US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 7

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

1:45        6.28%  6.32%   3.77%  3.80%   2.46%  2.50%    N/A    8.20%

10:30       6.20%  6.12%   3.74%  3.68%   2.46%  2.46%    N/A    7.90%

9:15        6.24%  6.15%   3.75%  3.65%   2.45%  2.45%    N/A    8.15%

TUE OPEN    6.28%  6.20%   3.75%  3.62%   2.44%  2.45%    N/A    8.81%

MON 3:00    6.02%  5.88%   3.53%  3.56%   2.45%  2.36%    N/A    8.22%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  105,630     +774   122.50 P  184,819    +317

JUL19 10Y NOTE  124.50 C   51,552   +1,962   122.50 P   19,155  +2,194

JUN19 5Y NOTE   116.50 C   53,576     +854   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,726     UNCH   114.75 P   27,328    -150

JUN19 2Y NOTE   106.75 C   18,233     -481   106.25 P   51,967  -1,211

JUL19 2Y NOTE   106.75 C    3,561     +761   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  468,991   +1,268    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    97.87 C  204,281  -14,668    97.62 P  342,315  +2,800

JUN20 2Y-MIDC    97.75 C   90,049      +61    97.50 P  109,131    -125

JUN21 3Y-MIDC    97.75 C   91,080     UNCH    97.62 P   80,764    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  123.50 C   90,100     -834   123.50 P   71,706  +8,901

JUN19 10Y NOTE  124.00 C  103,862     -912   124.00 P   22,098    -225

JUL19 10Y NOTE  123.50 C    9,413     -153   123.50 P   12,817  +2,026

JUL19 10Y NOTE  124.00 C   16,776   +3,217   124.00 P   11,936  +3,236

JUN19 5Y NOTE   115.50 C   28,336   +1,524   115.50 P   37,197    +707

JUN19 5Y NOTE   115.75 C   30,517   -3,629   115.75 P    7,093     +37

JUL19 5Y NOTE   115.50 C   11,223      -30   115.50 P   26,842  +6,479

JUL19 5Y NOTE   115.75 C   12,594   +2,033   115.75 P   10,672  +2,168

JUN19 2Y NOTE   106.50 C   14,605     +173   106.50 P   14,999    UNCH

JUN19 2Y NOTE   106.62 C   11,418      +29   106.62 P    2,765    UNCH

JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    5,049    UNCH

JUL19 2Y NOTE   106.62 C    2,671     +100   106.62 P    2,827    +100

MAY19 EURODLR    97.25 C    5,727     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  259,125   +1,900    97.25 P  309,081    UNCH

JUN19 EURODLR    97.37 C  369,174   -1,500    97.37 P  250,275    UNCH

JUN20 1Y-MIDC    97.50 C   75,173   -1,234    97.50 P  214,981    -216

JUN20 1Y-MIDC    97.62 C   97,477     UNCH    97.62 P  342,315  +2,800

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

JUN21 2Y-MIDC    97.75 C   90,049      +61    97.75 P   83,552    UNCH

JUN22 3Y-MIDC    97.62 C   19,449     UNCH    97.62 P   80,764    UNCH

JUN22 3Y-MIDC    97.75 C   91,080     UNCH    97.75 P   44,140    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.64 (68,883 PUTS VS. 106,000 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.09 (28,791 PUTS VS. 26,385 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.80 (17,915 PUTS VS. 9,965 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 4.91 (32,944 PUTS VS. 6,725 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 1.12 (3,631 PUTS VS. 3,283 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 0.04 (103 PUTS VS. 2,100 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 2,000 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 0.02 (700 PUTS VS. 27,678 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (17,991 PUTS VS. 52,293 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.02 (125 PUTS VS. 5,246 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 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

1:45        53.21    54.43    56.80    54.70    59.12     63.90

10:30       51.76    52.41    55.59    52.59    58.55     63.52

9:15        51.35    52.20    55.30    52.45    58.45     63.50

Tue Open    51.07    51.94    55.00    52.02    58.17     63.34

Mon 3:00    51.15    51.59    55.17    52.01    58.43     63.27

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

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

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