US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 3

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

FRI 3:00    5.32%  5.64%   3.10%  3.30%   2.02%  2.14%   12.60%  6.70%

FRI OPEN    5.30%  5.55%   3.10%  3.25%   2.05%  2.15%   13.35%  7.38%

THU 3:00    5.62%  5.88%   3.30%  3.41%   2.22%  2.23%   12.65%  7.95%

THU OPEN    5.62%  5.75%   3.34%  3.44%   2.35%  2.33%   10.10%  9.20%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C  103,514      +40   122.50 P  182,431     +46

JUL19 10Y NOTE  124.50 C   48,333     +841   123.00 P   15,737  +2,789

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

JUL19 5Y NOTE   117.25 C   29,726     UNCH   114.75 P   27,186 +14,151

JUN19 2Y NOTE   106.75 C   18,714     +400   106.25 P   57,279  +1,195

JUL19 2Y NOTE   106.75 C    2,800   +1,800   106.25 P   10,050    UNCH

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

JUN19 EURODLR    97.62 C  467,723     +491    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   91,567   -1,958   123.50 P   66,428  +1,688

JUN19 10Y NOTE  124.00 C  103,514      +40   124.00 P   22,552     -23

JUL19 10Y NOTE  123.50 C    8,188   +2,647   123.50 P   10,989  +1,940

JUL19 10Y NOTE  124.00 C   12,814      -10   124.00 P    8,701    +383

JUN19 5Y NOTE   115.25 C   17,464     +544   115.25 P   57,274  +2,095

JUN19 5Y NOTE   115.50 C   24,283   -1,126   115.50 P   38,801  -8,469

JUL19 5Y NOTE   115.25 C      481     +103   115.25 P   15,491  +3,313

JUL19 5Y NOTE   115.50 C   10,173   +3,010   115.50 P   20,018  +3,029

JUN19 2Y NOTE   106.50 C   14,180      +59   106.50 P   14,999    +127

JUN19 2Y NOTE   106.62 C   11,499     +446   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    2,061   +1,061   106.50 P    5,000    UNCH

JUL19 2Y NOTE   106.62 C    2,571   +1,561   106.62 P    2,727    UNCH

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

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

JUN19 EURODLR    97.25 C  257,225     UNCH    97.25 P  307,896    +430

JUN19 EURODLR    97.37 C  370,674     UNCH    97.37 P  250,681    -100

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 (102,394 PUTS VS. 108,987 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.75 (23,535 PUTS VS. 20,692 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.97 (79,668 PUTS VS. 25,773 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 7.79 (58,741 PUTS VS. 10,276 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.92 (9,671 PUTS VS. 5,058 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.66 (344 PUTS VS. 6,029 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.04 (1,600 PUTS VS. 6,306 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

Fri 3:00    47.90    47.49    52.14    49.30    57.38     62.57

Fri Open    48.86    48.12    53.29    49.84    57.68     62.74

Thu 3:00    50.05    47.89    53.80    50.26    58.01     63.03

Thu Open    53.10    48.22    54.25    51.15    58.10     63.50

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

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

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