US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 14

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

11:45       6.19%  6.28%   3.66%  3.69%   2.61%  2.63%   8.30%   16.09%

10:15       6.35%  6.36%   3.79%  3.73%   2.61%  2.60%   8.25%   16.09%

TUE OPEN    6.35%  6.36%   3.79%  3.74%   2.65%  2.61%   8.23%   16.39%

MON 3:00    6.58%  6.46%   3.95%  3.88%   2.80%  2.60%   8.60%   16.30%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  118,981   +5,373   122.50 P  190,196    -237

JUL19 10Y NOTE  124.50 C   88,766   -1,311   123.00 P   64,739  +1,950

JUN19 5Y NOTE   116.00 C   52,436   +1,391   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   35,384   +3,853   114.75 P   57,233 +16,971

JUN19 2Y NOTE   106.75 C   21,961      -83   105.25 P   46,830    UNCH

JUL19 2Y NOTE   107.38 C    5,401       +1   106.38 P    8,463  +3,000

JUN19 EURODLR    97.62 C  473,481   +4,000    96.75 P  728,209    UNCH

JUL19 EURODLR    97.50 C  233,169  -12,907    97.37 P  125,228  +1,973

JUN19 1Y-MIDC    97.87 C  198,430   +6,077    97.62 P  353,463  -5,550

JUN20 2Y-MIDC    97.75 C  101,364     UNCH    97.50 P  112,718  +1,639

JUN21 3Y-MIDC    97.75 C   92,808     UNCH    97.62 P   80,319    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   89,294     -780   124.00 P   41,086 +15,285

JUN19 10Y NOTE  124.50 C  118,578   -7,666   124.50 P   20,324    +128

JUL19 10Y NOTE  124.00 C   20,925     +190   124.00 P   29,079 +11,533

JUL19 10Y NOTE  124.50 C   88,766   -1,311   124.50 P   13,074  +5,492

JUN19 5Y NOTE   115.75 C   29,438     -709   115.75 P   10,642  +2,308

JUN19 5Y NOTE   116.00 C   52,436   +1,391   116.00 P   20,173  +5,498

JUL19 5Y NOTE   115.75 C   14,376       +1   115.75 P   18,600  +2,643

JUL19 5Y NOTE   116.00 C    8,111   +3,430   116.00 P    3,484     -32

JUN19 2Y NOTE   106.50 C   14,365     -101   106.50 P   23,275  +8,122

JUN19 2Y NOTE   106.62 C   13,533      +35   106.62 P    3,430    +615

JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    6,111     +25

JUL19 2Y NOTE   106.62 C    2,776       +5   106.62 P    2,513    +172

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

JUN19 EURODLR    97.37 C  366,426     -516    97.37 P  250,275    UNCH

JUL19 EURODLR    97.25 C   53,755     UNCH    97.25 P   85,853     +15

JUL19 EURODLR    97.37 C  211,071   +2,425    97.37 P  125,228  +1,973

JUN20 1Y-MIDC    97.50 C   77,293   +1,510    97.50 P  211,831     +25

JUN20 1Y-MIDC    97.62 C   99,936     -400    97.62 P  353,463  -5,550

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   66,911  +9,667

JUN21 2Y-MIDC    97.75 C  101,364     UNCH    97.75 P   90,561  +2,060

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,319    UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.65 (117,292 PUTS VS. 180,185 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.70 (75,389 PUTS VS. 107,591 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.07 (103,561 PUTS VS. 96,591 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 2.02 (60,046 PUTS VS. 29,700 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 4.51 (17,642 PUTS VS. 3,953 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 1.20 (6,902 PUTS VS. 6,031 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.11 (6,865 PUTS VS. 57,752 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.35 (48,631 PUTS VS. 129,252 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.35 (51,657 PUTS VS. 145,671 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.35 (40,072 PUTS VS. 112,889 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.40 (3,025 PUTS VS. 7,525 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       61.74    59.96    61.59    57.03    60.10     64.63

10:15       62.36    59.94    61.78    57.23    60.18     64.65

Tue Open    61.72    60.60    62.09    57.49    60.38     64.54

Mon 3:00    61.69    60.39    62.17    57.64    60.27     64.78

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

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

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