US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 6

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

11:15       5.88%  5.88%   3.48%  3.54%   2.39%  2.38%    N/A    8.75%

9:15        6.04%  5.99%   3.61%  3.60%   2.48%  2.40%    N/A    8.06%

MON OPEN    5.98%  5.98%   3.55%  3.56%   2.37%  2.35%   15.52%  7.66%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  104,856   +2,922   122.50 P  185,502  +2,071

JUL19 10Y NOTE  124.50 C   49,590   +1,257   123.00 P   16,961  +1,224

JUN19 5Y NOTE   116.50 C   52,722     +197   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,726     UNCH   114.75 P   27,478    +292

JUN19 2Y NOTE   106.75 C   18,714     UNCH   106.25 P   53,178  -4,101

JUL19 2Y NOTE   106.75 C    2,800     UNCH   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     UNCH    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    97.87 C  218,949   -2,500    97.62 P  339,515 +15,525

JUN20 2Y-MIDC    97.75 C   89,988     +202    97.50 P  109,256    UNCH

JUN21 3Y-MIDC    97.75 C   98,480     +231    97.50 P  103,045    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   90,934     -633   123.50 P   62,805  -3,623

JUN19 10Y NOTE  124.00 C  104,774   +1,260   124.00 P   22,323    -229

JUL19 10Y NOTE  123.50 C    9,566   +1,378   123.50 P   10,791    -198

JUL19 10Y NOTE  124.00 C   13,559     +745   124.00 P    8,700      -1

JUN19 5Y NOTE   115.50 C   26,812   +2,529   115.50 P   36,490  -2,311

JUN19 5Y NOTE   115.75 C   34,146     +667   115.75 P    7,056    -217

JUL19 5Y NOTE   115.50 C   11,253   +1,080   115.50 P   20,363    +345

JUL19 5Y NOTE   115.75 C   10,561     UNCH   115.75 P    8,504      +4

JUN19 2Y NOTE   106.50 C   14,432     +252   106.50 P   14,999    UNCH

JUN19 2Y NOTE   106.62 C   11,389     -110   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    2,150      +89   106.50 P    5,049     +49

JUL19 2Y NOTE   106.62 C    2,571     UNCH   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  309,081  +1,185

JUN19 EURODLR    97.37 C  370,674     UNCH    97.37 P  250,275    -406

JUN20 1Y-MIDC    97.50 C   76,407     UNCH    97.50 P  215,197  +3,991

JUN20 1Y-MIDC    97.62 C   97,477   +4,711    97.62 P  339,515 +15,525

JUN21 2Y-MIDC    97.62 C   26,496     -150    97.62 P   43,924    UNCH

JUN21 2Y-MIDC    97.75 C   89,988     +202    97.75 P   83,552    +250

JUN22 3Y-MIDC    97.62 C   24,449     +881    97.62 P   95,889  -1,000

JUN22 3Y-MIDC    97.75 C   98,480     +231    97.75 P   48,940    -350

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 1.64 (94,716 PUTS VS. 57,386 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 0.69 (13,373 PUTS VS. 19,209 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 2.79 (41,459 PUTS VS. 14,793 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 9.20 (23,017 PUTS VS. 2,489 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 4.73 (7,157 PUTS VS. 1,572 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.40 (200 PUTS VS. 492 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.08 (25 PUTS VS. 300 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 1.92 (14,640 PUTS VS. 7,657 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.02 (51,766 PUTS VS. 50,642 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (625 PUTS VS. 47,702 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.13 (2,000 PUTS VS. 14,843 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

11:15       50.91    51.54    54.92    51.86    57.92     62.76

9:15        50.20    50.89    53.90    50.37    57.38     62.54

Mon Open    48.65    49.41    53.25    50.18    57.45     62.64

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

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

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