US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 28

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%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   89,954   +2,302   122.00 P   84,060  +9,837

JUN19 10Y NOTE  124.50 C   58,713   +3,826   122.50 P   82,537 +10,215

MAY19 5Y NOTE   115.50 C   51,692   -2,471   112.25 P   97,659    UNCH

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

MAY19 2Y NOTE   106.50 C   16,169       +1   106.25 P   20,409 +15,925

JUN19 2Y NOTE   106.50 C   15,547     +281   105.88 P   41,480    +779

APR19 EURODLR    97.37 C  161,579  -11,185    97.37 P   79,091    UNCH

JUN19 EURODLR    97.37 C  510,585   -1,912    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  171,908   +5,879    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   86,153     -750    97.50 P  106,239    UNCH

JUN21 3Y-MIDC    97.75 C  100,666   +2,000    97.62 P   58,078    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   89,954   +2,302   124.50 P   22,863  +7,352

MAY19 10Y NOTE  125.00 C   67,120     +707   125.00 P      683    +333

JUN19 10Y NOTE  124.50 C   58,713   +3,826   124.50 P   12,807  +7,976

JUN19 10Y NOTE  125.00 C   35,856   +6,200   125.00 P    8,144  +7,257

MAY19 5Y NOTE   116.00 C   40,205     -639   116.00 P   22,200  +3,850

MAY19 5Y NOTE   116.25 C   41,345  +10,426   116.25 P    8,908  +8,692

JUN19 5Y NOTE   116.00 C   18,917     +317   116.00 P    5,902  +2,082

JUN19 5Y NOTE   116.25 C   25,675   +1,194   116.25 P    2,795  +2,543

MAY19 2Y NOTE   106.62 C    4,999     -130   106.62 P    8,653  +8,194

MAY19 2Y NOTE   106.75 C    8,642     -133   106.75 P      131    +131

JUN19 2Y NOTE   106.62 C    2,176     -100   106.62 P    3,241  +3,157

JUN19 2Y NOTE   106.75 C    5,281     UNCH   106.75 P    2,000  +1,999

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

APR19 EURODLR    97.37 C  161,579  -11,185    97.37 P   79,091    UNCH

JUN19 EURODLR    97.25 C  297,730     -822    97.25 P  298,683  +2,406

JUN19 EURODLR    97.37 C  510,585   -1,912    97.37 P  225,934  -1,278

JUN20 1Y-MIDC    97.50 C   77,125   -2,061    97.50 P  120,512  +3,079

JUN20 1Y-MIDC    97.62 C   57,983   -3,250    97.62 P   66,921 +11,311

JUN21 2Y-MIDC    97.62 C   25,672     +500    97.62 P   28,474    +250

JUN21 2Y-MIDC    97.75 C   86,153     -750    97.75 P   39,859  +1,750

JUN22 3Y-MIDC    97.62 C   14,399     UNCH    97.62 P   58,078    UNCH

JUN22 3Y-MIDC    97.75 C  100,666   +2,000    97.75 P   39,189    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 0.51 (181,413 PUTS VS. 351,833 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.66 (116,595 PUTS VS. 174,411 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 0.47 (32,814 PUTS VS. 68,785 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.34 (30,998 PUTS VS. 22,913 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 6.65 (36,600 PUTS VS. 5,498 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 8.94 (92,125 PUTS VS. 10,380 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.00 (501 PUTS VS. 106,476 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.08 (9,619 PUTS VS. 110,739 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.59 (60,623 PUTS VS. 101,109 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.46 (11,541 PUTS VS. 24,492 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.47 (2,718 PUTS VS. 5,718 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

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

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

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