US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 10

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

1:30        5.97%  6.24%   3.51%  3.64%   2.40%  2.46%    N/A    8.11%

10:30       6.51%  6.35%   3.84%  3.72%   2.66%  2.50%    N/A    7.28%

9:00        6.51%  6.35%   3.84%  3.72%   2.66%  2.50%    N/A    7.28%

FRI OPEN    6.69%  6.38%   4.07%  3.68%   2.76%  2.53%    N/A    7.38%

THU 3:00    6.73%  6.40%   4.02%  3.79%   2.75%  2.54%    N/A    7.89%

THU OPEN    6.80%  6.50%   4.22%  3.97%   2.82%  2.58%    N/A    7.90%

WED 3:00    6.55%  6.17%   3.89%  3.77%   2.61%  2.44%    N/A    7.70%

WED OPEN    6.67%  6.43%   3.98%  3.95%   2.69%  2.54%    N/A    8.25%

TUE 3:00    6.41%  6.40%   3.85%  3.80%   2.54%  2.52%    N/A    8.40%

TUE OPEN    6.28%  6.20%   3.75%  3.62%   2.44%  2.45%    N/A    8.81%

MON 3:00    6.02%  5.88%   3.53%  3.56%   2.45%  2.36%    N/A    8.22%

MON OPEN    5.98%  5.98%   3.55%  3.56%   2.37%  2.35%   15.52%  7.66%

FRI 3:00    5.32%  5.64%   3.10%  3.30%   2.02%  2.14%   12.60%  6.70%

FRI OPEN    5.30%  5.55%   3.10%  3.25%   2.05%  2.15%   13.35%  7.38%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  113,011   -2,006   122.50 P  181,243  -2,158

JUL19 10Y NOTE  124.50 C   76,844   +3,717   123.00 P   62,869  +5,082

JUN19 5Y NOTE   116.50 C   51,275     -303   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   30,414   +2,949   114.75 P   39,527    -145

JUN19 2Y NOTE   106.75 C   22,090   +3,454   106.25 P   47,316  +2,500

JUL19 2Y NOTE   106.75 C    3,606      +45   106.50 P    5,786    +280

MAY19 EURODLR    97.37 C   45,211     UNCH    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  469,481      -10    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    98.00 C  184,107   +1,781    97.62 P  364,463 +15,348

JUN20 2Y-MIDC    97.75 C   93,049     UNCH    97.50 P  110,079    +120

JUN21 3Y-MIDC    97.75 C   94,408     -978    97.62 P   80,019    -745

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   96,177     -489   124.00 P   24,542  +2,291

JUN19 10Y NOTE  124.50 C  110,649   +1,326   124.50 P   19,996     -30

JUL19 10Y NOTE  124.00 C   20,324     +617   124.00 P   16,885  +2,157

JUL19 10Y NOTE  124.50 C   76,844   +3,717   124.50 P    5,758  +3,276

JUN19 5Y NOTE   115.75 C   33,056   +1,069   115.75 P    8,123  +1,188

JUN19 5Y NOTE   116.00 C   49,222   -1,720   116.00 P   15,129      -2

JUL19 5Y NOTE   115.75 C   14,364      -10   115.75 P   15,457    UNCH

JUL19 5Y NOTE   116.00 C    4,702     +178   116.00 P    3,556    +568

JUN19 2Y NOTE   106.50 C   14,423     -788   106.50 P   15,177    -218

JUN19 2Y NOTE   106.62 C   11,873   -1,028   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    5,786    +280

JUL19 2Y NOTE   106.62 C    2,771     UNCH   106.62 P    2,991    +100

MAY19 EURODLR    97.25 C    5,727     UNCH    97.25 P   64,254    UNCH

MAY19 EURODLR    97.37 C   45,211     UNCH    97.37 P   47,133    UNCH

JUN19 EURODLR    97.25 C  257,214     UNCH    97.25 P  309,081    UNCH

JUN19 EURODLR    97.37 C  367,223     UNCH    97.37 P  250,275    UNCH

JUN20 1Y-MIDC    97.50 C   75,173     UNCH    97.50 P  214,656    -250

JUN20 1Y-MIDC    97.62 C  100,237   +2,760    97.62 P  364,463 +15,348

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   59,445 +11,553

JUN21 2Y-MIDC    97.75 C   93,049     UNCH    97.75 P   86,442  +2,030

JUN22 3Y-MIDC    97.62 C   25,568     UNCH    97.62 P   80,019    -745

JUN22 3Y-MIDC    97.75 C   94,408     -978    97.75 P   46,700  -3,109

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.02 (179,997 PUTS VS. 176,111 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.01 (68,142 PUTS VS. 66,885 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.81 (12,890 PUTS VS. 15,711 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.79 (33,085 PUTS VS. 18,487 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.15 (14,009 PUTS VS. 12,162 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 1.72 (5,730 PUTS VS. 3,302 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 7,702 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 70.2 (1,000 PUTS VS. 70,282 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.76 (31,040 PUTS VS. 40,304 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 8.22 (28,845 PUTS VS. 3,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.27 (10,061 PUTS VS. 36,700 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

1:30        55.85    54.57    56.70    54.28    59.14     64.23

10:45       56.40    55.50    57.55    54.77    59.15     64.24

9:00        56.36    55.47    57.58    54.95    59.44     64.29

Fri Open    56.45    55.84    57.50    55.13    59.43     64.31

Thu 3:00    56.48    56.61    58.40    55.44    59.33     64.20

Thu Open    53.25    54.29    57.39    54.24    59.39     64.20

Wed 3:00    52.29    53.39    57.04    54.19    59.43     64.30

Wed Open    54.59    54.51    58.57    55.41    59.78     64.41

Tue 3:00    55.22    53.73    56.73    54.64    59.07     64.18

Tue Open    51.07    51.94    55.00    52.02    58.17     63.34

Mon 3:00    51.15    51.59    55.17    52.01    58.43     63.27

Mon Open    48.65    49.41    53.25    50.18    57.45     62.64

Fri 3:00    47.90    47.49    52.14    49.30    57.38     62.57

Fri Open    48.86    48.12    53.29    49.84    57.68     62.74

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

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