US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 14

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

0900      11.92%  10.12%  5.75%  5.35%   3.64%  3.45%    N/A    28.90%

WED OPEN  12.11%  10.31%  5.88%  5.41%   3.70%  3.55%    N/A    29.85%

TUE 1500  10.80%  9.57%   5.62%  5.23%   3.52%  3.40%    N/A    28.10%

TUE OPEN  10.07%  9.39%   5.38%  5.24%   3.49%  3.50%   31.30%  28.38%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,755     -108   126.50 P  173,543     -381

OCT19 10Y NOTE  132.00 C   61,918  +27,039   129.00 P   78,694  +24,322

SEP19 5Y NOTE   119.00 C   44,599   +4,549   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   21,410     +944   118.50 P   56,999   +1,020

SEP19 2Y NOTE   107.37 C    9,429     UNCH   107.00 P   31,451     UNCH

OCT19 2Y NOTE   107.75 C    2,618       -1   107.50 P   32,274      -39

AUG19 EURODLR    98.25 C  351,501     UNCH    97.87 P  265,277  +23,866

SEP19 EURODLR    97.87 C  481,300   -7,500    97.50 P  548,519     UNCH

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  220,098     -250

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  116,755     -108   129.00 P   79,101   +5,434

SEP19 10Y NOTE  129.50 C   45,158      -75   129.50 P   43,744   +1,579

OCT19 10Y NOTE  130.00 C   26,328     -248   130.00 P   25,372   +1,528

OCT19 10Y NOTE  130.50 C   32,319     +117   130.50 P   11,364     +287

SEP19 5Y NOTE   118.75 C   14,132     +267   118.75 P   18,267   +4,190

SEP19 5Y NOTE   119.00 C   44,599   +4,549   119.00 P    8,319     -443

OCT19 5Y NOTE   119.00 C    6,643      -46   119.00 P   18,793   +9,299

OCT19 5Y NOTE   119.25 C    3,229      +19   119.25 P   15,504   +3,955

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    2,044     +797

SEP19 2Y NOTE   107.75 C    4,574     -895   107.75 P      859     +277

OCT19 2Y NOTE   107.75 C    2,618       -1   107.75 P   14,150     UNCH

OCT19 2Y NOTE   107.88 C      324     +272   107.88 P    1,012     +303

AUG19 EURODLR    98.00 C  134,912     -310    98.00 P   67,877      +15

AUG19 EURODLR    98.12 C  171,420  -26,265    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  395,472   +3,468    98.00 P  172,377   -1,789

SEP19 EURODLR    98.12 C  323,180   +1,329    98.12 P   14,020     UNCH

SEP20 1Y-MIDC    98.50 C   90,496   -6,646    98.50 P   67,309     +530

SEP20 1Y-MIDC    98.62 C   92,406   -1,504    98.62 P   20,485      +90

SEP21 2Y-MIDC    98.62 C   27,861   +2,698    98.62 P   18,060     UNCH

SEP21 2Y-MIDC    98.75 C   39,674   -3,000    98.75 P    5,882     UNCH

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   12,077     -215

SEP22 3Y-MIDC    98.62 C    4,146     +809    98.62 P    3,045     +907

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.22 (164,224 PUTS VS. 134,999 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.59 (93,168 PUTS VS. 156,364 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.65 (48,035 PUTS VS. 73,241 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.08 (71,606 PUTS VS. 23,210 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.41 (5,433 PUTS VS. 12,908 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.82 (1,906 PUTS VS. 2,327 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.02 (58,660 PUTS VS. 57,480 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.26 (34,178 PUTS VS. 126,012 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 4.73 (9,035 PUTS VS. 1,900 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.47 (20,800 PUTS VS. 43,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.51 (11,190 PUTS VS. 22,130 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

0900        79.94    83.39    79.95    76.25    66.73     67.23

Wed Open    80.11    83.98    80.20    77.05    66.91     67.37

Tue 1500    78.02    80.74    76.90    74.22    66.56     67.57

Tue Open    81.46    84.01    81.26    77.45    67.06     68.17

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

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

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