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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 9

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
             USM    USN     TYM    TYN     FVM    FVN     EDK     EDM
9:15        6.79%  6.47%   4.18%  3.95%   2.81%  2.57%    N/A    7.87%
THU OPEN    6.80%  6.50%   4.22%  3.97%   2.82%  2.58%    N/A    7.90%
WED 3:00    6.55%  6.17%   3.89%  3.77%   2.61%  2.44%    N/A    7.70%
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%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  125.00 C  115,017     -776   122.50 P  183,401    -318
JUL19 10Y NOTE  124.50 C   73,127      +82   123.00 P   57,787  +9,723
JUN19 5Y NOTE   116.50 C   51,578   -3,171   108.25 P  151,203    UNCH
JUL19 5Y NOTE   117.25 C   29,280     -246   114.75 P   39,672  +9,721
JUN19 2Y NOTE   106.75 C   18,636      +43   105.25 P   46,830    UNCH
JUL19 2Y NOTE   106.75 C    3,561     UNCH   106.25 P    7,467  -3,050
MAY19 EURODLR    97.37 C   45,211     UNCH    97.25 P   64,254    UNCH
JUN19 EURODLR    97.62 C  469,491     UNCH    96.75 P  728,209    UNCH
JUN19 1Y-MIDC    97.87 C  185,287  -10,057    97.62 P  349,115    -500
JUN20 2Y-MIDC    97.75 C   93,049   +3,000    97.50 P  109,959    +589
JUN21 3Y-MIDC    97.75 C   95,386   +3,069    97.62 P   80,764    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
JUN19 10Y NOTE  124.00 C   96,667   -2,601   124.00 P   22,251    +351
JUN19 10Y NOTE  124.50 C  109,323   +1,932   124.50 P   20,026      -8
JUL19 10Y NOTE  124.00 C   19,707   +1,163   124.00 P   14,728  +1,630
JUL19 10Y NOTE  124.50 C   73,127      +82   124.50 P    2,482  +1,035
JUN19 5Y NOTE   115.75 C   31,987   +1,092   115.75 P    6,635    -305
JUN19 5Y NOTE   116.00 C   50,942   +2,246   116.00 P   15,131     +10
JUL19 5Y NOTE   115.75 C   14,374   +1,680   115.75 P   15,457  +4,656
JUL19 5Y NOTE   116.00 C    4,524     +462   116.00 P    2,988    +472
JUN19 2Y NOTE   106.50 C   15,211       +3   106.50 P   15,395    +395
JUN19 2Y NOTE   106.62 C   12,901     +174   106.62 P    2,765    UNCH
JUL19 2Y NOTE   106.50 C    2,150     UNCH   106.50 P    5,506    UNCH
JUL19 2Y NOTE   106.62 C    2,771     +100   106.62 P    2,891     -36
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  257,214     -300    97.25 P  309,081    UNCH
JUN19 EURODLR    97.37 C  367,223   -1,951    97.37 P  250,275    UNCH
JUN20 1Y-MIDC    97.50 C   75,173     UNCH    97.50 P  214,906    -199
JUN20 1Y-MIDC    97.62 C   97,477     UNCH    97.62 P  349,115    -500
JUN21 2Y-MIDC    97.62 C   26,496     UNCH    97.62 P   47,892  +3,142
JUN21 2Y-MIDC    97.75 C   93,049   +3,000    97.75 P   84,412  +2,132
JUN22 3Y-MIDC    97.62 C   25,568   +6,119    97.62 P   80,764    UNCH
JUN22 3Y-MIDC    97.75 C   95,386   +3,069    97.75 P   49,809    +200
PUT/CALL RATIO FOR VOLUME CLEARED:
JUN19 10Y NOTE PUT/CALL RATIO   -- 0.83 (106,212 PUTS VS. 127,839 CALLS)
JUL19 10Y NOTE PUT/CALL RATIO   -- 0.73 (87,169 PUTS VS. 118,218 CALLS)
JUN19 5Y NOTE PUT/CALL RATIO    -- 0.84 (56,484 PUTS VS. 66,873 CALLS)
JUL19 5Y NOTE PUT/CALL RATIO    -- 3.41 (66,323 PUTS VS. 19,435 CALLS)
JUN19 2Y NOTE PUT/CALL RATIO    -- 6.33 (19,000 PUTS VS. 3,087 CALLS)
JUL19 2Y NOTE PUT/CALL RATIO    -- 9.86 (5,336 PUTS VS. 541 CALLS)
MAY19 EURODLRS PUT/CALL RATIO   -- 0.50 (1 PUTS VS. 2 CALLS)
JUN19 EURODLRS PUT/CALL RATIO   -- 0.13 (6,000 PUTS VS. 42,927 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.64 (16,411 PUTS VS. 25,581 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.57 (25,488 PUTS VS. 44,200 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.02 (700 PUTS VS. 36,700 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
9:15        53.17    54.31    57.43    55.26    59.32     64.11
Thu Open    53.25    54.29    57.39    54.24    59.39     64.20
Wed 3:00    52.29    53.39    57.04    54.19    59.43     64.30
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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