US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 29

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

             USK    USM     TYK    TYM     FVK    FVM     EDJ     EDM

THU 3:00    7.09%  7.03%   4.05%  3.94%   2.86%  2.75%   14.71%  11.19%

THU OPEN    7.37%  7.17%   4.25%  4.13%   2.98%  2.83%   16.75%  11.95%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   90,366   +1,169   122.00 P   87,034  +2,974

JUN19 10Y NOTE  124.50 C   63,064   +4,351   122.50 P   89,465  +6,928

MAY19 5Y NOTE   115.50 C   51,449     -243   112.25 P   97,659    UNCH

JUN19 5Y NOTE   116.50 C   32,433   +2,928   108.25 P  151,557    UNCH

MAY19 2Y NOTE   106.50 C   16,169     UNCH   106.25 P   24,929  +4,520

JUN19 2Y NOTE   106.50 C   15,547     UNCH   106.25 P   46,062 +11,514

APR19 EURODLR    97.37 C  160,921     -658    97.37 P   79,091    UNCH

JUN19 EURODLR    97.37 C  509,731     -942    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  176,893   +4,985    97.00 P  141,023    UNCH

JUN20 2Y-MIDC    97.75 C   86,153     UNCH    97.50 P  106,989    +750

JUN21 3Y-MIDC    97.75 C  100,666     UNCH    97.62 P   81,472 +23,394

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

MAY19 10Y NOTE  124.50 C   90,366   +1,169   124.50 P   24,133  +1,270

MAY19 10Y NOTE  125.00 C   64,777   -2,343   125.00 P    1,109    +426

JUN19 10Y NOTE  124.50 C   63,064   +4,351   124.50 P   21,395  +8,588

JUN19 10Y NOTE  125.00 C   41,094   +5,238   125.00 P    8,727    +583

MAY19 5Y NOTE   116.00 C   40,698     +493   116.00 P   22,445    +245

MAY19 5Y NOTE   116.25 C   41,361      +16   116.25 P   10,701  +1,793

JUN19 5Y NOTE   116.00 C   19,708     +791   116.00 P   14,876  +8,974

JUN19 5Y NOTE   116.25 C   25,646      -29   116.25 P    3,011    +216

MAY19 2Y NOTE   106.62 C    4,998       -1   106.62 P   10,319  +1,666

MAY19 2Y NOTE   106.75 C    8,642     UNCH   106.75 P      131    UNCH

JUN19 2Y NOTE   106.62 C    2,179       +3   106.62 P    3,242      +1

JUN19 2Y NOTE   106.75 C    6,202     +921   106.75 P    2,000    UNCH

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

APR19 EURODLR    97.37 C  160,921     -658    97.37 P   79,091    UNCH

JUN19 EURODLR    97.25 C  295,638   -2,092    97.25 P  301,683  +3,000

JUN19 EURODLR    97.37 C  509,731     -942    97.37 P  220,283  -5,651

JUN20 1Y-MIDC    97.50 C   75,327   -1,798    97.50 P  121,548  +1,036

JUN20 1Y-MIDC    97.62 C   54,567   -3,416    97.62 P   99,167 +32,246

JUN21 2Y-MIDC    97.62 C   25,672     UNCH    97.62 P   28,474    UNCH

JUN21 2Y-MIDC    97.75 C   86,153     UNCH    97.75 P   41,109  +1,250

JUN22 3Y-MIDC    97.62 C   14,149     -250    97.62 P   81,472 +23,394

JUN22 3Y-MIDC    97.75 C  100,666     UNCH    97.75 P   50,611 +11,422

PUT/CALL RATIO FOR VOLUME CLEARED:

MAY19 10Y NOTE PUT/CALL RATIO   -- 1.18 (107,550 PUTS VS. 90,696 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.94 (158,173 PUTS VS. 81,350 CALLS)

MAY19 5Y NOTE PUT/CALL RATIO    -- 1.75 (65,590 PUTS VS. 37,329 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.65 (142,691 PUTS VS. 53,816 CALLS)

MAY19 2Y NOTE PUT/CALL RATIO    -- 10.3 (14,576 PUTS VS. 1,395 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 10.3 (54,714 PUTS VS. 5,303 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.07 (4,250 PUTS VS. 54,527 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.14 (56,565 PUTS VS. 379,254 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.87 (124,061 PUTS VS. 66,208 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.79 (9,750 PUTS VS. 5,417 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 8.08 (38,016 PUTS VS. 4,751 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

Thu 3:00    60.43    61.21    62.14    58.60    61.84     68.04

Thu Open    60.95    63.01    64.12    60.04    62.37     67.90

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

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

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