US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 1

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

TUE OPEN   7.94%  7.76%   3.75%  3.92%   2.14%  2.11%   16.05%  15.82%

MON 3:00   7.83%  7.78%   3.73%  3.81%   2.02%  2.34%   18.50%  15.35%

MON OPEN   7.89%  7.50%   3.79%  3.80%   2.07%  2.32%   15.32%  15.66%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  170,611   +1,491   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   26,795   +3,533   123.50 P   22,100  +2,615

SEP17 5Y NOTE   118.50 C   38,724   +3,535   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,127      +53   117.00 P   18,449     -10

AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH

SEP17 EURODLR    98.75 C  318,224     +500    98.37 P  750,865    UNCH

SEP18 1Y-MIDC    98.50 C  138,602     +360    98.12 P  283,638 -34,700

SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    97.62 C   35,946     UNCH    97.50 P   48,787    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   58,332     +763   125.50 P   56,397  +2,188

SEP17 10Y NOTE  126.00 C   65,581     +581   126.00 P   49,822    -612

OCT17 10Y NOTE  125.50 C   13,148       +6   125.50 P   10,269    +402

OCT17 10Y NOTE  126.00 C    8,365       -6   126.00 P    4,864     -79

SEP17 5Y NOTE   117.75 C    5,820      -58   117.75 P   12,913    -144

SEP17 5Y NOTE   118.00 C   20,690     +367   118.00 P   16,618    +564

OCT17 5Y NOTE   117.75 C    2,889     +453   117.75 P    6,446    +656

OCT17 5Y NOTE   118.00 C    1,265     +213   118.00 P      572     +24

AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    -485

AUG17 EURODLR    98.75 C   69,656     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  242,993   -3,000    98.62 P  240,874  +1,950

SEP17 EURODLR    98.75 C  318,224     +500    98.75 P  109,454    UNCH

SEP18 1Y-MIDC    98.37 C  116,334   +1,500    98.37 P   67,037    +613

SEP18 1Y-MIDC    98.50 C  138,602     +360    98.50 P   14,612    UNCH

SEP19 2Y-MIDC    98.00 C   63,921     UNCH    98.00 P   96,953    -350

SEP19 2Y-MIDC    98.12 C  109,290   +3,550    98.12 P   62,255  -3,550

SEP20 3Y-MIDC    97.75 C   26,615     UNCH    97.75 P   27,148    UNCH

SEP20 3Y-MIDC    97.87 C   27,744   -2,034    97.87 P   24,443    -478

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.30 (36,186 PUTS VS. 120,121 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.63 (13,893 PUTS VS. 21,921 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.53 (9,118 PUTS VS. 16,925 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.81 (1,719 PUTS VS. 2,160 CALLS)

AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (1,010 PUTS VS. 0 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 3.17 (14,875 PUTS VS. 4,750 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 20.5 (53,400 PUTS VS. 2,676 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.62 (10,500 PUTS VS. 4,050 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,450 PUTS VS. 1,450 CALLS)

(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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

Tue Open     38.93    58.99    55.59    60.67    74.17    79.42

Mon 3:00     39.01    57.93    55.56    60.60    73.93    78.94

Mon Open     39.01    57.85    55.63    60.67    74.30    79.56

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

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