US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 2

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

WED 3:00    5.62%  5.75%   3.34%  3.44%   2.35%  2.33%   10.10%  9.20%

WED OPEN    5.81%  5.82%   3.55%  3.62%   2.53%  2.48%   12.40%  9.95%

TUE 3:00    5.71%  5.85%   3.41%  3.51%   2.40%  2.45%   12.50%  9.50%

TUE OPEN    5.75%  5.80%   3.44%  3.52%   2.38%  2.49%   12.40%  9.92%

MON 3:00    5.73%  5.84%   3.47%  3.53%   2.39%  2.38%   12.50%  9.85%

MON OPEN    5.71%  5.86%   3.47%  3.58%   2.38%  2.45%   12.75%  9.84%

FRI 3:00    5.54%   N/A    3.33%   N/A    2.27%   N/A    10.10%  9.99%

FRI OPEN    5.91%   N/A    3.47%   N/A    2.38%   N/A    12.10%  10.25%

THU 3:00    5.87%   N/A    3.43%   N/A    2.37%   N/A    11.90%  9.90%

THU OPEN    5.88%   N/A    3.50%   N/A    2.40%   N/A    11.50%  10.00%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.50 C  104,653     +338   122.50 P  182,385  +2,831

JUL19 10Y NOTE  124.50 C   47,492     +822   123.00 P   13,292  +2,490

JUN19 5Y NOTE   116.50 C   52,525     -686   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,726     UNCH   115.50 P   16,989  +6,943

JUN19 2Y NOTE   106.75 C   18,314   -2,552   106.25 P   56,084    +100

JUL19 2Y NOTE   107.00 C    2,280   +1,200   106.25 P   10,050    UNCH

MAY19 EURODLR    97.37 C   45,211     +250    97.25 P   64,254    UNCH

JUN19 EURODLR    97.62 C  467,232   +2,685    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    97.87 C  217,710  +40,809    97.62 P  302,140+118,268

JUN20 2Y-MIDC    97.75 C   91,238   +2,610    97.50 P  111,173  +2,114

JUN21 3Y-MIDC    97.75 C   91,564     -850    97.62 P   85,639    +200

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   93,525     -169   123.50 P   64,740  +1,327

JUN19 10Y NOTE  124.00 C  103,474   -5,377   124.00 P   22,575  +1,789

JUL19 10Y NOTE  123.50 C    5,541     +410   123.50 P    9,049  +1,014

JUL19 10Y NOTE  124.00 C   12,824     +353   124.00 P    8,318    +191

JUN19 5Y NOTE   115.25 C   16,920       +1   115.25 P   55,179  +6,808

JUN19 5Y NOTE   115.50 C   25,409     +259   115.50 P   47,270  +3,060

JUL19 5Y NOTE   115.25 C      378       -1   115.25 P   12,178  +3,976

JUL19 5Y NOTE   115.50 C    7,163       +3   115.50 P   16,989  +6,943

JUN19 2Y NOTE   106.50 C   14,121     UNCH   106.50 P   14,872      +1

JUN19 2Y NOTE   106.62 C   11,053   +1,209   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    1,000     UNCH   106.50 P    5,000    UNCH

JUL19 2Y NOTE   106.62 C    1,010      +10   106.62 P    2,727  +2,192

MAY19 EURODLR    97.25 C    6,227     UNCH    97.25 P   64,254    UNCH

MAY19 EURODLR    97.37 C   45,211     +250    97.37 P   47,123    UNCH

JUN19 EURODLR    97.25 C  257,225     UNCH    97.25 P  307,466     +72

JUN19 EURODLR    97.37 C  370,674   -5,300    97.37 P  250,781    +900

JUN20 1Y-MIDC    97.50 C   77,131     UNCH    97.50 P  209,639 +29,542

JUN20 1Y-MIDC    97.62 C   89,066   +1,530    97.62 P  302,140+118,268

JUN21 2Y-MIDC    97.62 C   27,196     -443    97.62 P   42,674  +1,750

JUN21 2Y-MIDC    97.75 C   91,238   +2,610    97.75 P   83,011  +2,064

JUN22 3Y-MIDC    97.62 C   15,783     UNCH    97.62 P   85,639    +200

JUN22 3Y-MIDC    97.75 C   91,564     -850    97.75 P   47,650    +831

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.92 (126,228 PUTS VS. 163,565 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.75 (26,143 PUTS VS. 34,475 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.97 (88,568 PUTS VS. 44,922 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 7.79 (49,137 PUTS VS. 6,370 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.92 (14,408 PUTS VS. 15,550 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.66 (8,632 PUTS VS. 13,057 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.01 (250 PUTS VS. 19,610 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.04 (5,390 PUTS VS. 123,318 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 4.18 (322,314 PUTS VS. 77,000 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.78 (12,500 PUTS VS. 16,030 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (1,700 PUTS VS. 5,450 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

Wed 3:00    53.04    48.79    54.50    51.19    58.28     63.52

Wed Open    53.77    49.71    55.20    51.29    58.42     63.51

Tue 3:00    53.21    49.74    54.84    51.12    58.56     63.58

Tue Open    51.73    49.79    54.24    51.15    58.56     63.61

Mon 3:00    52.40    50.27    54.88    51.88    58.97     63.97

Mon Open    52.52    50.69    55.80    52.75    59.36     64.15

Fri 3:00    53.15    51.00    56.05    53.25    59.95     64.40

Fri Open    52.95    51.55    56.54    53.65    59.90     64.27

Thu 3:00    52.52    51.56    56.35    53.66    59.91     64.27

Thu Open    52.60    52.67    56.58    53.92    60.02     64.22

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

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