US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 13

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

MON 1500  10.07%  9.39%   5.38%  5.24%   3.49%  3.50%   31.30%  28.38%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,863   -3,197   126.50 P  173,924      +75

OCT19 10Y NOTE  131.00 C   57,065  +14,268   129.00 P   54,372   +3,686

SEP19 5Y NOTE   118.00 C   42,925     -530   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   20,466      +29   118.50 P   55,979     +105

SEP19 2Y NOTE   108.25 C    9,476       +1   107.00 P   31,451     UNCH

OCT19 2Y NOTE   107.75 C    2,619     UNCH   107.50 P   32,463     +150

AUG19 EURODLR    98.25 C  351,501     UNCH    97.87 P  241,411   +1,784

SEP19 EURODLR    97.87 C  488,800     UNCH    97.50 P  548,519     UNCH

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

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  116,863   -3,197   129.00 P   73,668     -953

SEP19 10Y NOTE  129.50 C   45,233     +141   129.50 P   42,147   -3,089

OCT19 10Y NOTE  130.00 C   26,576   -1,204   130.00 P   23,844     +326

OCT19 10Y NOTE  130.50 C   32,202   +5,028   130.50 P   11,077   +5,452

SEP19 5Y NOTE   118.75 C   13,865       -4   118.75 P   14,077     +569

SEP19 5Y NOTE   119.00 C   40,050   -2,510   119.00 P    8,762   +3,163

OCT19 5Y NOTE   119.00 C    6,689       -1   119.00 P    9,494   +3,071

OCT19 5Y NOTE   119.25 C    3,165     UNCH   119.25 P   11,549   +1,600

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    1,247       +5

SEP19 2Y NOTE   107.75 C    5,469     UNCH   107.75 P      582     +100

OCT19 2Y NOTE   107.75 C    2,619     UNCH   107.75 P   14,150       -5

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

AUG19 EURODLR    98.00 C  135,222     UNCH    98.00 P   67,862     -400

AUG19 EURODLR    98.12 C  197,685   -3,950    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  392,004   -2,670    98.00 P  174,166  +33,186

SEP19 EURODLR    98.12 C  321,851   -2,001    98.12 P   14,020     UNCH

SEP20 1Y-MIDC    98.50 C   97,172     UNCH    98.50 P   66,779   +2,695

SEP20 1Y-MIDC    98.62 C   93,910     -543    98.62 P   20,395   +2,950

SEP21 2Y-MIDC    98.62 C   25,163     UNCH    98.62 P   18,060     UNCH

SEP21 2Y-MIDC    98.75 C   42,674   +2,514    98.75 P    5,882   +3,222

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

SEP22 3Y-MIDC    98.62 C    3,337     +538    98.62 P    2,138     +538

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.72 (94,373 PUTS VS. 129,830 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.64 (75,395 PUTS VS. 116,521 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.58 (18,470 PUTS VS. 31,103 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 11.4 (48,279 PUTS VS. 4,236 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 4.75 (504 PUTS VS. 106 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 10.0 (500 PUTS VS. 51 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.73 (13,250 PUTS VS. 18,000 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 5.10 (148,441 PUTS VS. 29,158 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 6.84 (13,050 PUTS VS. 1,900 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.65 (9,322 PUTS VS. 3,572 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,595 PUTS VS. 1,595 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

Mon 1500    81.35    83.54    80.76    77.26    66.50     67.77

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

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

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