US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 30

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

11:45       7.09%  6.99%   4.31%  4.13%   2.95%  2.82%   6.28%   16.49%

10:30       6.82%  6.86%   4.15%  4.04%   2.88%  2.78%   6.90%   16.16%

9:00        7.16%  7.00%   4.20%  4.07%   2.93%  2.81%   6.00%   16.40%

THU OPEN    7.13%  7.00%   4.29%  4.08%   3.00%  2.82%   6.32%   16.38%

WED 1500    7.59%  7.19%   4.53%  4.29%   3.03%  2.87%   7.92%   17.95%

WED OPEN    7.69%  7.31%   4.56%  4.34%   3.07%  2.89%   7.28%   17.50%

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  102,063     +517   124.00 P   96,716  +7,136

SEP19 10Y NOTE  126.00 C   39,920  +10,923   112.00 P   39,785    UNCH

JUL19 5Y NOTE   117.25 C   49,386   +3,030   116.00 P   79,177  +4,693

SEP19 5Y NOTE   116.75 C    9,213     +886   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C   10,512      -68   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.12 C    6,098   +5,292   104.12 P   15,023    UNCH

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

JUL19 EURODLR    97.37 C  206,242     UNCH    97.50 P  145,081  +2,379

JUN19 1Y-MIDC    98.00 C  208,697  -25,200    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    97.75 C  106,325     UNCH    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  102,063     +517   126.00 P   15,006 +11,670

JUL19 10Y NOTE  126.50 C   68,498   +1,404   126.50 P      475     +26

SEP19 10Y NOTE  126.00 C   39,920  +10,923   126.00 P   13,316 +13,082

SEP19 10Y NOTE  126.50 C   10,670   +3,548   126.50 P      217     +52

JUL19 5Y NOTE   116.75 C   29,704      -21   116.75 P    1,256    +392

JUL19 5Y NOTE   117.00 C   44,760     +943   117.00 P    2,803  +2,726

SEP19 5Y NOTE   116.75 C    9,213     +886   116.75 P      115    UNCH

SEP19 5Y NOTE   117.00 C    7,307       -9   117.00 P      956    +927

JUL19 2Y NOTE   107.00 C   10,512      -68   107.00 P    1,109    +958

JUL19 2Y NOTE   107.12 C    7,111      -11   107.12 P       50     +50

SEP19 2Y NOTE   107.00 C       42      +12   107.00 P    6,250  +6,243

SEP19 2Y NOTE   107.12 C    6,098   +5,292   107.12 P      144    +143

JUN19 EURODLR    97.25 C  251,959     UNCH    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     UNCH    97.37 P  138,172    UNCH

JUN20 1Y-MIDC    97.50 C   70,077   -1,315    97.50 P  224,220    UNCH

JUN20 1Y-MIDC    97.62 C   98,431   +4,208    97.62 P  319,871    UNCH

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    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.75 (152,498 PUTS VS. 202,475 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.95 (57,912 PUTS VS. 61,200 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.62 (126,808 PUTS VS. 48,418 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.73 (11,767 PUTS VS. 15,534 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 4.81 (5,334 PUTS VS. 1,119 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 3.68 (23,298 PUTS VS. 6,369 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.07 (525 PUTS VS. 7,200 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 1.11 (49,686 PUTS VS. 44,478 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.21 (44,830 PUTS VS. 206,155 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.63 (43,924 PUTS VS. 68,087 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.15 (3,000 PUTS VS. 20,050 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

11:45       67.61    62.97    67.04    61.96    63.22     67.98

10:30       68.88    64.48    68.19    63.08    63.45     68.10

9:00        69.83    64.72    69.06    64.01    63.85     68.26

Thu Open    69.88    65.06    69.08    64.12    63.90     68.36

Wed 1500    72.39    68.20    71.56    66.31    64.29     69.04

Wed Open    71.12    64.99    70.11    63.71    64.20     68.64

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$]