US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 20

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

MON 3:00    6.51%  6.22%   3.94%  3.71%   2.77%  2.61%   6.75%   15.30%

1:30        6.56%  6.20%   4.00%  3.76%   2.82%  2.66%   7.26%   15.50%

11:45       6.49%  6.26%   3.98%  3.87%   2.90%  2.63%   8.00%   15.48%

10:00       6.59%  6.29%   4.01%  3.91%   2.91%  2.69%   7.97%   16.35%

MON OPEN    6.75%  6.33%   4.04%  3.92%   2.92%  2.74%   7.95%   16.35%

THU 3:00    5.68%  6.13%   3.58%  3.64%   2.37%  2.56%   8.61%   16.40%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  128,128   +5,669   122.50 P  167,145  -1,929

JUL19 10Y NOTE  124.50 C   64,907   -1,449   123.50 P   74,145  +1,541

JUN19 5Y NOTE   116.00 C   40,722   -2,493   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   34,945      +39   115.00 P   67,340  +2,186

JUN19 2Y NOTE   106.50 C   14,365     UNCH   106.25 P   47,412    +635

JUL19 2Y NOTE   107.00 C    6,732      +68   106.62 P   12,458    +356

JUN19 EURODLR    97.37 C  364,374     +250    96.75 P  728,209    UNCH

JUL19 EURODLR    97.87 C  213,772  -10,000    97.37 P  142,578    +700

JUN19 1Y-MIDC    97.87 C  218,562   +4,414    97.62 P  326,514  -9,250

JUN20 2Y-MIDC    98.00 C  120,567     +550    97.50 P  110,468    UNCH

JUN21 3Y-MIDC    97.75 C   94,808   +2,000    97.62 P   80,369    -150

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   89,320       -4   124.00 P   50,010    -747

JUN19 10Y NOTE  124.50 C  100,698   -5,405   124.50 P   27,865  -3,332

JUL19 10Y NOTE  124.00 C   19,946     -129   124.00 P   71,733 +13,387

JUL19 10Y NOTE  124.50 C   64,907   -1,449   124.50 P   32,358  +1,641

JUN19 5Y NOTE   115.75 C   25,493       -2   115.75 P   67,511 +41,717

JUN19 5Y NOTE   116.00 C   40,722   -2,493   116.00 P   25,750  -2,195

JUL19 5Y NOTE   115.75 C   14,947     +199   115.75 P   26,979  +4,866

JUL19 5Y NOTE   116.00 C   13,102      -19   116.00 P   18,734    +503

JUN19 2Y NOTE   106.50 C   14,365     UNCH   106.50 P   17,315      +1

JUN19 2Y NOTE   106.62 C   12,487     -413   106.62 P    4,587    +100

JUL19 2Y NOTE   106.50 C    3,348     UNCH   106.50 P    5,283    UNCH

JUL19 2Y NOTE   106.62 C    2,776     UNCH   106.62 P   12,458    +356

JUN19 EURODLR    97.25 C  253,459     UNCH    97.25 P  309,081    UNCH

JUN19 EURODLR    97.37 C  364,374     +250    97.37 P  252,275  +2,000

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  142,578    +700

JUN20 1Y-MIDC    97.50 C   77,793     UNCH    97.50 P  207,036    +500

JUN20 1Y-MIDC    97.62 C   98,223     UNCH    97.62 P  326,514  -9,250

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   62,318  -2,293

JUN21 2Y-MIDC    97.75 C  106,365     UNCH    97.75 P   91,622    UNCH

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,369    -150

JUN22 3Y-MIDC    97.75 C   94,808   +2,000    97.75 P   45,208    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.67 (97,866 PUTS VS. 145,690 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.89 (102,371 PUTS VS. 53,978 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.95 (92,312 PUTS VS. 47,149 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 3.05 (33,933 PUTS VS. 11,118 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.38 (3,485 PUTS VS. 8,857 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 9.82 (2,249 PUTS VS. 229 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 2.94 (10,959 PUTS VS. 3,704 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.16 (3,004 PUTS VS. 18,338 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.03 (45,615 PUTS VS. 43,984 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.31 (2,943 PUTS VS. 9,175 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.28 (13,350 PUTS VS. 46,658 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 3:00    64.99    57.28    63.32    58.81    60.96     65.52

1:30        64.98    57.28    63.26    58.79    60.97     65.54

11:45       65.51    57.50    63.53    59.15    60.90     65.47

10:00       65.21    57.05    63.37    59.01    60.87     65.46

Mon Open    65.09    56.64    63.20    58.91    60.83     65.45

Thu 3:00    64.28    57.62    62.43    58.13    60.20     65.02

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

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

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