US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 12

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1330       9.99%  9.21%   5.28%  5.15%   3.41%  3.44%   31.44%  27.78%

1145       9.97%  9.33%   5.33%  5.21%   3.44%  3.50%   30.65%  27.33%

MON OPEN   9.97%  9.30%   5.33%  5.18%   3.45%  3.48%   34.35%  28.05%

FRI 1500   9.43%  9.04%   4.94%  4.98%   3.16%  3.32%   28.00%  28.02%

FRI OPEN   9.53%  8.97%   4.94%  4.97%   3.14%  3.32%   28.57%  27.97%

THU 1500   9.46%  8.89%   5.04%  5.06%   3.33%  3.31%   28.60%  27.30%

THU OPEN   9.71%  9.02%   5.24%  5.13%   3.50%  3.40%   32.10%  28.75%

WED 1500   10.42% 10.55%  5.61%  5.35%   3.72%  3.55%   31.85%  29.20%

WED OPEN   10.44% 9.55%   5.60%  5.05%   3.70%  3.55%   30.40%  27.39%

TUE 1500   8.97%  8.77%   4.90%  4.81%   3.38%  3.29%   28.22%  26.49%

TUE OPEN   9.42%  8.79%   5.29%  4.92%   3.58%  3.33%   31.60%  27.25%

MON 1500   9.76%  8.29%   5.35%  5.08%   3.58%  3.39%   30.60%  27.85%

MON OPEN   9.80%  8.64%   5.39%  5.01%   3.60%  3.42%   27.85%  26.05%

MON OPEN   7.93%  7.78%   4.32%  4.45%   2.95%  3.04%   24.11%  22.40%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  120,060   -5,942   126.50 P  175,825   -2,455

OCT19 10Y NOTE  131.00 C   42,797   +3,064   129.00 P   50,686   +6,862

SEP19 5Y NOTE   118.00 C   43,455     -313   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   20,437      -77   118.50 P   55,874     +929

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   31,451     UNCH

OCT19 2Y NOTE   107.75 C    2,619     UNCH   107.50 P   32,313   +8,000

AUG19 EURODLR    98.25 C  351,501   -2,573    97.87 P  239,627   +4,025

SEP19 EURODLR    97.87 C  488,800      +49    97.50 P  548,519       -5

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  220,348     -400

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  125,432     UNCH    98.00 P   56,667     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  120,060   -5,942   129.00 P   74,621  +16,769

SEP19 10Y NOTE  129.50 C   45,092     -982   129.50 P   45,236   -2,421

OCT19 10Y NOTE  130.00 C   27,780   +1,987   130.00 P   23,518   +4,555

OCT19 10Y NOTE  130.50 C   27,174     +140   130.50 P    5,625     +892

SEP19 5Y NOTE   118.75 C   13,869     -110   118.75 P   13,508   +3,215

SEP19 5Y NOTE   119.00 C   42,560   +2,234   119.00 P    4,599     -906

OCT19 5Y NOTE   119.00 C    6,690     +103   119.00 P    6,423       -1

OCT19 5Y NOTE   119.25 C    3,165      -37   119.25 P    9,949     UNCH

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    1,242       +5

SEP19 2Y NOTE   107.75 C    5,469   -1,223   107.75 P      482      +15

OCT19 2Y NOTE   107.75 C    2,619     UNCH   107.75 P   14,155   +5,938

OCT19 2Y NOTE   107.88 C       52     UNCH   107.88 P      709     UNCH

AUG19 EURODLR    98.00 C  135,222   -1,150    98.00 P   68,262   -1,673

AUG19 EURODLR    98.12 C  201,635   -9,539    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  394,674   -2,250    98.00 P  140,980   +1,389

SEP19 EURODLR    98.12 C  323,852   +1,500    98.12 P   14,020     +880

SEP20 1Y-MIDC    98.50 C   97,172     UNCH    98.50 P   64,084     +336

SEP20 1Y-MIDC    98.62 C   94,453   +1,456    98.62 P   17,445   +5,488

SEP21 2Y-MIDC    98.62 C   25,163   -3,500    98.62 P   18,060     +869

SEP21 2Y-MIDC    98.75 C   40,160   -4,200    98.75 P    2,660     UNCH

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   12,292   +2,850

SEP22 3Y-MIDC    98.62 C    2,799     -250    98.62 P    1,600     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.33 (154,435 PUTS VS. 115,188 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.92 (69,449 PUTS VS. 75,230 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.47 (31,029 PUTS VS. 21,340 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.74 (12,912 PUTS VS. 4,687 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.37 (546 PUTS VS. 1,447 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 96.8 (18,022 PUTS VS. 186 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.82 (39,850 PUTS VS. 47,898 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 4.30 (72,861 PUTS VS. 16,924 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.52 (26,946 PUTS VS. 17,450 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.12 (1,369 PUTS VS. 10,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 5.22 (9,150 PUTS VS. 1,750 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

1330        81.34    83.57    80.82    77.33    66.59     67.78

1145        81.27    82.84    79.96    76.46    66.38     67.59

Mon Open    81.63    82.57    79.59    75.33    66.22     67.65

Fri 1500    80.57    77.26    78.75    73.65    66.02     67.89

Fri Open    81.29    77.39    79.72    73.71    65.86     67.32

Thu 1500    81.86    77.99    80.08    74.01    65.70     67.15

Thu Open    84.44    78.71    81.47    75.75    66.50     68.96

Wed 1500    84.80    81.52    82.31    75.90    67.40     69.12

Wed Open    86.91    78.77    80.25    73.61    66.25     68.30

Tue 1500    82.57    73.52    77.18    70.31    65.56     67.60

Tue Open    88.93    76.78    81.51    74.11    66.66     68.81

Mon 1500    90.39    77.41    82.38    74.36    66.78     68.74

Mon Open    75.48    67.52    72.48    67.43    64.29     66.06

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

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