800 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 0.48 (4,547 PUTS VS. 9,320 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 2.07 (13,501 PUTS VS. 6,519 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 56,714 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.07 (17,632 PUTS VS. 240,877 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.82 (118,981 PUTS VS. 143,346 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 3.91 (18,467 PUTS VS. 4,753 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.25 (4,981 PUTS VS. 3,975 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    60.95    63.01    64.12    60.04    62.37     67.90

1:30        59.75    64.60    64.71    61.25    62.46     68.00

11:45       59.75    63.40    63.29    60.52    62.19     67.43

9:30        55.68    60.73    59.83    58.21    60.88     66.56

Wed Open    54.79    60.45    59.44    57.88    60.71     66.39

Fri 3:00    46.41    55.23    54.42    54.97    59.14     64.59

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

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

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