US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 5

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

12:15       6.32%  6.39%   3.35%  3.52%   2.18%  2.27%   7.46%   7.35%

10:45       6.20%  6.37%   3.35%  3.53%   2.17%  2.29%   7.45%   7.43%

9:00        6.33%  6.44%   3.44%  3.54%   2.24%  2.31%   7.42%   7.65%

TUE OPEN    6.32%  6.43%   3.40%  3.56%   2.24%  2.31%   7.60%   7.43%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   95,330   -2,771   121.00 P  139,717  +9,868

JUN19 10Y NOTE  124.50 C   24,014     +569   121.50 P   50,096  +5,169

APR19 5Y NOTE   115.50 C   43,540     UNCH   114.25 P   54,030  +8,977

JUN19 5Y NOTE   116.00 C   12,525     +200   108.25 P  151,523    UNCH

APR19 2Y NOTE   106.12 C    5,600       -1   105.62 P    7,165    +319

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

MAR19 EURODLR    97.25 C  322,759     -102    97.00 P  886,549    UNCH

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

MAR19 1Y-MIDC    97.50 C  137,007   -3,855    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   87,313   -3,524    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   33,164   +3,050   122.00 P   57,064  -1,086

APR19 10Y NOTE  122.50 C   76,802   +1,988   122.50 P   40,984      -1

JUN19 10Y NOTE  122.00 C   20,780     +302   122.00 P   28,018    -275

JUN19 10Y NOTE  122.50 C   15,871     -764   122.50 P   19,338    +290

APR19 5Y NOTE   114.50 C   13,507      -85   114.50 P   40,621    -247

APR19 5Y NOTE   114.75 C   26,487   +2,081   114.75 P   16,988      +7

JUN19 5Y NOTE   114.50 C    8,925     +604   114.50 P    9,995     +30

JUN19 5Y NOTE   114.75 C   11,973      +20   114.75 P   36,275    UNCH

APR19 2Y NOTE   106.00 C      837       +2   106.00 P    4,523    UNCH

APR19 2Y NOTE   106.12 C    5,600       -1   106.12 P    4,594    UNCH

JUN19 2Y NOTE   106.00 C    4,598     UNCH   106.00 P   26,506     -43

JUN19 2Y NOTE   106.12 C    2,078     UNCH   106.12 P   11,103    UNCH

MAR19 EURODLR    97.25 C  322,759     -102    97.25 P  318,126    UNCH

MAR19 EURODLR    97.37 C  294,381   -4,584    97.37 P  161,442  -1,150

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   68,457    -383

APR19 EURODLR    97.37 C  135,486     UNCH    97.37 P   37,489  +1,532

MAR20 1Y-MIDC    97.37 C  134,923     -100    97.37 P  128,932  +1,030

MAR20 1Y-MIDC    97.50 C  137,007   -3,855    97.50 P   39,163    UNCH

MAR21 2Y-MIDC    97.50 C   85,756   +1,707    97.50 P   64,838    +329

MAR21 2Y-MIDC    97.62 C   87,313   -3,524    97.62 P   25,182    UNCH

MAR22 3Y-MIDC    97.50 C   41,494   -3,127    97.50 P   16,661    -150

MAR22 3Y-MIDC    97.62 C   48,705   +2,317    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 1.36 (87,823 PUTS VS. 64,460 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.13 (27,794 PUTS VS. 24,526 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 1.63 (37,196 PUTS VS. 22,849 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.93 (4,605 PUTS VS. 2,377 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 18.7 (620 PUTS VS. 33 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 84.2 (12,039 PUTS VS. 143 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.18 (4,850 PUTS VS. 26,190 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 1.42 (5,383 PUTS VS. 3,800 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 4.12 (29,287 PUTS VS. 7,175 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 1.50 (32,594 PUTS VS. 21,588 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 0.54 (4,594 PUTS VS. 8,238 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

12:15       44.40    51.78    53.37    53.55    63.47     69.59

10:45       44.48    51.97    53.49    53.68    63.54     69.65

9:00        44.62    52.16    53.63    53.84    63.59     69.66

Tue Open    44.62    52.26    53.66    53.87    63.62     69.70

Mon 3:00    44.57    51.84    53.70    53.75    63.47     69.60

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

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

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