US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 19

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

             USM    USN     TYM   TYN     FVM    FVN     EDM     EDN

1100        11.70% 9.95%   4.59% 4.11%   2.40%  2.18%   87.40% 107.50%

0930        11.82% 9.93%   4.60% 4.10%   2.37%  2.18%   85.30% 110.70%

TUE OPEN    11.75% 9.58%   4.68% 3.97%   2.45%  2.11%   81.20% 105.30%

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

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  141.00 C   81,282      -12   135.00 P  104,431     -630

JUL'20 10Y NOTE  139.50 C   46,658   +9,841   138.00 P   53,090   +9,621

JUN'20 5Y NOTE   126.50 C   75,713   -2,777   113.00 P  202,033     UNCH

JUL'20 5Y NOTE   126.25 C   41,919   +3,305   124.50 P   12,583   +4,374

JUN'20 2Y NOTE   110.25 C   65,649      +21   106.50 P   41,126     UNCH

JUL'20 2Y NOTE   110.38 C      582     +500   110.38 P    5,510     +500

JUN'20 EURODLR    99.50 C  413,539       -3    98.25 P  619,337     UNCH

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.50 P  207,630      +73

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

JUN'22 2Y-MIDC    99.62 C   85,873     UNCH    99.37 P  110,436     +200

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   56,817   -2,994   139.00 P   41,563   -1,191

JUN'20 10Y NOTE  139.50 C   51,163   -6,717   139.50 P   11,930     -781

JUL'20 10Y NOTE  138.50 C   18,426     +723   138.50 P   26,066     +143

JUL'20 10Y NOTE  139.00 C   27,104   +3,880   139.00 P   14,609   +1,832

JUN'20 5Y NOTE   125.50 C   34,608   -3,924   125.50 P   17,495   -1,162

JUN'20 5Y NOTE   125.75 C   23,123   -2,963   125.75 P    3,976       -2

JUL'20 5Y NOTE   125.50 C    9,818      -48   125.50 P    5,856     UNCH

JUL'20 5Y NOTE   125.75 C   12,516      +95   125.75 P    4,593     UNCH

JUN'20 2Y NOTE   110.12 C   39,621     UNCH   110.12 P   27,874     UNCH

JUN'20 2Y NOTE   110.25 C   65,649      +21   110.25 P    6,542     -660

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

JUL'20 2Y NOTE   110.38 C      582     +500   110.38 P    5,510     +500

JUN'20 EURODLR    99.62 C  286,811   +9,654    99.62 P  214,695   +3,650

JUN'20 EURODLR    99.75 C  342,154      +97    99.75 P    3,032     +280

JUL'20 EURODLR    99.62 C  163,698     UNCH    99.62 P  122,131   +3,260

JUL'20 EURODLR    99.75 C  152,124     +506    99.75 P   70,886   +1,808

JUN'21 1Y-MIDC    99.75 C  131,385     UNCH    99.75 P   30,826      +30

JUN'21 1Y-MIDC    99.88 C   36,315     +440    99.88 P    4,325     UNCH

JUN'22 2Y-MIDC    99.75 C   73,505     UNCH    99.75 P   49,126     -575

JUN'22 2Y-MIDC    99.88 C   16,773     +830    99.88 P        0     UNCH

JUN'23 3Y-MIDC    99.38 C   34,624   -3,362    99.38 P   19,617     +200

JUN'23 3Y-MIDC    99.50 C   16,948   -5,902    99.50 P   10,894     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN'20 10Y NOTE PUT/CALL RATIO   -- 1.05 (108,960 PUTS VS. 102,264 CALLS)

JUL'20 10Y NOTE PUT/CALL RATIO   -- 1.17 (80,568 PUTS VS. 68,077 CALLS)

JUN'20 5Y NOTE PUT/CALL RATIO    -- 0.70 (24,495 PUTS VS. 34,142 CALLS)

JUL'20 5Y NOTE PUT/CALL RATIO    -- 0.65 (10,287 PUTS VS. 15,557 CALLS)

JUN'20 2Y NOTE PUT/CALL RATIO    -- 2.80 (5,667 PUTS VS. 2,032 CALLS)

JUL'20 2Y NOTE PUT/CALL RATIO    -- 1.00 (500 PUTS VS. 500 CALLS)

JUN'20 EURODLRS PUT/CALL RATIO   -- 1.10 (22,058 PUTS VS. 20,845 CALLS)

JUL'20 EURODLRS PUT/CALL RATIO   -- 8.01 (8,883 PUTS VS. 1,161 CALLS)

JUN'21 1Y-MIDCRVE PUT/CALL RATIO -- 7.18 (7,186 PUTS VS. 1,070 CALLS)

JUN'22 2Y-MIDCRVE PUT/CALL RATIO -- 5.60 (18,492 PUTS VS. 3,350 CALLS)

JUN'23 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (600 PUTS VS. 25,380 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        36.08   65.30    51.36    67.17     64.16     61.81

0930        36.26   65.81    51.40    67.42     64.42     62.06

Tue Open    36.12   65.46    51.16    67.10     64.28     61.91

Mon 1500    36.86   64.93    51.02    66.99     64.26     61.80

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$]