US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 8

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

             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM

1:45        6.50%  6.17%   3.88%  3.77%   2.57%  2.42%    N/A    7.22%

12:30       6.61%  6.25%   3.85%  3.80%   2.55%  2.44%    N/A    7.62%

11:15       6.55%  6.28%   3.87%  3.80%   2.58%  2.46%    N/A    7.79%

9:30        6.61%  6.42%   3.94%  3.92%   2.63%  2.53%    N/A    8.50%

WED OPEN    6.67%  6.43%   3.98%  3.95%   2.69%  2.54%    N/A    8.25%

TUE 3:00    6.41%  6.40%   3.85%  3.80%   2.54%  2.52%    N/A    8.40%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  125.00 C  115,793  +10,163   122.50 P  183,719  -1,100

JUL19 10Y NOTE  124.50 C   73,045  +21,493   123.00 P   48,064 +32,039

JUN19 5Y NOTE   116.50 C   54,749   +1,173   108.25 P  151,203    UNCH

JUL19 5Y NOTE   117.25 C   29,526     -200   114.75 P   29,951  +2,623

JUN19 2Y NOTE   106.75 C   18,593     +360   106.25 P   51,996     +29

JUL19 2Y NOTE   106.75 C    3,561     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  469,491     +500    96.75 P  728,209    UNCH

JUN19 1Y-MIDC    97.87 C  195,344   -8,937    97.62 P  349,615  +7,300

JUN20 2Y-MIDC    97.75 C   90,049     UNCH    97.50 P  109,370    +239

JUN21 3Y-MIDC    97.75 C   92,317   +1,237    97.62 P   80,764    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN19 10Y NOTE  124.00 C   99,268   -4,594   124.00 P   21,900    -198

JUN19 10Y NOTE  124.50 C  107,391   +7,736   124.50 P   20,034  -2,451

JUL19 10Y NOTE  124.00 C   18,544   +1,768   124.00 P   13,098  +1,162

JUL19 10Y NOTE  124.50 C   73,045  +21,493   124.50 P    1,447    +844

JUN19 5Y NOTE   115.75 C   30,895     +378   115.75 P    7,240    +147

JUN19 5Y NOTE   116.00 C   48,696   +1,904   116.00 P   15,121    UNCH

JUL19 5Y NOTE   115.75 C   12,694     +100   115.75 P   10,801    +129

JUL19 5Y NOTE   116.00 C    4,062      -72   116.00 P    2,516    UNCH

JUN19 2Y NOTE   106.50 C   15,208     +603   106.50 P   15,000      +1

JUN19 2Y NOTE   106.62 C   12,727   +1,309   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     UNCH   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   47,133    UNCH

JUN19 EURODLR    97.25 C  257,514   -1,611    97.25 P  309,081    UNCH

JUN19 EURODLR    97.37 C  369,174     UNCH    97.37 P  250,275    UNCH

JUN20 1Y-MIDC    97.50 C   75,173     UNCH    97.50 P  215,105    +124

JUN20 1Y-MIDC    97.62 C   97,477     UNCH    97.62 P  349,615  +7,300

JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   44,750    +826

JUN21 2Y-MIDC    97.75 C   90,049     UNCH    97.75 P   82,280  -1,272

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

JUN22 3Y-MIDC    97.75 C   92,317   +1,237    97.75 P   49,609  +5,469

PUT/CALL RATIO FOR VOLUME CLEARED:

JUN19 10Y NOTE PUT/CALL RATIO   -- 0.54 (111,411 PUTS VS. 204,744 CALLS)

JUL19 10Y NOTE PUT/CALL RATIO   -- 1.50 (95,257 PUTS VS. 63,403 CALLS)

JUN19 5Y NOTE PUT/CALL RATIO    -- 1.33 (41,943 PUTS VS. 31,306 CALLS)

JUL19 5Y NOTE PUT/CALL RATIO    -- 1.97 (29,099 PUTS VS. 14,743 CALLS)

JUN19 2Y NOTE PUT/CALL RATIO    -- 0.36 (3,631 PUTS VS. 9,125 CALLS)

JUL19 2Y NOTE PUT/CALL RATIO    -- 7.52 (1,504 PUTS VS. 200 CALLS)

MAY19 EURODLRS PUT/CALL RATIO   -- 0.00 (1 PUTS VS. 2,011 CALLS)

JUN19 EURODLRS PUT/CALL RATIO   -- 39.5 (1,000 PUTS VS. 39,545 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.65 (29,262 PUTS VS. 44,409 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.19 (9,691 PUTS VS. 48,631 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.31 (14,902 PUTS VS. 11,317 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        52.80    53.65    57.03    54.37    59.49     64.35

12:30       53.21    53.99    57.21    54.49    59.49     64.27

11:15       53.20    54.04    57.19    54.48    59.48     64.25

9:30        54.58    54.21    58.00    54.91    59.62     64.37

Wed Open    54.59    54.51    58.57    55.41    59.78     64.41

Tue 3:00    55.22    53.73    56.73    54.64    59.07     64.18

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

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

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