Quantitative Analysis

SOD Report
Tuesday, March 5, 2019
 FACT SHEET
HOT ASSETS FRONT CONTRACTS
52w Spot LAST %Change RSI_14D Z-scr 1M 30DChrt 5Day Ptrn ED LL ER ES BA
Commodity H9 H9 H9 H9 H9
GC1 50% 1287.5 (0.91) 36.37 (0.89)
CL1 41% 56.59 1.40 57.26 0.16
HG1 45% 290.9 (0.79) 63.73 0.21
Index
SPX 75% 2792.81 (0.39) 65.32 0.18
INDU 78% 25819.65 (0.80) 59.80 0.07
SHCOMP 66% 3027.575 1.11 82.09 0.85
UKX 44% 7134.39 0.39 54.29 (0.09)
MXEU 68% 126.64 0.24 71.31 0.48
CCMP 71% 7577.567 (0.23) 67.59 0.17
Volatility
VIX 17% 14.63 7.25 43.38 (0.09)
OVX 11% 30.2 (0.36) 48.68 (0.20)
TYVIX 19% 3.86 (0.52) 53.21 0.42
Currency
DXY 88% 96.682 0.16 55.82 0.04
GBP-USD 38% 1.318 (0.17) 57.69 0.35
JPY-USD 72% 111.75 (0.13) 67.02 0.52
EUR-USD 10% 1.134 (0.22) 44.39 0.01

FIXINGS
LIBOR Euribor CDOR
US BP SF EUR CAD
Rate 2.6076 0.8493 -0.7044 -0.3100 2.0850
100-Rate 97.39 99.15 100.70 100.31 97.92
Contract EDH9 L H9 ESH9 ERH9 BAH9
Price 97.40 99.15 100.72 100.31 97.93
Expected -0.05 0.05 -0.16 0.00 -0.15
5D Ptrn

CORRELATION MATRIX
ED LL ER ES BAX US10Y EUBund UKGilt S&PIndex GOLD Brent
ED 1.0 0.8 0.8 0.4 0.1 0.9 -0.1 0.9 -0.3 0.7 0.6
LL 0.8 1.0 0.6 0.6 -0.1 0.7 -0.3 1.0 -0.4 0.8 0.7
ER 0.8 0.6 1.0 0.1 0.2 0.8 0.2 0.6 -0.4 0.4 0.4
ES 0.4 0.6 0.1 1.0 -0.7 0.1 -0.9 0.7 -0.1 0.9 0.2
BAX 0.1 -0.1 0.2 -0.7 1.0 0.4 0.8 -0.1 -0.2 -0.4 0.0

CFTC SPOT
Asset NonCom % Spot
TY1 Comdty -215091 -28%
US1 Comdty 1368 1%
EC1 Curncy -74934 -33%
BP1 Curncy -47528 -44%
ES1 Index -130834 -47%
GC1 Comdty 145647 46%
DX1 Curncy 32839 40%
FV1 Comdty -178599 -21%
 Eurodollar
5-day OI Change ('000) Last Day OI Change ('000) OI Change Since 5th Day ('000)

50 4-Mar-19 1-Mar-19 28-Feb-19 27-Feb-19 26-Feb-19 110

23
40
13 76
30
61
5
20
38
32
10
0 -2 -3 -2 -3
-4 10 6 7
0
-10 -9
-10
-7
-20 -20 -13 -12
-19

EDH9

EDH0

EDH1
EDZ9

EDU0
EDZ0

EDU1
EDZ1
EDU9
EDM9

EDM0

EDM1
-30

EDZ9

EDZ0

EDZ1
EDH0

EDH1
EDH9

EDU9

EDU1
EDU0
EDM9

EDM0

EDM1
EDH9 EDM9 EDU9 EDZ9 EDH0 EDM0 EDU0 EDZ0 EDH1 EDM1 EDU1 EDZ1

Volume
H9 M9 U9 Z9 H0 M0 U0 Z0 H1 M1 U1 Z1 H2 M2 U2 Z2
12MS 4.5K 7.1K 18.5K 20.9K 4.5K 1.7K 2.6K 6.0K 1.8K 900.0 1.2K 624.0 252.0 144.0 940.0 296.0
9MS 2.9K 1.4K 2.6K 4.3K 2.0K 1.3K 796.0 460.0 1.7K 310.0 211.0 955.0 21.0 48.0 310.0 249.0
6MS 14.3K 17.8K 11.9K 6.6K 5.8K 1.1K 452.0 1.7K 7.2K 1.6K 670.0 423.0 118.0 179.0 258.0 50.0
3MS 7.6K 13.5K 14.0K 13.3K 7.7K 1.4K 6.0K 597.0 119.0 92.0 1.0K 33.0 2.0 102.0 29.0 43.0
OR 205.4K 161.4K 243.6K 291.8K 194.0K 132.7K 127.1K 137.1K 87.6K 54.0K 55.9K 58.5K 33.6K 19.9K 18.8K 14.0K
3MF 1.4K 651.0 449.0 890.0 37.0 896.0 125.0 1.5K 34.0 16.0 1.1K 1.7K 9.0 0.0 0.0 6.0
6MF 0.0 790.0 646.0 77.0 372.0 513.0 62.0 107.0 45.0 265.0 92.0 42.0 21.0 29.0 12.0 11.0
9MF 0.0 14.0 0.0 750.0 41.0 45.0 11.0 149.0 10.0 39.0 36.0 0.0 0.0
12MF 0.0 203.0 992.0 4.5K 175.0 1.1K 682.0 75.0 364.0 36.0 186.0 362.0
Buy-Sell
Pr Change -2.5 -1.2 2 2.4 4 4.4 5.6 7 7 8 8 8.6
Net
Direct Hit 134.2K 78.6K 121.2K 171.0K 122.2K 77.8K 58.8K 63.1K 46.3K 27.0K 24.4K 23.6K -12149 16758 -6421
Buy-Sell
Buy-Sell 5149 -11187 4940 -11051 2596 6332 -8398 16228 -5736 -1246 -804 1365
Z-Score 0.519181 -0.57114 0.520379 -0.532317 0.510624 0.540678 -0.571438 0.628561 -0.561944 -0.523057 -0.516454 0.528886 Volume Index
12MS -0.5 -0.4 -0.4 -0.8 -0.9 -1.2 -0.9 -0.1 0.1 0.1 0.4 0.6 Ttl Vol Index
9MS -0.5 -0.4 -0.3 -0.5 -1.1 -1.4 -0.9 0.3 -0.1 -0.1 0.2 0.8
1.91M 0.84
6MS -0.6 -0.3 -0.2 -0.5 -0.6 -1.9 L -1.8 L 0.7 0.2 -0.4 0.1 0.7
3MS -0.6 -0.6 0.2 -0.5 -0.4 -0.8 -3.3 L 0.1 0.9 -0.5 -0.4 0.7
3MF -0.5 -1.7 L 1.4 -0.6 0.3 0.4 -2.1 L -0.5 1.8 H 0.2 -1.7 0.3 Volatility Index
6MF -1.3 0.5 0.1 0 -0.1 -2.1 L -1.4 0.8 0.1 -2.2 L -0.9 0.2 Last Change
3MDF 1.1 -1.6 L 1 -0.9 -0.3 1.1 -0.8 -1.1 0.8 1 -1.5 0.4
0.79 -0.10
6MDF -1.8 L 0.2 0.4 0.9 0.6 -2.5 L -1.8 1.5 H 0.6 -2 -0.9 0.3

3 Month Spreads 3 Month Flies

5 4

4
3.8 3

3 10.3
2
1.4 1.5 1.3
2
0.4
0.0 1
(0.7) (0.5)
1
0
0 (2.8) 2.1
-1 1.0
-1 (4.2) 0.4 0.2
(4.6) (0.2)
(0.5)
(1.5)
-2 -2 (2.3) (2.3)
(6.5)
(3.4)
(3.9)
-3 -3
Daily 1/31/2019 Curve Daily 1/31/2019 Curve

6 Month Flies 12 Month Flies

8 16
14 11.4
6 14.9 12
10
4
8 2.1
0.8
6.1 6
2 4.5
4
2 (7.5) (6.7)
0 (7.9) (8.2)
(1.3) (1.2) 0
(2.0) (10.8)
(3.0) (3.3)
-2 (12.9) (13.1)
-2 (5.4) (5.3) (4.8) (14.2) (14.6)
(5.7)
-4
-4 -6
Daily 1/31/2019 Curve Daily 1/31/2019 Curve
 Sterling
5-day OI Change ('000) Last Day OI Change ('000) OI Change Since 5th Day ('000)

25 1-Mar-19 28-Feb-19 27-Feb-19 26-Feb-19 25-Feb-19 35

6
20
15 3 12 14
10 2 2
1 1
5
0 -1 -3
-5 -8 -9
-1 -1
-10 -2 -2 -21 -23
-15 -3
-20 -5 -39
-43
-25 -6

L M1
L M9

L Z9

L M0

L Z0
L H9

L H0

L Z1
L H1
L U0

L U1
L U9
-30

L H0

L H1
L H9

L M1
L M9

L M0
L U9
L Z9

L U1
L Z1
L U0
L Z0
L H9 L M9 L U9 L Z9 L H0 L M0 L U0 L Z0 L H1 L M1 L U1 L Z1

Volume & Price

H9 M9 U9 Z9 H0 M0 U0 Z0 H1 M1 U1 Z1 H2 M2 U2 Z2
12MS 1.2K 3.2K 2.1K 9.0K 2.1K 6.2K 9.2K 3.3K 666.0 1.8K 634.0 1.6K 247.0 115.0 197.0 159.0
9MS 830.0 5.9K 850.0 851.0 326.0 770.0 4.4K 1.4K 639.0 3.8K 1.1K 1.9K 870.0 456.0 0.0 0.0
6MS 1.8K 3.4K 5.8K 4.7K 4.2K 3.7K 5.6K 5.8K 3.1K 1.7K 1.5K 198.0 1.2K 1.2K 198.0 292.0
3MS 5.3K 4.2K 528.0 2.7K 162.0 9.0 3.2K 509.0 2.5K 4.1K 3.3K 2.4K 5.5K 723.0 775.0 1.1K
OR 69.7K 39.6K 40.7K 35.8K 40.3K 27.5K 41.0K 36.5K 24.5K 32.1K 33.6K 29.9K 32.5K 26.6K 19.1K 24.2K
3MF 200.0 26.0 293.0 319.0 95.0 69.0 7.0 15.0 133.0 101.0 254.0 1.0K 32.0 146.0 0.0 0.0
6MF 5.0 0.0 111.0 162.0 1.0 94.0 39.0 3.0 573.0 0.0 132.0 0.0 507.0 1.8K 0.0 263.0
9MF 0.0 0.0 0.0 0.0 8.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
12MF 22.0 0.0 0.0 2.0 50.0 0.0 0.0 1.5K 0.0 34.0 0.0 0.0
Buy-Sell
Pr Change 1 1.6 2 1 1 1.6 1.4 1.4 1.6 1.6 2 2.4
Net
Direct Hit 60.9K 24.5K 18.6K 19.6K 25.2K 13.0K 14.1K 13.4K 9.8K 9.5K 12.3K 11.5K 10333 -9439 164
Buy-Sell
Buy-Sell -7760 7974 7053 3066 -6430 -2374 913 -1548 1201 -334 159 -862
Z-Score -0.563738 0.663054 0.68977 0.57839 -0.627519 -0.591477 0.532305 -0.557581 0.561294 -0.517612 0.506485 -0.537537 Volume Index
12MS 0 0.6 0.5 0.4 0.5 0.6 0.4 0.2 0.1 0 -0.1 -0.1 Ttl Vol Index
9MS -0.1 0.6 0.5 0.4 0.6 0.6 0.5 0.4 0.2 0 0 0
0.56M 0.82
6MS -0.4 0.9 0.5 0.2 0.6 0.6 0.5 0.5 0.3 0 -0.1 0.2
3MS -1 0.7 0.9 0.1 0.4 0.7 0.5 0.3 0.6 0 -0.1 -0.1
3MF -1.7 L -0.1 0.9 -0.5 -0.2 0.2 0.4 -0.3 0.8 0.3 -0.1 -0.5 Volatility Index
6MF -1.4 1.3 0.2 -0.4 0.4 0.6 0.5 1.1 0.8 -0.3 -0.1 1 Last Change
3MDF -1.3 -0.5 0.8 -0.2 -0.3 -0.1 0.4 -0.6 0.3 0.2 0.2 -0.8
0.47 0.00
6MDF -1.3 1 -0.1 -0.8 0 -0.1 -0.2 0.9 0.6 -0.9 -0.2 0.8

3 Month Spreads 3 Month Flies

2 1

7.0 3.0
0.5
1.5
6.0
0
1 4.8 L H9 L M9 L U9 L Z9 L H0 L M00.8 L U0 L Z0 L H1 L M1 L U1 L Z1
4.5 0.5
0.3 0.2 0.3
4.0 4.0 -0.5 0.0
3.7 (0.3) (0.3)
3.5 3.5 (0.5)
0.5 3.3
3.0 3.0 (1.0)
-1

0 (2.5)
L H9 L M9 L U9 L Z9 L H0 L M0 L U0 L Z0 L H1 L M1 L U1 L Z1 -1.5

-0.5 -2
Daily 1/31/2019 Curve Daily 1/31/2019 Curve

6 Month Flies 12 Month Flies

2 6

1.5 4
4.5
1 6.1
2
5.5
0.5
0
0 L H9 L M9 L U9 L Z9 L H04.2 L M0 L U0 L Z0 L H1 L M1 L U1 L Z1
3.8
L H9 L M9 L U91.7 L Z9 L H01.6 L M01.6 L U0 L Z0 L H1 L M1 L U1 L Z1 -2 3.5
3.7
-0.5 1.2
0.9
0.6 0.5
0.2 0.3 -4 2.2
-1 2.0
(0.3) 1.8 1.7 1.8
1.6
-1.5 -6
(1.5)
-2 -8
Daily 1/31/2019 Curve Daily 1/31/2019 Curve
 Euribor
5-day OI Change ('000) Last Day OI Change ('000) OI Change Since 5th Day ('000)

30 1-Mar-19 28-Feb-19 27-Feb-19 26-Feb-19 25-Feb-19 13 34

20 9
8
6
10 5 14
4 13
3 10 11 10
1 2 9
0 5 6 6
0

-10

-20 -5 -7
-9
-6

ERH9

ERH0

ERH1
ERZ9

ERZ0

ERZ1
ERU0

ERU1
ERU9
ERM9

ERM0

ERM1
-30

ERU9
ERZ9

ERU0
ERZ0

ERU1
ERZ1
ERH0

ERH1
ERH9
ERM9

ERM0

ERM1
ERH9 ERM9 ERU9 ERZ9 ERH0 ERM0 ERU0 ERZ0 ERH1 ERM1 ERU1 ERZ1

Volume & Price

H9 M9 U9 Z9 H0 M0 U0 Z0 H1 M1 U1 Z1 H2 M2 U2 Z2
12MS 2.5K 2.1K 6.2K 3.7K 1.4K 2.5K 1.2K 2.6K 1.7K 2.9K 617.0 3.5K 22.0 175.0 30.0 0.0
9MS 4.0K 2.6K 1.1K 1.0K 3.0K 2.1K 410.0 809.0 1.5K 2.2K 2.5K 1.0K 69.0 144.0 50.0 0.0
6MS 488.0 8.8K 3.3K 3.2K 6.8K 3.8K 5.6K 19.2K 52.0 1.0K 1.3K 2.3K 2.0K 1.8K 116.0 175.0
3MS 463.0 2.6K 4.0K 2.1K 564.0 1.5K 2.2K 6.9K 58.0 143.0 3.1K 1.6K 512.0 83.0 422.0 567.0
OR 12.1K 25.9K 35.2K 56.9K 47.2K 39.1K 39.3K 56.1K 27.8K 37.5K 22.5K 30.4K 19.5K 23.5K 16.0K 20.5K
3MF 5.0 20.0 1.5K 2.0K 97.0 0.0 1.0 0.0 1.0 0.0 646.0 0.0 0.0 0.0 552.0 0.0
6MF 1.0 230.0 0.0 152.0 58.0 114.0 0.0 8.0 5.0 0.0 402.0 278.0 58.0 2.5K 46.0 651.0
9MF 14.0 0.0 0.0 134.0 0.0 0.0 0.0 0.0 0.0 5.0 0.0 1.0 0.0 0.0
12MF 0.0 50.0 662.0 1.6K 735.0 176.0 482.0 62.0 0.0 42.0 0.0 0.0
Buy-Sell
Pr Change 0 0 0 1 2 2.6 3.6 3.4 4 4.4 4.6 5.4
Net
Direct Hit 5.8K 12.8K 20.0K 31.3K 26.0K 23.0K 18.6K 24.2K 12.4K 13.0K 9.8K 12.7K -2014 18642 9528
Buy-Sell
Buy-Sell 3570 -10106 -2302 6824 831 11806 4319 1686 3900 1867 2744 1017
Z-Score 0.809788 -0.895631 -0.557464 0.608877 0.515995 0.756518 0.615946 0.534777 0.657283 0.572035 0.640344 0.539973 Volume Index
12MS -0.8 -0.8 -0.8 -0.9 -1 -1.1 -1.2 -1.4 -1.5 -1.6 -1.8 L -1.8 Ttl Vol Index
9MS -0.8 -0.8 -0.8 -0.8 -1 -1 -1.2 -1.2 -1.4 -1.5 -1.7 L -1.8
0.52M 0.69
6MS -0.9 -0.8 -0.7 -0.8 -0.9 -1 -1.2 -1.3 -1.3 -1.5 -1.7 L -1.7
3MS -0.5 -0.9 -0.8 -0.7 -0.9 -0.9 -1.1 -1.2 -1.4 -1.2 -1.7 L -1.6
3MF 0.8 0.1 -0.3 0.4 -0.5 0.6 -0.2 0.6 -1.1 2 -1.3 0.3 Volatility Index
6MF 0.5 0.1 0.1 0.2 0.3 0.4 -0.1 0.1 0.3 -0.6 -0.4 -0.1 Last Change
3MDF 0.8 0.2 -0.4 0.5 -0.7 0.5 -0.4 1.1 -2 2.1 H -1.1 -0.1
0.85 -0.05
6MDF 0.3 -0.1 0 -0.2 0.5 0.3 -0.5 0.8 1.1 -0.6 0.4 0.8

3 Month Spreads 3 Month Flies

1.4 0.8 0.0 0.0 0.0
(0.1)
1.2 0.6 (0.2) (0.2) (0.2)
6.0
5.7 5.8
1 5.5 5.5 0.4
5.3 (0.5) (0.5)
0.8 0.2
4.5 4.5
0.6 0 (0.8)
ERH9 ERM9 ERU9 ERZ9 ERH0 ERM0 ERU0 ERZ0 ERH1 ERM1 ERU1 ERZ1
0.4 3.5 -0.2 (1.0)
3.0
0.2 -0.4

0 -0.6
ERH9 ERM9 ERU9 ERZ9 ERH0 ERM0 ERU0 ERZ0 ERH1 ERM1 ERU1 ERZ1 (1.5)
-0.2 1.5 -0.8
1.0
-0.4 -1

-0.6 -1.2
Daily 1/31/2019 Curve Daily 1/31/2019 Curve

6 Month Flies 12 Month Flies

2 4
(0.4) (0.5) (0.5) (0.4) 2 (1.1)
1.5 (0.6) (1.5) (1.5)
(0.7)
(2.0) (2.2) (2.0)
1 0
(1.2) (2.7)
ERH9 ERM9 ERU9 ERZ9 ERH0(3.2) ERM0 ERU0 ERZ0 ERH1 ERM1 ERU1 ERZ1
-2
0.5
(1.8) (1.8)
-4 (4.7)
0
ERH9 ERM9 ERU9(2.5) ERZ9 ERH0 ERM0 ERU0 ERZ0 ERH1 ERM1 ERU1 ERZ1 -6
-0.5 (6.5)
-8
-1
(3.5) -10 (8.3)
-1.5
(4.0) -12
-2 -14 (10.8)

-2.5 -16
Daily 1/31/2019 Curve Daily 1/31/2019 Curve
 Euroswiss
5-day OI Change ('000) Last Day OI Change ('000) OI Change Since 5th Day ('000)

3 1-Mar-19 28-Feb-19 27-Feb-19 26-Feb-19 25-Feb-19 22-Feb-19 1.5 1

3
2 1 2
1
0.5 0 1
0 0
0 0 0
0
-1 0 0 0
0 0 0 0 0
-2 -0.5 0 -1
-2
-3 -1
-4 -1.5
-5 -1 -2 -4
-2 -5

ESU9
ESZ9

ESU0

ESU1
ESH0

ESZ0
ESH1

ESZ1
ESH9
ESM9

ESM0

ESM1
-6

ESU9
ESZ9

ESU0

ESU1
ESZ1
ESH0

ESZ0
ESH1
ESH9
ESM9

ESM0

ESM1
ESH9 ESM9 ESU9 ESZ9 ESH0 ESM0 ESU0 ESZ0 ESH1 ESM1 ESU1 ESZ1

Volume & Price

H9 M9 U9 Z9 H0 M0 U0 Z0 H1 M1 U1 Z1 H2 M2 U2 Z2
12MS 195.0 445.0 77.0 1.0 5.0
9MS 104.0 288.0 167.0 62.0 53.0 6.0
6MS 614.0 353.0 56.0 319.0 52.0 85.0 0.0 1.0 0.0
3MS 473.0 622.0 1.0K 66.0 42.0 1.0K 15.0 50.0 19.0 26.0 3.0
OR 1.2K 6.9K 3.9K 2.1K 999.0 1.6K 1.4K 845.0 93.0 58.0 26.0 3.0
3MF 54.0 0.0 0.0 1.0 0.0 11.0 0.0 0.0
6MF 0.0 0.0 18.0 0.0
Buy-Sell
Pr Change 0 -1 0 0 1 0 0 0 1 2 3 3
Net
Direct Hit 734.0 6.2K 2.8K 1.2K 760.0 790.0 945.0 833.0 73.0 27.0 26.0 3.0 -5292 -568 -15
Buy-Sell
Buy-Sell 306 -4087 -508 -1003 -174 -496 -563 665 -65 23 24 3
Z-Score 0.708447 -0.831146 -0.58988 -0.918265 -0.614474 -0.813924 -0.797884 0.89916 0 0 0 0 Volume Index
12MS -1 -1.1 -1 -0.9 -0.9 -0.8 -1.1 -1.4 0 -1.5 1 0 Ttl Vol Index
9MS -1 -1 -1.1 -0.9 -0.8 -0.7 -1 -1.2 -1.6 0.2 -0.8 1
0.02M 1.08
6MS -0.9 -1 -1.1 -1.1 -0.8 -0.6 -0.9 -1.1 -1.4 -1.3 0.5 -0.8
3MS -0.9 -0.8 -1.1 -1 -1.1 -0.5 -0.8 -0.9 -1.2 -1.4 0.1 0.5
3MF 0.2 1.1 -0.4 -0.4 -1.4 0.3 -0.1 0.2 0 -0.8 -0.6 0.7 Volatility Index
6MF 1.2 0.2 -1.1 -1.4 -0.6 0.1 0.1 -0.6 -0.8 0.2 -1 0 Last Change
3MDF -0.9 1 -0.1 0.8 -1.2 0.3 -0.2 0.1 0.8 0.2 -0.6 1
0.76 0.00
6MDF 1.2 1.1 -0.6 -1.5 -0.7 0.7 0.9 -0.5 0.6 0 0 0

3 Month Spreads 3 Month Flies

2.5 2

2 1.5
0.5
6.0 1
1.5
5.5 5.5 0.0 0.0
0.5
1 4.5 0 (0.5)
0.5 3.5 ESH9 ESM9 ESU9 ESZ9 ESH0 ESM0 ESU0 ESZ0
-0.5
3.0 (1.0) (1.0)
0 -1
ESH9 ESM9 ESU9 ESZ9 ESH0 ESM0 ESU0 ESZ0 (1.5)
-1.5
-0.5
0.5 -2
-1
-2.5
(0.5)
-1.5 (2.5)
-3
-2 -3.5
Daily 1/31/2019 Curve Daily 1/31/2019 Curve

6 Month Flies 12 Month Flies

4 3

3
0.5 0.5 2
7.0
2
(0.5)
1 0.5
1 (1.5)
(4.5)
0 0 (11.0)
ESH9 ESM9 ESU9 ESZ9 ESH0 ESM0 ESU0 ESH9(15.0) ESM9 ESU9 ESZ9 ESH0 ESM0 ESU0
-1 (3.5) -1
(4.0)
-2 (4.5)
-2
-3
(6.5) -3
-4 (43.0)

-5 -4
Daily 1/31/2019 Curve Daily Curve 1/31/2019
 Bax
5-day OI Change ('000) Last Day OI Change ('000) OI Change Since 5th Day ('000)

15 4-Mar-19 1-Mar-19 28-Feb-19 27-Feb-19 26-Feb-19

7 17

10 15
13

5 3
2
0 9
0
0
0 0
-1 0 4 4
-2 -2 2
-5 1
1 1 1 0
-5

BAZ9

BAZ0
BAH9

BAH0

BAU0

BAU1
BAU9

BAH1

BAZ1
BAM1
BAM9

BAM0
-10

BAH9

BAH0

BAH1
BAU9
BAZ9

BAU1
BAZ1
BAU0
BAZ0

BAM1
BAM9

BAM0
BAH9 BAM9 BAU9 BAZ9 BAH0 BAM0 BAU0 BAZ0 BAH1 BAM1 BAU1 BAZ1

Volume & Price

H9 M9 U9 Z9 H0 M0 U0 Z0 H1 M1 U1 Z1 H2 M2 U2 Z2
12MS 0.0 32.0 12.0 970.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
9MS 0.0 20.0 0.0 5.0 100.0 0.0 30.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
6MS 21.0 399.0 378.0 83.0 20.0 27.0 141.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3MS 1.0K 449.0 209.0 2.5K 1.0 0.0 30.0 70.0 0.0 0.0 75.0 0.0 0.0 0.0 0.0 0.0
OR 27.2K 20.4K 13.2K 16.8K 15.9K 6.0K 3.5K 7.6K 837.0 274.0 420.0 464.0 0.0 0.0 0.0 0.0
3MF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
6MF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
9MF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
12MF 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Buy-Sell
Pr Change 1 1.6 4.2 5 7.6 7 7 7.6 6 6 8 8
Net
Direct Hit 27.2K 20.3K 13.2K 16.7K 15.9K 6.0K 3.5K 7.4K 787.0 274.0 420.0 369.0 17078 4629 40
Buy-Sell
Buy-Sell 10905 5658 2194 -1679 2604 382 669 974 201 158 -30 -289
Z-Score 0.700246 0.639607 0.583018 -0.550315 0.582031 0.532069 0.596204 0.565457 0.6277 0.788321 -0.535714 -0.891599 Volume Index
12MS -0.8 -0.8 -0.7 -0.7 0 0.6 0.6 0 0 0 0 0 Ttl Vol Index
9MS -0.8 -0.7 -0.7 -0.9 -0.1 0.4 0.6 0.4 0 0 0 0
0.11M 1.17
6MS -0.9 -0.6 -0.7 -1.1 -0.6 0.4 0.4 0.3 0.5 0 0 0
3MS -0.9 -0.8 -0.2 -1.1 -0.7 0 0.7 0.1 0.4 0.4 0 0
3MF -1 -1.5 1.8 H -0.8 -0.5 -0.5 0.2 -0.2 0.1 0 0 0 Volatility Index
6MF -1 0 -0.6 -1.3 -0.6 -0.1 -0.1 0 0 0 0 0 Last Change
3MDF 0.3 -2.3 L 1.6 -0.1 0 -0.4 0.2 -0.2 0 0 0 0
0.40 -0.13
6MDF -1.1 0.9 0.1 -0.7 -0.2 0 0 0 0 0 0 0

3 Month Spreads 3 Month Flies

2 2
3.5
1.5 1.5
3.0
4.5
1
1
2.0 2.0 2.0
1.8 0.5
0.5
1.2
1.0 0
0 BAH9 BAM9 BAU9 BAZ9 BAH0 BAM0 BAU0 BAZ0 BAH1 BAM1
BAH9 BAM9 BAU9 BAZ9 BAH0 BAM0 BAU0 BAZ0 BAH1 BAM1 BAU1 -0.5
0.0
-0.5 (0.2)
-1 0.0
(0.2) (0.2)
-1 (1.0) (0.6)
-1.5 (0.8)
(1.0) (1.0)
(1.2)
(1.5)
-1.5 -2
Daily 1/31/2019 Curve Daily 1/31/2019 Curve

6 Month Flies 12 Month Flies

3 4
2.5 6.7 3
2 2.7
2
1.5
1
1 (0.7)
0.5 2.7 0
BAH9 BAM9 BAU9 BAZ9
0 -1
BAH90.5 BAM9 BAU9 BAZ9 BAH0 BAM0 BAU0 BAZ0
-0.5 (4.7)
-2
-1
(1.0) (1.2) -3
-1.5
(2.4) (2.6) -4
-2 (8.8)
(3.2)
-2.5 -5
Daily 1/31/2019 Curve Daily 1/31/2019 Curve
 x 100000 x 100000
x 100000 x 100000

-10
0
2
4
6

-8
-6
-4
-2

3
4

-1
0
1
2
0
1
2

-1

-3
-2
Dec13

0.8

-0.2
0.2
0.4
0.6

0
1
Dec13
Dec13 Dec13 Mar14
Mar14
Mar14 Mar14 Jun14
Jun14
Jun14 Jun14
Sep14
Sep14
Sep14 Sep14
Dec14
Dec14
Dec14 Dec14
Mar15
Mar15
Mar15 Mar15
Jun15
Jun15
Jun15 Jun15
Sep15 Sep15
Sep15 Sep15
Dec15 Dec15
Dec15 Dec15
Mar16 Mar16
Mar16 Mar16
Jun16 Jun16
Jun16 Jun16
Sep16 Sep16
Sep16 Sep16
Dec16 Dec16
Dec16 Dec16
Mar17 Mar17
Mar17 Mar17
Jun17 Jun17
Jun17 Jun17
Sep17 Sep17
Sep17 Sep17
Dec17 Dec17
Dec17 Dec17
Mar18 Mar18
Mar18 Mar18
Jun18 Jun18
Jun18 Jun18

GC1 Comdty 46.1% of 5 Yr H-L Scale

Sep18 Sep18
TY1 Comdty -28% of 5 Yr H-L Scale

Sep18 Sep18
EC1 Curncy -33% of 5 Yr H-L Scale

DX1 Curncy 40% of 5 Yr H-L Scale

Dec18 Dec18 Dec18 Dec18
115
117
119
121
123
125

1.1
1.2
1.3

95

85
90
1.15
1.25

1400
1500

1000
1100
1200
1300
100

x 100000 x 100000
x 100000
0.5

-1.5
-0.5
0
1
1.5

-2
-1
CFTC REPORTS

-2

-4
0
2
4
0.5

-1.5
-0.5
0
1

-1

Dec13 Dec13
Dec13
Mar14 Mar14
Mar14
Jun14 Jun14
Jun14
Sep14 Sep14 Sep14
Dec14 Dec14 Dec14
Mar15 Mar15 Mar15
Jun15 Jun15 Jun15
Sep15 Sep15 Sep15
Dec15 Dec15 Dec15
Mar16 Mar16 Mar16
Jun16 Jun16 Jun16
Sep16 Sep16 Sep16
Dec16 Dec16 Dec16
Mar17 Mar17 Mar17
Jun17 Jun17 Jun17
Sep17 Sep17 Sep17
Dec17 Dec17 Dec17
Mar18 Mar18 Mar18
Jun18 Jun18
ES1 Index -47% of 5 Yr H-L Scale

Jun18
Sep18 Sep18
US1 Comdty 1% of 5 Yr H-L Scale

Sep18
BP1 Curncy -44% of 5 Yr H-L Scale

Dec18 Dec18
Dec18
120
125
130
135
140
145
150

2200
2800
3000

2400
2600
135
140
145
150