US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAR 6

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

             USJ    USM     TYJ    TYM     FVJ    FVM     EDH     EDJ

WED 3:00    5.96%  6.12%   3.27%  3.41%   2.13%  2.24%   6.77%   6.98%

1:15        6.03%  6.15%   3.29%  3.42%   2.20%  2.27%   7.21%   7.17%

11:45       6.05%  6.18%   3.36%  3.43%   2.13%  2.25%   7.55%   7.29%

10:15       6.11%  6.23%   3.34%  3.42%   2.15%  2.24%   7.58%   7.31%

WED OPEN    6.15%  6.29%   3.31%  3.45%   2.15%  2.25%   7.56%   7.35%

TUE 3:00    6.19%  6.32%   3.34%  3.49%   2.12%  2.27%   7.23%   7.42%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  123.00 C   94,690     -533   121.00 P  137,244  -2,473

JUN19 10Y NOTE  124.50 C   24,014     UNCH   121.50 P   50,464    +368

APR19 5Y NOTE   115.50 C   43,540     UNCH   114.25 P   54,142    +112

JUN19 5Y NOTE   116.00 C   12,525     UNCH   108.25 P  151,531      +8

APR19 2Y NOTE   106.25 C    5,353      +23   105.62 P    7,165    UNCH

JUN19 2Y NOTE   106.00 C    4,585      -13   105.25 P   35,000    UNCH

MAR19 EURODLR    97.25 C  321,753   -1,006    97.00 P  886,549    UNCH

APR19 EURODLR    97.37 C  135,486     UNCH    97.25 P   71,007  +2,550

MAR19 1Y-MIDC    97.50 C  135,170   -1,837    96.62 P  790,236    UNCH

MAR20 2Y-MIDC    97.62 C   87,313     UNCH    96.62 P  220,789    UNCH

MAR21 3Y-MIDC    97.62 C   49,015     +310    97.00 P   64,925    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

APR19 10Y NOTE  122.00 C   31,092   -2,072   122.00 P   56,762    -300

APR19 10Y NOTE  122.50 C   79,720   +2,918   122.50 P   40,984    UNCH

JUN19 10Y NOTE  122.00 C   22,484   +1,704   122.00 P   29,324  +1,306

JUN19 10Y NOTE  122.50 C   15,924      +53   122.50 P   19,288     -50

APR19 5Y NOTE   114.50 C   13,737     +230   114.50 P   40,808    +187

APR19 5Y NOTE   114.75 C   26,546      +59   114.75 P   16,987      -1

JUN19 5Y NOTE   114.50 C   11,229   +2,304   114.50 P   13,701  +3,706

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

APR19 2Y NOTE   106.00 C    1,080     +243   106.00 P    4,523    UNCH

APR19 2Y NOTE   106.12 C    5,212     -388   106.12 P    4,594    UNCH

JUN19 2Y NOTE   106.00 C    4,585      -13   106.00 P   26,506    UNCH

JUN19 2Y NOTE   106.12 C    2,113      +35   106.12 P   11,103    UNCH

MAR19 EURODLR    97.25 C  321,753   -1,006    97.25 P  318,126    UNCH

MAR19 EURODLR    97.37 C  290,018   -4,363    97.37 P  161,442    UNCH

APR19 EURODLR    97.25 C   75,473     UNCH    97.25 P   71,007  +2,550

APR19 EURODLR    97.37 C  135,486     UNCH    97.37 P   36,539    -950

MAR20 1Y-MIDC    97.37 C  134,036     -887    97.37 P  128,019    -913

MAR20 1Y-MIDC    97.50 C  135,170   -1,837    97.50 P   39,163    UNCH

MAR21 2Y-MIDC    97.50 C   85,806      +50    97.50 P   64,788     -50

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

MAR22 3Y-MIDC    97.50 C   39,804     -940    97.50 P   16,893    +232

MAR22 3Y-MIDC    97.62 C   49,015     +310    97.62 P    2,100    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

APR19 10Y NOTE PUT/CALL RATIO   -- 0.87 (45,263 PUTS VS. 51,864 CALLS)

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.47 (15,988 PUTS VS. 10,879 CALLS)

APR19 5Y NOTE PUT/CALL RATIO    -- 0.57 (11,789 PUTS VS. 20,627 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 3.88 (20,668 PUTS VS. 5,286 CALLS)

MAR19 2Y NOTE PUT/CALL RATIO    -- 0.10 (102 PUTS VS. 1,000 CALLS)

APR19 2Y NOTE PUT/CALL RATIO    -- 0.73 (559 PUTS VS. 763 CALLS)

MAR19 EURODLRS PUT/CALL RATIO   -- 0.11 (2,000 PUTS VS. 18,012 CALLS)

APR19 EURODLRS PUT/CALL RATIO   -- 4.95 (13,000 PUTS VS. 2,550 CALLS)

MAR20 1Y-MIDCRVE PUT/CALL RATIO -- 4.95 (24,363 PUTS VS. 4,987 CALLS)

MAR21 2Y-MIDCRVE PUT/CALL RATIO -- 0.92 (5,901 PUTS VS. 6,450 CALLS)

MAR22 3Y-MIDCRVE PUT/CALL RATIO -- 3.89 (10,950 PUTS VS. 2,830 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    43.92    49.57    52.65    52.77    63.07     69.25

1:15        44.00    49.82    52.70    52.81    62.99     69.20

11:45       43.93    49.79    52.68    52.80    63.11     69.28

10:15       43.95    49.86    52.73    52.82    63.07     69.21

Wed Open    44.10    50.33    52.90    53.03    63.20     69.30

Tue 3:00    44.29    51.74    53.36    53.56    63.42     69.58

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

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

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