US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 16

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

1:45        5.60%  6.08%   3.32%  3.61%   2.35%  2.53%   8.50%   15.70%

11:30       5.50%  6.12%   3.30%  3.62%   2.30%  2.50%   8.36%   15.45%

THU OPEN    5.86%  6.17%   3.55%  3.70%   2.42%  2.55%   8.26%   16.01%

WED 3:00    5.95%  6.33%   3.55%  3.75%   2.83%  2.70%   8.63%   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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  121,096   -2,015   122.50 P  169,074    -553

JUL19 10Y NOTE  124.50 C   77,292  -13,869   123.00 P   68,709  +2,832

JUN19 5Y NOTE   116.00 C   42,838   -5,375   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   34,970     -886   115.00 P   59,725    -543

JUN19 2Y NOTE   106.75 C   16,726   -5,004   105.25 P   46,830    UNCH

JUL19 2Y NOTE   107.00 C    6,664   +1,983   106.62 P   12,402  +5,468

JUN19 EURODLR    97.37 C  364,624   +1,198    96.75 P  728,209    UNCH

JUL19 EURODLR    97.87 C  224,272   +3,250    97.37 P  139,378  +7,900

JUN19 1Y-MIDC    97.87 C  216,078  +12,400    97.62 P  326,814 -28,850

JUN20 2Y-MIDC    98.00 C  111,729  +12,197    97.50 P  112,718    UNCH

JUN21 3Y-MIDC    97.75 C   92,808     UNCH    97.62 P   80,519    -300

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   89,578      -82   124.00 P   45,667  -6,709

JUN19 10Y NOTE  124.50 C  109,773   -1,269   124.50 P   28,075  +6,864

JUL19 10Y NOTE  124.00 C   21,138      +61   124.00 P   36,128  +5,147

JUL19 10Y NOTE  124.50 C   77,292  -13,869   124.50 P   28,683  +5,511

JUN19 5Y NOTE   115.75 C   25,497   -1,397   115.75 P   10,289  -3,290

JUN19 5Y NOTE   116.00 C   42,838   -5,375   116.00 P   24,029  +3,072

JUL19 5Y NOTE   115.75 C   14,950     +284   115.75 P   20,965  +2,002

JUL19 5Y NOTE   116.00 C   12,987     -143   116.00 P   18,055  +3,572

JUN19 2Y NOTE   106.50 C   14,365     UNCH   106.50 P   16,553  -2,722

JUN19 2Y NOTE   106.62 C   12,919     -614   106.62 P    5,037  +1,262

JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    6,431    +320

JUL19 2Y NOTE   106.62 C    2,776     UNCH   106.62 P   12,402  +5,468

JUN19 EURODLR    97.25 C  255,273   -1,941    97.25 P  309,081    UNCH

JUN19 EURODLR    97.37 C  364,624   +1,198    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     UNCH    97.37 P  139,378  +7,900

JUN20 1Y-MIDC    97.50 C   77,043     -250    97.50 P  204,536  -6,795

JUN20 1Y-MIDC    97.62 C  100,036     -150    97.62 P  326,814 -28,850

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

JUN21 2Y-MIDC    97.75 C  100,114   -1,250    97.75 P   92,122  +1,161

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,519    -300

JUN22 3Y-MIDC    97.75 C   92,808     UNCH    97.75 P   45,758    -467

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.75 (139,265 PUTS VS. 184,743 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.45 (127,465 PUTS VS. 87,808 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 0.55 (48,271 PUTS VS. 87,513 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.79 (34,683 PUTS VS. 43,633 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.51 (7,826 PUTS VS. 15,123 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 3.53 (10,695 PUTS VS. 3,018 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.03 (6,350 PUTS VS. 167,795 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.07 (23,450 PUTS VS. 323,608 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.37 (195,257 PUTS VS. 141,591 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.25 (9,200 PUTS VS. 36,658 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.45 (4,125 PUTS VS. 9,180 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

1:45        63.93    57.60    62.29    58.02    60.20     65.04

11:30       64.81    58.08    62.34    57.95    60.22     65.01

Thu Open    64.81    58.08    62.34    57.95    60.22     65.01

Wed 3:00    63.93    57.61    62.00    57.28    59.92     64.73

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

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

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