US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 31

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

             USN    USU     TYN    TYU     FVN    FVU     EDM     EDN

FRI 1500    8.47%  7.65%   5.35%  4.75%   3.68%  3.18%   11.31%  27.41%

FRI OPEN    7.92%  7.15%   4.75%  4.36%   3.38%  2.98%   8.85%   23.88%

THU 1500    7.12%  7.01%   4.32%  4.14%   2.99%  2.83%   6.85%   16.70%

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   91,792   +1,102   124.00 P  103,327  +6,614

SEP19 10Y NOTE  126.00 C   39,444     -476   112.00 P   40,166    +381

JUL19 5Y NOTE   117.25 C   50,655   +1,269   116.00 P  103,852 +24,675

SEP19 5Y NOTE   119.00 C   14,590  +13,224   106.50 P   80,403    UNCH

JUL19 2Y NOTE   107.00 C   10,712     +200   106.25 P   14,653    UNCH

SEP19 2Y NOTE   107.12 C    6,098     UNCH   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  145,515    +434

JUN19 1Y-MIDC    98.00 C  206,834   -1,863    97.62 P  319,871    UNCH

JUN20 2Y-MIDC    97.75 C  106,325     UNCH    97.50 P  110,368    -100

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   91,792   +1,102   126.00 P   15,871    +865

JUL19 10Y NOTE  126.50 C   70,587   +2,089   126.50 P      500     +25

SEP19 10Y NOTE  126.00 C   39,444     -476   126.00 P   12,664    -652

SEP19 10Y NOTE  126.50 C   11,560     +890   126.50 P      238     +21

JUL19 5Y NOTE   116.75 C   29,682      -22   116.75 P    1,815    +559

JUL19 5Y NOTE   117.00 C   45,570     +810   117.00 P    2,801      -2

SEP19 5Y NOTE   116.75 C    9,751     +538   116.75 P    2,002  +1,887

SEP19 5Y NOTE   117.00 C    8,492   +1,185   117.00 P    1,525    +569

JUL19 2Y NOTE   107.00 C   10,712     +200   107.00 P    1,109    UNCH

JUL19 2Y NOTE   107.12 C    7,196      +85   107.12 P       50    UNCH

SEP19 2Y NOTE   107.00 C       42     UNCH   107.00 P    6,250    UNCH

SEP19 2Y NOTE   107.12 C    6,098     UNCH   107.12 P      144    UNCH

JUN19 EURODLR    97.25 C  247,959   -4,000    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     UNCH    97.50 P  224,220    UNCH

JUN20 1Y-MIDC    97.62 C   98,431     UNCH    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   -- 1.26 (146,999 PUTS VS. 115,048 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.37 (44,246 PUTS VS. 32,960 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 3.23 (68,004 PUTS VS. 21,387 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 0.36 (8,869 PUTS VS. 24,051 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 3.35 (5,707 PUTS VS. 1,736 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 8.86 (9,453 PUTS VS. 1,066 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.43 (3,351 PUTS VS. 7,651 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.40 (10,985 PUTS VS. 26,808 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.94 (58,300 PUTS VS. 62,015 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.28 (27,750 PUTS VS. 21,587 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (6,250 PUTS VS. 0 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 1500    74.41    73.52    76.97    65.83    65.79     69.45

Fri Open    73.15    72.28    72.99    67.90    64.73     69.30

Thu 1500    68.83    63.47    67.56    62.82    63.41     68.07

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$]