US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 18

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

             USM    USN     TYM   TYN     FVM    FVN     EDM     EDN

1100        10.90% 9.74%   4.30% 3.93%   2.34%  2.13%   82.20% 104.70%

0915        10.76% 9.67%   4.35% 3.94%   2.19%  2.11%   89.65% 106.74%

MON OPEN    10.85% 9.74%   4.12% 3.95%   2.19%  2.10%   99.89% 105.61%

LARGEST O/I:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUN'20 10Y NOTE  131.00 C   25,030     UNCH   135.00 P  105,061       -3

JUL'20 10Y NOTE  140.00 C   43,572     -653   138.00 P   43,469   +3,754

JUN'20 5Y NOTE   126.50 C   78,490     -753   113.00 P  202,033     UNCH

JUL'20 5Y NOTE   126.25 C   38,614     +368   124.75 P   10,265   +1,997

JUN'20 2Y NOTE   110.25 C   65,628       -1   106.50 P   41,126     UNCH

JUL'20 2Y NOTE   110.38 C       82     UNCH   110.25 P    5,085     UNCH

JUN'20 EURODLR    99.50 C  413,542     +200    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.50 P  207,557   +1,796

JUN'21 1Y-MIDC    99.75 C  131,385   -5,025    98.50 P  201,925     UNCH

JUN'22 2Y-MIDC    99.62 C   85,873     UNCH    99.37 P  110,236     +856

JUN'23 3Y-MIDC    99.62 C   57,939     UNCH    98.75 P   25,810     UNCH

NEAREST ATM:      STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

JUN'20 10Y NOTE  139.00 C   59,811   -2,562   139.00 P   42,754   +1,649

JUN'20 10Y NOTE  139.50 C   57,880     +148   139.50 P   12,711   +1,130

JUL'20 10Y NOTE  138.50 C   17,703     +473   138.50 P   25,923   +5,027

JUL'20 10Y NOTE  139.00 C   23,224      -15   139.00 P   12,777   +1,589

JUN'20 5Y NOTE   125.50 C   38,532   -1,607   125.50 P   18,657     +706

JUN'20 5Y NOTE   125.75 C   26,086     +308   125.75 P    3,978      +71

JUL'20 5Y NOTE   125.50 C    9,866      +51   125.50 P    5,856   +1,218

JUL'20 5Y NOTE   125.75 C   12,421     +977   125.75 P    4,593   +3,845

JUN'20 2Y NOTE   110.12 C   39,621     UNCH   110.12 P    1,724     UNCH

JUN'20 2Y NOTE   110.25 C   65,628       -1   110.25 P   41,126     UNCH

JUL'20 2Y NOTE   110.25 C        6     UNCH   110.25 P    5,085     UNCH

JUL'20 2Y NOTE   110.38 C       82     UNCH   110.38 P    5,010     UNCH

JUN'20 EURODLR    99.62 C  277,157   -4,485    99.62 P  211,045     +133

JUN'20 EURODLR    99.75 C  342,057   +2,623    99.75 P    2,752     +750

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.62 P  118,871     +270

JUL'20 EURODLR    99.75 C  151,618  -35,227    99.75 P   69,078     +547

JUN'21 1Y-MIDC    99.75 C  131,385   -5,025    99.75 P   30,796     -700

JUN'21 1Y-MIDC    99.88 C   35,875     -514    99.88 P    4,325     UNCH

JUN'22 2Y-MIDC    99.75 C   73,505     +100    99.75 P   49,701     UNCH

JUN'22 2Y-MIDC    99.88 C   15,943     UNCH    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   37,986     UNCH    99.38 P   19,147     UNCH

JUN'23 3Y-MIDC    99.50 C   22,850     UNCH    99.50 P   10,894     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN'20 10Y NOTE PUT/CALL RATIO   -- 0.58 (52,438 PUTS VS. 89,010 CALLS)

JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.75 (49,873 PUTS VS. 28,713 CALLS)

JUN'20 5Y NOTE PUT/CALL RATIO    -- 0.59 (13,170 PUTS VS. 22,172 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 2.12 (17,591 PUTS VS. 7,926 CALLS)

JUN'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 2 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 0.00 (150 PUTS VS. 0 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 2.24 (112,374 PUTS VS. 50,431 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 0.26 (29,305 PUTS VS. 108,572 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 1.65 (17,186 PUTS VS. 10,405 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 1.33 (8,770 PUTS VS. 6,563 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 38.8 (4,850 PUTS VS. 125 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

1100        37.01   64.55     50.44   66.61     64.11     61.81

0915        35.99   65.23     50.65   66.62     64.11     61.79

Mon Open    36.00   64.26     50.86   66.72     64.06     61.78

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

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