US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 16

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

12:30      7.24%  7.46%   3.71%  3.80%   1.96%  2.09%   12.02%  14.60%

11:45      7.44%  7.41%   3.65%  3.88%   2.05%  2.24%   11.20%  14.50%

10:15      7.31%  7.55%   3.67%  3.85%   2.01%  2.18%   12.02%  13.20%

9:00       7.20%  7.30%   3.59%  3.81%   2.06%  2.17%   13.01%  13.19%

WED OPEN   7.35%  7.30%   3.61%  3.82%   2.00%  2.12%   12.97%  14.37%

TUE 3:00   7.51%  7.61%   3.74%  3.80%   2.11%  2.26%   12.80%  14.85%

TUE OPEN   7.55%  7.60%   3.80%  3.75%   2.12%  2.21%   13.26%  16.00%

MON 3:00   7.46%  7.76%   3.84%  3.91%   2.15%  2.42%   13.05%  16.55%

MON OPEN   7.62%  7.90%   3.96%  3.94%   2.21%  2.37%   14.70%  17.60%

FRI 3:00   7.73%  8.06%   3.87%  4.11%   2.33%  2.44%   13.30%   N/A

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  152,086   -2,472   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   45,972   +7,012   125.00 P   42,151  +4,069

SEP17 5Y NOTE   118.25 C   39,015     +709   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   17,900     -348   117.00 P   19,800     +50

SEP17 EURODLR    98.75 C  335,744     -500    98.37 P  750,745    UNCH

OCT17 EURODLR    98.62 C  127,100   +5,635    98.50 P  158,059    UNCH

SEP18 1Y-MIDC    98.37 C  126,859   +2,825    98.12 P  265,427  +5,244

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

SEP20 3Y-MIDC    98.00 C   44,098     -650    97.50 P   48,307    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   63,370   -3,302   126.00 P   54,004  -1,888

SEP17 10Y NOTE  126.50 C   81,052     +686   126.50 P   32,929    +428

OCT17 10Y NOTE  126.00 C   17,475   +1,832   126.00 P   14,884  +1,109

OCT17 10Y NOTE  126.50 C   29,883     +782   126.50 P   10,864      -5

SEP17 5Y NOTE   118.25 C   39,015     +709   118.25 P   20,125  -2,315

SEP17 5Y NOTE   118.50 C   25,151   -2,436   118.50 P    8,027    -200

OCT17 5Y NOTE   118.25 C    2,166     -198   118.25 P    1,100     +34

OCT17 5Y NOTE   118.50 C   13,352     +155   118.50 P    3,432    UNCH

SEP17 EURODLR    98.62 C  257,695       -5    98.62 P  231,804  -1,766

SEP17 EURODLR    98.75 C  335,744     -500    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   36,376      +27    98.50 P  158,059    UNCH

OCT17 EURODLR    98.62 C  127,100   +5,635    98.62 P   30,774    UNCH

SEP18 1Y-MIDC    98.37 C  126,859   +2,825    98.37 P   76,747  +6,498

SEP18 1Y-MIDC    98.50 C  123,385     -135    98.50 P   12,632    UNCH

SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P   94,481    UNCH

SEP19 2Y-MIDC    98.12 C  127,673   +2,775    98.12 P   73,433    +947

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,389      +1

SEP20 3Y-MIDC    97.87 C   25,385     -434    97.87 P   30,576    -277

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.89 (107,615 PUTS VS. 120,662 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.66 (30,103 PUTS VS. 45,598 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.81 (22,755 PUTS VS. 28,116 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 4.01 (12,052 PUTS VS. 3,035 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 1.97 (23,143 PUTS VS. 11,700 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 19,610 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.17 (10,200 PUTS VS. 8,700 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.95 (13,150 PUTS VS. 6,700 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.95 (1,996 PUTS VS. 20,022 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

12:30        39.11    55.77    55.52    61.59    73.92    79.16

11:45        39.11    55.77    55.52    61.59    73.92    79.16

10:15        40.07    56.13    55.86    61.63    73.55    78.95

9:00         40.07    56.25    55.97    61.73    74.11    79.22

Wed Open     40.07    56.23    55.96    61.73    74.13    79.25

Tue 3:00     40.12    58.67    56.35    62.10    74.53    79.30

Tue Open     40.45    59.22    56.72    62.25    74.78    79.51

Mon 3:00     40.65    59.26    57.08    62.43    74.92    79.33

Mon Open     41.06    59.35    58.06    63.80    74.26    79.59

Fri 3:00     40.66    59.29    58.06    63.86    74.24    79.55

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

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

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