US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 13

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

12:15       6.73%  6.45%   4.02%  3.88%   2.82%  2.62%   8.37%   15.62%

10:00       6.95%  6.55%   4.10%  3.91%   2.88%  2.66%   7.90%   15.70%

MON OPEN    6.70%  6.45%   4.00%  3.85%   2.80%  2.55%   8.01%   15.55%

FRI 3:00    5.98%  6.20%   3.51%  3.62%   2.35%  2.43%   8.32%    N/A

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

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

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

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

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

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

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

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

MON OPEN    5.98%  5.98%   3.55%  3.56%   2.37%  2.35%   7.66%    N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  113,608     +597   122.50 P  190,433  +9,190

JUL19 10Y NOTE  124.50 C   90,077  +13,233   123.00 P   62,789     -80

JUN19 5Y NOTE   116.00 C   51,045   +1,823   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   31,531   +1,117   115.25 P   40,573  +2,634

JUN19 2Y NOTE   106.75 C   22,044      -46   106.25 P   47,316    UNCH

JUL19 2Y NOTE   107.38 C    5,400   +3,700   106.50 P    6,086    +300

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

JUL19 EURODLR    97.62 C  247,073  -17,600    97.37 P  123,255    -175

JUN19 1Y-MIDC    97.87 C  192,353  +13,723    97.62 P  359,013  -5,450

JUN20 2Y-MIDC    97.75 C  101,364   +8,315    97.50 P  111,079  +1,000

JUN21 3Y-MIDC    97.75 C   92,808   -1,600    97.62 P   80,319    +300

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   90,074   -6,103   124.00 P   25,801  +1,259

JUN19 10Y NOTE  124.50 C  110,912     +263   124.50 P   20,196    +200

JUL19 10Y NOTE  124.00 C   20,735     +411   124.00 P   17,543    +658

JUL19 10Y NOTE  124.50 C   90,077  +13,233   124.50 P    7,582  +1,824

JUN19 5Y NOTE   115.75 C   30,147   -2,909   115.75 P    8,334    +211

JUN19 5Y NOTE   116.00 C   51,045   +1,823   116.00 P   14,675    -454

JUL19 5Y NOTE   115.75 C   14,375      +11   115.75 P   15,957    +500

JUL19 5Y NOTE   116.00 C    4,681      -21   116.00 P    3,516     -40

JUN19 2Y NOTE   106.50 C   14,466      +43   106.50 P   15,153     -24

JUN19 2Y NOTE   106.62 C   13,498   +1,625   106.62 P    2,815     +50

JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    6,086    +300

JUL19 2Y NOTE   106.62 C    2,771     UNCH   106.62 P    2,341    -650

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

JUN19 EURODLR    97.37 C  366,942     -281    97.37 P  250,275    UNCH

JUL19 EURODLR    97.25 C   53,755     UNCH    97.25 P   85,838    UNCH

JUL19 EURODLR    97.37 C  208,646   +1,500    97.37 P  123,255    -175

JUN20 1Y-MIDC    97.50 C   75,783     +610    97.50 P  211,806  -2,850

JUN20 1Y-MIDC    97.62 C  100,336      +99    97.62 P  359,013  -5,450

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   57,244  -2,201

JUN21 2Y-MIDC    97.75 C  101,364   +8,315    97.75 P   88,501  +2,059

JUN22 3Y-MIDC    97.62 C   27,111   +1,543    97.62 P   80,319    +300

JUN22 3Y-MIDC    97.75 C   92,808   -1,600    97.75 P   46,350    -350

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.73 (107,317 PUTS VS. 145,959 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.66 (37,837 PUTS VS. 57,141 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.07 (64,394 PUTS VS. 60,098 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.87 (13,432 PUTS VS. 15,474 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 2.17 (6,384 PUTS VS. 2,901 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 1.40 (10,135 PUTS VS. 7,258 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.00 (1 PUTS VS. 17,618 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.02 (1,375 PUTS VS. 53,200 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.29 (33,325 PUTS VS. 113,279 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.17 (11,616 PUTS VS. 66,924 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.17 (1,464 PUTS VS. 8,050 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       60.07    59.80    60.09    56.77    59.86     64.59

10:00       57.75    56.27    59.00    55.66    59.45     64.10

Mon Open    56.90    55.80    58.15    54.95    59.25     64.15

Fri 3:00    55.63    54.06    56.58    54.14    59.11     64.21

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

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

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