US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 11

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

11:30      7.73%  7.86%   3.92%  4.04%   2.29%  2.47%    N/A    14.20%

9:45       7.96%  7.91%   4.04%  4.14%   2.28%  2.46%    N/A    13.40%

FRI OPEN   8.16%  8.08%   4.22%  4.14%   2.37%  2.44%    N/A    14.75%

THU 3:00   7.79%  7.85%   3.97%  4.24%   2.22%  2.51%    N/A    13.80%

THU OPEN   7.91%  8.19%   3.91%  4.16%   2.29%  2.49%    N/A    14.15%

WED 3:00   7.60%  7.85%   3.80%  4.20%   2.22%  2.37%    N/A    13.00%

WED OPEN   7.75%  7.92%   3.89%  4.00%   2.25%  2.79%    N/A    13.95%

TUE 3:00   7.41%  7.59%   3.57%  3.83%   1.95%  2.24%    N/A    14.02%

TUE OPEN   7.34%  7.46%   3.48%  3.73%   1.97%  2.28%    N/A    14.27%

MON 3:00   7.39%  7.44%   3.51%  3.70%   1.89%  2.18%    N/A    13.90%

MON OPEN   7.51%  7.41%   3.68%  3.71%   1.99%  2.22%    N/A    12.28%

FRI 3:00   7.15%  7.30%   3.32%  3.66%   1.93%  2.08%    N/A    14.25%

FRI OPEN   7.18%  7.74%   3.46%  3.69%   2.01%  2.24%    N/A    15.72%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  167,085   -5,408   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   37,950  +11,978   124.00 P   38,068    +608

SEP17 5Y NOTE   118.25 C   38,430     +489   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   10,878      -52   117.00 P   16,678     +18

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

SEP17 EURODLR    98.75 C  336,544   -1,575    98.37 P  750,745    UNCH

SEP18 1Y-MIDC    98.37 C  139,773   +1,757    98.12 P  288,831 +12,000

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

SEP20 3Y-MIDC    97.62 C   45,298   +1,567    97.50 P   48,307    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   67,964     -216   126.00 P   53,121  +2,681

SEP17 10Y NOTE  126.50 C   83,565   -7,463   126.50 P   28,479  +1,263

OCT17 10Y NOTE  126.00 C   14,337       -8   126.00 P   10,189  +1,002

OCT17 10Y NOTE  126.50 C   26,152   +5,552   126.50 P    6,200    +477

SEP17 5Y NOTE   118.25 C   38,430     +489   118.25 P   21,104     +51

SEP17 5Y NOTE   118.50 C   29,621      -96   118.50 P    7,117      -2

OCT17 5Y NOTE   118.25 C    1,817     UNCH   118.25 P      200    UNCH

OCT17 5Y NOTE   118.50 C   10,597     +224   118.50 P    1,900  +1,764

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

AUG17 EURODLR    98.75 C   58,105     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  258,300     UNCH    98.62 P  235,427     -15

SEP17 EURODLR    98.75 C  336,544   -1,575    98.75 P  107,287    UNCH

SEP18 1Y-MIDC    98.37 C  139,773   +1,757    98.37 P   77,063  +2,700

SEP18 1Y-MIDC    98.50 C  123,364     -165    98.50 P   15,350    UNCH

SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P  119,001    +474

SEP19 2Y-MIDC    98.12 C  125,380   -2,014    98.12 P   72,890     -99

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,875  +1,240

SEP20 3Y-MIDC    97.87 C   26,019     +350    97.87 P   32,053  -1,650

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.59 (114,229 PUTS VS. 190,070 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.96 (53,669 PUTS VS. 100,961 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.82 (16,499 PUTS VS. 22,948 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.16 (9,013 PUTS VS. 18,006 CALLS)

AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 15,000 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.02 (100 PUTS VS. 17,800 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.54 (7,100 PUTS VS. 12,750 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.38 (6,000 PUTS VS. 4,000 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.31 (400 PUTS VS. 6,073 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

11:30        40.79    59.57    58.22    63.98    74.22    79.58

9:45         40.79    59.69    58.22    63.98    74.22    79.58

Fri Open     40.93    59.27    58.15    63.90    74.77    79.24

Thu 3:00     40.88    58.92    58.05    63.53    74.64    79.21

Thu Open     40.01    58.03    57.51    62.59    74.16    79.34

Wed 3:00     39.89    58.07    57.57    62.61    74.14    79.21

Wed Open     39.46    56.67    56.22    60.29    73.59    78.99

Tue 3:00     39.22    55.91    55.45    60.51    73.54    78.67

Tue Open     39.12    55.79    55.18    60.12    73.38    78.95

Mon 3:00     39.00    54.85    54.87    59.96    73.38    78.91

Mon Open     39.00    54.24    54.85    59.91    73.41    78.92

Fri 3:00     38.90    54.13    54.76    59.94    73.36    78.86

Fri Open     38.52    54.41    54.53    59.72    73.41    78.90

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

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