US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 29

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

TUE 1500    7.05%  6.95%   4.23%  4.14%   2.95%  2.81%   7.10%   16.70%

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

JUL19 10Y NOTE  126.00 C  101,546  +13,190   124.00 P   89,577    +571

SEP19 10Y NOTE  126.00 C   28,997   +1,037   112.00 P   39,785  +2,085

JUL19 5Y NOTE   117.25 C   46,356   +6,232   116.00 P   74,484 +12,016

SEP19 5Y NOTE   116.75 C    8,327       -1   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C   10,580     +711   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.25 C    4,248       +5   104.12 P   15,023  +1,875

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

JUL19 EURODLR    97.37 C  206,242   -7,500    97.50 P  142,702  +2,499

JUN19 1Y-MIDC    98.00 C  233,897   -2,865    97.62 P  319,871      -1

JUN20 2Y-MIDC    98.00 C  118,249   -1,788    97.50 P  110,468    UNCH

JUN21 3Y-MIDC    97.75 C   94,808     UNCH    97.62 P   80,749    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL19 10Y NOTE  126.00 C  101,546  +13,190   126.00 P    3,336    +355

JUL19 10Y NOTE  126.50 C   67,094  +14,707   126.50 P      449      -2

SEP19 10Y NOTE  126.00 C   28,997   +1,037   126.00 P      234    +154

SEP19 10Y NOTE  126.50 C    7,122     -721   126.50 P      165      -1

JUL19 5Y NOTE   116.75 C   29,725   -2,934   116.75 P      864    +385

JUL19 5Y NOTE   117.00 C   44,442     +194   117.00 P       77      -8

SEP19 5Y NOTE   116.75 C    8,327       -1   116.75 P      115    +100

SEP19 5Y NOTE   117.00 C    7,316   +1,379   117.00 P       29      -1

JUL19 2Y NOTE   107.00 C   10,580     +711   107.00 P      151     +51

JUL19 2Y NOTE   107.12 C    7,130   +3,862   107.12 P        0    UNCH

SEP19 2Y NOTE   107.00 C       28       +5   107.00 P        7    UNCH

SEP19 2Y NOTE   107.12 C      806     +800   107.12 P        1    UNCH

JUN19 EURODLR    97.25 C  251,959   -1,500    97.25 P  316,665    UNCH

JUN19 EURODLR    97.37 C  364,374     UNCH    97.37 P  255,388    UNCH

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

JUL19 EURODLR    97.37 C  206,242   -7,500    97.37 P  138,172    UNCH

JUN20 1Y-MIDC    97.50 C   71,392     UNCH    97.50 P  224,220    UNCH

JUN20 1Y-MIDC    97.62 C   94,223   -1,750    97.62 P  319,871      -1

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   60,568    UNCH

JUN21 2Y-MIDC    97.75 C  106,325     UNCH    97.75 P  100,992    UNCH

JUN22 3Y-MIDC    97.62 C   27,111     UNCH    97.62 P   80,749    UNCH

JUN22 3Y-MIDC    97.75 C   94,808     UNCH    97.75 P   43,174  -2,675

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.53 (120,197 PUTS VS. 225,893 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.13 (66,058 PUTS VS. 57,913 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.25 (68,989 PUTS VS. 55,354 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.78 (50,140 PUTS VS. 28,228 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 2.84 (19,948 PUTS VS. 7,004 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 3.37 (5,464 PUTS VS. 1,651 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.01 (25 PUTS VS. 3,600 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.91 (108,637 PUTS VS. 119,336 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.19 (33,953 PUTS VS. 172,369 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.22 (45,307 PUTS VS. 37,017 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.73 (9,201 PUTS VS. 5,351 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

Tue 1500    69.24    62.08    66.65    61.80    63.45     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$]