US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 4

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

MON 3:00    6.29%  6.43%   3.42%  3.54%   2.20%  2.32%   7.40%   7.15%

1:15        6.33%  6.50%   3.50%  3.57%   2.28%  2.30%   7.20%   7.30%

11:15       6.38%  6.48%   3.43%  3.53%   2.21%  2.30%   7.35%   7.00%

9:45        6.37%  6.44%   3.44%  3.55%   2.22%  2.30%   7.70%   7.72%

MON OPEN    6.50%  6.49%   3.55%  3.61%   2.34%  2.33%   8.37%   7.31%

FRI 3:00    6.15%  6.50%   3.36%  3.58%   2.17%  2.32%   7.20%   7.65%

FRI OPEN    6.29%  6.38%   3.44%  3.53%   2.23%  2.33%   7.88%   8.19%

THU 3:00    6.16%  6.30%   3.40%  3.54%   2.20%  2.30%   7.39%   8.41%

THU OPEN    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   8.23%   7.61%

WED 3:00    6.23%  6.30%   3.35%  3.47%   2.28%  2.30%   7.31%   7.57%

WED OPEN    5.71%  6.04%   3.22%  3.36%   2.14%  2.23%   6.67%   7.74%

TUE 3:00    5.80%  6.07%   3.23%  3.38%   2.17%  2.23%   7.16%   7.27%

TUE OPEN    5.82%  6.10%   3.29%  3.39%   2.16%  2.21%   6.65%   7.75%

MON 3:00    5.85%  6.12%   3.33%  3.35%   2.12%  2.15%   6.57%   7.70%

MON OPEN    6.03%  6.24%   3.33%  3.44%   2.18%  2.25%   7.12%   7.70%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   98,101   -6,649   121.00 P  129,849  +5,980

JUN19 10Y NOTE  124.50 C   23,445     -897   121.50 P   44,927  +2,745

APR19 5Y NOTE   115.50 C   43,540     UNCH   114.25 P   46,053  +5,319

JUN19 5Y NOTE   116.00 C   12,325     UNCH   108.25 P  151,523    UNCH

APR19 2Y NOTE   106.12 C    5,601   +4,775   105.62 P    6,846    +139

JUN19 2Y NOTE   106.00 C    4,598     UNCH   105.25 P   35,000    UNCH

MAR19 EURODLR    97.25 C  322,861     +300    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  135,486     +750    97.12 P   69,739    UNCH

MAR19 1Y-MIDC    97.50 C  140,862   +1,320    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   90,837   -5,300    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.00 C   49,340     UNCH    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   30,114   +1,824   122.00 P   58,150  -1,590

APR19 10Y NOTE  122.50 C   74,814   +3,115   122.50 P   40,985 -26,499

JUN19 10Y NOTE  122.00 C   20,478     -955   122.00 P   28,293    +445

JUN19 10Y NOTE  122.50 C   16,635      +69   122.50 P   19,048    -950

APR19 5Y NOTE   114.50 C   13,592      +59   114.50 P   40,868    -163

APR19 5Y NOTE   114.75 C   24,406     +981   114.75 P   16,981    +410

JUN19 5Y NOTE   114.50 C    8,321      -77   114.50 P    9,965     -24

JUN19 5Y NOTE   114.75 C   11,953      -27   114.75 P   36,275    UNCH

APR19 2Y NOTE   106.00 C      835     +213   106.00 P    4,523    -400

APR19 2Y NOTE   106.12 C    5,601   +4,775   106.12 P    4,594    UNCH

JUN19 2Y NOTE   106.00 C    4,598     UNCH   106.00 P   26,549      +2

JUN19 2Y NOTE   106.12 C    2,078      -97   106.12 P   11,103      +5

MAR19 EURODLR    97.25 C  322,861     +300    97.25 P  318,126    UNCH

MAR19 EURODLR    97.37 C  298,865     +101    97.37 P  162,592 +15,432

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   68,840    UNCH

APR19 EURODLR    97.37 C  135,486     +750    97.37 P   35,957    +800

MAR20 1Y-MIDC    97.37 C  135,023   +1,750    97.37 P  128,402  -2,643

MAR20 1Y-MIDC    97.50 C  140,862   +1,320    97.50 P   39,163  +1,000

MAR21 2Y-MIDC    97.50 C   84,049     -527    97.50 P   64,509  -6,980

MAR21 2Y-MIDC    97.62 C   90,837   -5,300    97.62 P   25,182    +587

MAR22 3Y-MIDC    97.50 C   44,621   +1,200    97.50 P   16,811  +1,692

MAR22 3Y-MIDC    97.62 C   46,388     -696    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 2.01 (288,684 PUTS VS. 143,529 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.66 (56,805 PUTS VS. 34,121 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 2.80 (46,035 PUTS VS. 16,453 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 7.07 (27,627 PUTS VS. 3,889 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.15 (2,017 PUTS VS. 12,669 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 1.52 (7,655 PUTS VS. 5,042 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 2.85 (22,796 PUTS VS. 8,038 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 0.13 (1,000 PUTS VS. 7,250 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 4.83 (50,870 PUTS VS. 10,500 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 1.56 (82,744 PUTS VS. 52,772 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 2.42 (13,089 PUTS VS. 5,441 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

Mon 3:00    44.57    51.84    53.70    53.75    63.47     69.60

1:15        44.58    51.87    53.72    53.77    63.48     69.62

11:15       44.73    52.05    53.95    53.99    63.58     69.70

9:45        44.69    52.02    53.94    53.97    63.59     69.69

Mon Open    44.84    51.97    54.08    54.10    64.03     70.02

Fri 3:00    44.55    50.92    53.61    53.50    63.81     70.01

Fri Open    44.20    50.61    53.34    53.27    63.55     69.93

Thu 3:00    44.25    51.10    53.35    53.24    63.38     69.82

Thu Open    44.31    50.66    53.07    52.95    63.28     69.69

Wed 3:00    44.32    50.67    53.02    52.84    63.24     69.65

Wed Open    44.01    50.33    52.78    52.59    63.03     69.32

Tue 3:00    43.93    50.42    52.73    52.51    63.06     69.28

Tue Open    44.10    50.52    52.79    52.61    63.04     69.27

Mon 3:00    44.24    50.87    52.92    52.80    63.18     69.41

Mon Open    44.58    51.33    53.36    53.16    63.27     69.49

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

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