US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 22

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

11:00       6.40%  6.18%   4.11%  3.69%   2.75%  2.50%   6.35%   15.15%

9:45        6.44%  6.19%   3.97%  3.70%   2.75%  2.55%   6.45%   15.20%

WED OPEN    6.48%  6.21%   4.00%  3.70%   2.76%  2.55%   6.60%   15.21%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  116,318   -5,128   122.50 P  167,146      +1

JUL19 10Y NOTE  124.50 C   77,039  +11,999   123.50 P   77,048  +2,515

JUN19 5Y NOTE   116.00 C   40,128   +1,490   108.25 P  151,203    UNCH

JUL19 5Y NOTE   116.50 C   36,317   +1,413   115.00 P   68,332      -8

JUN19 2Y NOTE   106.50 C   14,387      +22   105.25 P   46,830    UNCH

JUL19 2Y NOTE   107.00 C    9,775   +3,000   106.62 P   12,458    UNCH

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

JUL19 EURODLR    97.37 C  211,071     UNCH    97.37 P  139,897    UNCH

JUN19 1Y-MIDC    97.87 C  212,727   -6,685    97.62 P  331,789    -725

JUN20 2Y-MIDC    98.00 C  123,997     -720    97.50 P  110,468    UNCH

JUN21 3Y-MIDC    97.75 C   94,808     UNCH    97.62 P   80,369    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   90,740   +1,443   124.00 P   53,737  -7,637

JUN19 10Y NOTE  124.50 C   99,016   +2,484   124.50 P   27,530  -2,188

JUL19 10Y NOTE  124.00 C   20,648     +516   124.00 P   72,958    +853

JUL19 10Y NOTE  124.50 C   77,039  +11,999   124.50 P   33,674    +521

JUN19 5Y NOTE   115.75 C   24,744     -678   115.75 P   52,585 -20,904

JUN19 5Y NOTE   116.00 C   40,128   +1,490   116.00 P   24,576  -1,539

JUL19 5Y NOTE   115.75 C   14,948     UNCH   115.75 P   26,255    -724

JUL19 5Y NOTE   116.00 C   15,638   +1,574   116.00 P   21,334    +514

JUN19 2Y NOTE   106.50 C   14,387      +22   106.50 P   17,670    +339

JUN19 2Y NOTE   106.62 C   11,870     UNCH   106.62 P    4,587    UNCH

JUL19 2Y NOTE   106.50 C    3,348     UNCH   106.50 P    4,266  -1,093

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

JUN19 EURODLR    97.25 C  253,459     UNCH    97.25 P  316,665  +7,584

JUN19 EURODLR    97.37 C  364,374     UNCH    97.37 P  255,638  +3,363

JUL19 EURODLR    97.25 C   53,755     UNCH    97.25 P   85,853    UNCH

JUL19 EURODLR    97.37 C  211,071     UNCH    97.37 P  139,897    UNCH

JUN20 1Y-MIDC    97.50 C   75,793     UNCH    97.50 P  225,120     -20

JUN20 1Y-MIDC    97.62 C   98,623     UNCH    97.62 P  331,789    -725

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   61,068    UNCH

JUN21 2Y-MIDC    97.75 C  106,325      -40    97.75 P  101,092  +8,331

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

JUN22 3Y-MIDC    97.75 C   94,808     UNCH    97.75 P   46,648    -500

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.49 (66,088 PUTS VS. 133,260 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.69 (46,340 PUTS VS. 67,378 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.79 (80,001 PUTS VS. 28,627 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.46 (19,114 PUTS VS. 13,032 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.66 (2,047 PUTS VS. 3,045 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.67 (5,353 PUTS VS. 7,849 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.64 (13,603 PUTS VS. 21,158 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.04 (6,025 PUTS VS. 121,018 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.11 (13,600 PUTS VS. 127,137 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.73 (27,300 PUTS VS. 36,962 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.44 (2,650 PUTS VS. 5,842 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

11:00       62.54    55.18    62.67    57.74    61.16     65.58

9:45        62.71    55.77    62.95    58.01    61.02     65.55

Wed Open    63.04    56.35    63.03    58.27    60.99     65.52

Mon 3:00    64.99    57.28    63.32    58.81    60.96     65.52

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

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

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