US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 15

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1045      12.62%  10.60%  6.16%  5.55%   4.95%  3.65%    N/A    32.74%

THU OPEN  13.00%  10.89%  6.26%  5.59%   4.96%  3.65%    N/A    33.35%

WED 1500  11.94%  10.34%  5.68%  5.32%   3.64%  3.42%    N/A    32.80%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,669      -86   126.50 P  173,607      +64

OCT19 10Y NOTE  133.00 C   75,229  +20,591   129.00 P   79,811   +1,117

SEP19 5Y NOTE   118.00 C   43,051       -6   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   23,933   +2,523   118.50 P   56,525     -474

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

OCT19 2Y NOTE   107.75 C    2,617       -1   107.50 P   31,560     -714

AUG19 EURODLR    98.25 C  350,108   -1,393    97.87 P  265,430     +153

SEP19 EURODLR    97.87 C  480,100   -1,200    97.50 P  550,008   +1,489

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  218,518   -1,580

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   57,667   +1,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,669      -86   129.00 P   81,434   +2,334

SEP19 10Y NOTE  129.50 C   45,136      -22   129.50 P   39,504   -4,240

OCT19 10Y NOTE  130.00 C   26,344      +16   130.00 P   24,477     -895

OCT19 10Y NOTE  130.50 C   32,026     -293   130.50 P   12,151     +787

SEP19 5Y NOTE   118.75 C   14,127       -5   118.75 P   18,383     +116

SEP19 5Y NOTE   119.00 C   40,385   -4,214   119.00 P    8,053     -266

OCT19 5Y NOTE   119.00 C    6,642       -1   119.00 P   18,965     +172

OCT19 5Y NOTE   119.25 C    3,169      -60   119.25 P   15,422      -82

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    2,846     +802

SEP19 2Y NOTE   107.75 C    4,512      -62   107.75 P    1,436     +577

OCT19 2Y NOTE   107.75 C    2,617       -1   107.75 P   14,150     UNCH

OCT19 2Y NOTE   107.88 C      354      +30   107.88 P    1,015       +3

AUG19 EURODLR    98.00 C  132,125   -2,787    98.00 P   67,300     -577

AUG19 EURODLR    98.12 C  165,208   -6,212    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  403,625   +8,153    98.00 P  172,266     -111

SEP19 EURODLR    98.12 C  323,389     +209    98.12 P   14,020     UNCH

SEP20 1Y-MIDC    98.50 C   88,425   -2,071    98.50 P   79,644  +12,335

SEP20 1Y-MIDC    98.62 C   89,957   -2,549    98.62 P   21,378     +893

SEP21 2Y-MIDC    98.62 C   24,861   -3,000    98.62 P   22,310   +4,250

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

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   12,561     +484

SEP22 3Y-MIDC    98.62 C    4,146     UNCH    98.62 P    3,208     +163

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.10 (153,547 PUTS VS. 138,725 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.28 (65,314 PUTS VS. 232,425 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.07 (35,538 PUTS VS. 33,001 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.12 (18,545 PUTS VS. 16,721 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 4.99 (2,719 PUTS VS. 544 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 34.6 (2,044 PUTS VS. 59 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.03 (2,077 PUTS VS. 62,503 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.28 (25,761 PUTS VS. 90,804 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.59 (66,859 PUTS VS. 25,700 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.50 (26,500 PUTS VS. 17,670 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.07 (3,051 PUTS VS. 40,000 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

1045        81.39    86.79    81.57    79.32    68.06     67.96

Thu Open    82.43    88.37    83.75    81.19    68.68     68.21

Wed 1500    81.52    85.23    80.87    78.40    67.07     67.50

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

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

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