US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 1

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:45       5.80%  5.98%   3.50%  3.56%   2.49%  2.46%   14.25%  10.28%

9:30        5.76%  5.90%   3.51%  3.58%   2.47%  2.45%   12.45%  10.00%

WED OPEN    5.81%  5.82%   3.55%  3.62%   2.53%  2.48%   12.40%  9.95%

TUE 3:00    5.71%  5.85%   3.41%  3.51%   2.40%  2.45%   12.50%  9.50%

TUE OPEN    5.75%  5.80%   3.44%  3.52%   2.38%  2.49%   12.40%  9.92%

MON 3:00    5.73%  5.84%   3.47%  3.53%   2.39%  2.38%   12.50%  9.85%

MON OPEN    5.71%  5.86%   3.47%  3.58%   2.38%  2.45%   12.75%  9.84%

FRI 3:00    5.54%   N/A    3.33%   N/A    2.27%   N/A    10.10%  9.99%

FRI OPEN    5.91%   N/A    3.47%   N/A    2.38%   N/A    12.10%  10.25%

THU 3:00    5.87%   N/A    3.43%   N/A    2.37%   N/A    11.90%  9.90%

THU OPEN    5.88%   N/A    3.50%   N/A    2.40%   N/A    11.50%  10.00%

WED 3:00    5.98%   N/A    3.52%   N/A    2.38%   N/A    12.97%  10.94%

WED OPEN    6.10%   N/A    3.53%   N/A    2.35%   N/A    11.25%  10.65%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C  108,851   +4,341   122.50 P  179,554  +1,206

JUL19 10Y NOTE  124.50 C   46,670   -1,318   122.00 P   13,422  +5,039

JUN19 5Y NOTE   116.50 C   53,211     +402   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,726     UNCH   114.50 P   12,422    UNCH

JUN19 2Y NOTE   106.75 C   20,866   -1,148   106.25 P   55,984    +188

JUL19 2Y NOTE   107.00 C    1,080     UNCH   106.25 P   10,050  +5,000

MAY19 EURODLR    97.37 C   44,961     UNCH    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  464,547     UNCH    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  183,405   +8,579    97.62 P  184,872  +1,300

JUN20 2Y-MIDC    97.75 C   88,628     +700    97.50 P  109,059  +2,000

JUN21 3Y-MIDC    97.75 C   92,414     +150    97.62 P   85,439    +375

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   93,694   +4,604   123.50 P   63,413  +1,017

JUN19 10Y NOTE  124.00 C  108,851   +4,341   124.00 P   20,786    +540

JUL19 10Y NOTE  123.50 C    5,131      +46   123.50 P    8,035  +1,332

JUL19 10Y NOTE  124.00 C   12,471     +337   124.00 P    8,127    +601

JUN19 5Y NOTE   115.25 C   16,919       -8   115.25 P   48,371    +667

JUN19 5Y NOTE   115.50 C   25,150     +539   115.50 P   44,210  +8,457

JUL19 5Y NOTE   115.25 C      379       +8   115.25 P    8,202    -861

JUL19 5Y NOTE   115.50 C    7,160     +248   115.50 P   10,046    +246

JUN19 2Y NOTE   106.50 C   14,121      +77   106.50 P   14,871     -25

JUN19 2Y NOTE   106.62 C    9,844     +108   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    1,000     UNCH   106.50 P    5,000  +2,500

JUL19 2Y NOTE   106.62 C    1,000     UNCH   106.62 P      535    +425

MAY19 EURODLR    97.25 C    6,227     UNCH    97.25 P   64,254    UNCH

MAY19 EURODLR    97.37 C   44,961     UNCH    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  257,225     UNCH    97.25 P  307,394    UNCH

JUN19 EURODLR    97.37 C  375,974   -7,500    97.37 P  249,881  +2,396

JUN20 1Y-MIDC    97.50 C   77,131     +118    97.50 P  180,097  +2,048

JUN20 1Y-MIDC    97.62 C   87,536     UNCH    97.62 P  184,872  +1,300

JUN21 2Y-MIDC    97.62 C   27,639     UNCH    97.62 P   40,924  +3,648

JUN21 2Y-MIDC    97.75 C   88,628     +700    97.75 P   80,947    +617

JUN22 3Y-MIDC    97.62 C   15,783     UNCH    97.62 P   85,439    +375

JUN22 3Y-MIDC    97.75 C   92,414     +150    97.75 P   46,819     -31

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.04 (105,626 PUTS VS. 100,790 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.54 (42,377 PUTS VS. 27,401 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.99 (81,108 PUTS VS. 27,094 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 2.79 (24,341 PUTS VS. 8,696 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.58 (13,065 PUTS VS. 8,247 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 208.1 (10,409 PUTS VS. 50 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 22,372 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.19 (5,675 PUTS VS. 28,650 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.58 (40,747 PUTS VS. 69,981 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.07 (16,714 PUTS VS. 15,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 31.6 (4,740 PUTS VS. 150 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

11:45       53.61    49.61    55.04    51.62    58.36     63.51

9:30        53.65    49.69    55.12    51.70    58.44     63.55

Wed Open    53.77    49.71    55.20    51.29    58.42     63.51

Tue 3:00    53.21    49.74    54.84    51.12    58.56     63.58

Tue Open    51.73    49.79    54.24    51.15    58.56     63.61

Mon 3:00    52.40    50.27    54.88    51.88    58.97     63.97

Mon Open    52.52    50.69    55.80    52.75    59.36     64.15

Fri 3:00    53.15    51.00    56.05    53.25    59.95     64.40

Fri Open    52.95    51.55    56.54    53.65    59.90     64.27

Thu 3:00    52.52    51.56    56.35    53.66    59.91     64.27

Thu Open    52.60    52.67    56.58    53.92    60.02     64.22

Wed 3:00    52.00    53.97    56.01    53.65    59.50     63.87

Wed Open    51.67    53.87    55.89    53.75    59.11     63.45

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

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