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

MON 1500    12.15% 9.99%   4.73% 4.13%   2.69%  2.25%   83.55%  98.64%

1330        10.90% 9.80%   4.43% 3.99%   2.32%  2.14%   81.70%  95.69%

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

Mon 1500    36.86   64.93     51.02   66.99     64.26     61.80

1330        37.17   64.57     50.70   66.64     64.14     61.81

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$]