US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 15

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

12:15       5.95%  6.11%   3.49%  3.73%   2.83%  2.69%   8.42%   15.95%

9:30        6.24%  6.40%   3.81%  3.86%   2.83%  2.70%   8.60%   16.01%

WED OPEN    6.30%  6.47%   3.88%  3.88%   2.84%  2.70%   8.37%   15.95%

TUE 3:00    6.12%  6.27%   3.65%  3.72%   2.60%  2.62%   8.09%   15.60%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  123,113   +5,232   122.50 P  169,630 -20,566

JUL19 10Y NOTE  124.50 C   91,161   +2,395   123.00 P   65,877  +1,138

JUN19 5Y NOTE   116.00 C   48,213   -4,223   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   35,856     +472   115.00 P   60,268 +24,798

JUN19 2Y NOTE   106.75 C   21,730     -231   105.25 P   46,830    UNCH

JUL19 2Y NOTE   107.38 C    5,401     UNCH   106.38 P    8,463    UNCH

JUN19 EURODLR    97.62 C  397,507  -75,974    96.75 P  728,209    UNCH

JUL19 EURODLR    97.50 C  226,929   -6,240    97.37 P  131,478  +6,250

JUN19 1Y-MIDC    97.87 C  203,678   +5,248    97.62 P  355,664  +2,201

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

JUN21 3Y-MIDC    97.75 C   92,808     UNCH    97.62 P   80,819    +500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   89,660     +366   124.00 P   52,376 +11,290

JUN19 10Y NOTE  124.50 C  111,042   -7,536   124.50 P   21,211    +887

JUL19 10Y NOTE  124.00 C   21,077     +152   124.00 P   30,981  +1,905

JUL19 10Y NOTE  124.50 C   91,161   +2,395   124.50 P   23,172 +10,098

JUN19 5Y NOTE   115.75 C   26,894   -2,544   115.75 P   13,579  +3,285

JUN19 5Y NOTE   116.00 C   48,213   -4,223   116.00 P   20,957    +784

JUL19 5Y NOTE   115.75 C   14,666     +290   115.75 P   18,963    +363

JUL19 5Y NOTE   116.00 C   13,130   +5,019   116.00 P   14,483 +10,999

JUN19 2Y NOTE   106.50 C   14,365     UNCH   106.50 P   19,275  -4,000

JUN19 2Y NOTE   106.62 C   13,533     UNCH   106.62 P    3,775    +345

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

JUL19 2Y NOTE   106.62 C    2,776     UNCH   106.62 P    6,934  +4,421

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

JUN19 EURODLR    97.37 C  363,426   -3,000    97.37 P  250,275    UNCH

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

JUL19 EURODLR    97.37 C  213,071   +2,000    97.37 P  131,478  +6,250

JUN20 1Y-MIDC    97.50 C   77,293     UNCH    97.50 P  211,331    -500

JUN20 1Y-MIDC    97.62 C  100,186     +250    97.62 P  355,664  +2,201

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   64,611  -2,300

JUN21 2Y-MIDC    97.75 C  101,364     UNCH    97.75 P   90,961    +400

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,819    +500

JUN22 3Y-MIDC    97.75 C   92,808     UNCH    97.75 P   46,225    -125

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.47 (143,848 PUTS VS. 97,642 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.18 (46,939 PUTS VS. 39,773 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.77 (41,982 PUTS VS. 54,107 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 2.86 (79,248 PUTS VS. 27,675 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.34 (7,061 PUTS VS. 5,200 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 22.0 (5,222 PUTS VS. 237 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.04 (5,950 PUTS VS. 138,165 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.23 (27,000 PUTS VS. 115,266 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.56 (62,003 PUTS VS. 110,052 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.60 (10,635 PUTS VS. 17,630 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.12 (1,125 PUTS VS. 1,000 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       62.41    57.74    60.98    57.00    59.98     64.66

9:30        62.69    59.22    62.72    57.52    60.01     64.74

Wed Open    61.37    56.78    60.77    56.62    59.71     64.54

Tue 3:00    60.88    58.64    60.94    56.70    59.87     64.52

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

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

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