US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 28

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

             USM    USN     TYM    TYN     FVM    FVN     EDM     EDN

1:30        6.80%  6.78%   4.12%  4.05%   2.85%  2.80%   7.40%   16.60%

11:15       6.80%  6.78%   4.12%  4.05%   2.85%  2.80%   7.40%   16.60%

9:45        6.69%  6.73%   4.07%  4.03%   2.77%  2.71%   7.46%   15.50%

TUE OPEN    6.65%  6.68%   4.01%  3.90%   2.70%  2.65%   7.41%   15.35%

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

1:30        68.73    61.79    66.47    61.51    63.34     67.45

11:15       66.88    60.88    65.85    60.89    62.88     67.41

9:45        66.53    60.83    65.73    60.67    62.95     67.49

Tue Open    66.10    60.80    65.60    60.05    62.80     67.45

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

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