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     EDQ     EDU

1330      12.03%  10.65%  5.90%  5.55%   3.68%  3.57%    N/A    31.25%

0900      11.75%  10.38%  5.85%  5.51%   3.71%  3.64%    N/A    31.70%

FRI OPEN  12.15%  10.47%  6.01%  5.54%   4.20%  3.64%    N/A    31.95%

THU 1500  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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,652      -17   126.50 P  173,607     UNCH

OCT19 10Y NOTE  133.00 C   80,406   +5,177   129.00 P   86,118   +6,307

SEP19 5Y NOTE   118.00 C   43,185     +134   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   24,071     +138   118.50 P   59,594   +3,069

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

OCT19 2Y NOTE   107.75 C    2,617     UNCH   107.50 P   30,357   -1,203

AUG19 EURODLR    98.25 C  350,008     -100    97.87 P  265,930     +500

SEP19 EURODLR    98.25 C  483,750   +6,382    97.50 P  550,008     UNCH

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  218,518     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   57,667     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  116,652      -17   129.00 P   73,032   -8,402

SEP19 10Y NOTE  129.50 C   45,814     +678   129.50 P   62,160  +22,656

OCT19 10Y NOTE  130.00 C   25,943     -401   130.00 P   28,574   +4,097

OCT19 10Y NOTE  130.50 C   28,845   -3,181   130.50 P   14,242   +2,091

SEP19 5Y NOTE   118.75 C   14,127     UNCH   118.75 P   16,739   -1,644

SEP19 5Y NOTE   119.00 C   36,976   -3,409   119.00 P    9,780   +1,727

OCT19 5Y NOTE   119.00 C    6,643       +1   119.00 P   24,548   +5,583

OCT19 5Y NOTE   119.25 C    2,987     -182   119.25 P   15,352      -70

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    2,900      +54

SEP19 2Y NOTE   107.75 C    4,504       -8   107.75 P    1,606     +170

OCT19 2Y NOTE   107.75 C    2,617     UNCH   107.75 P   14,228      +78

OCT19 2Y NOTE   107.88 C      354     UNCH   107.88 P    1,004      +11

AUG19 EURODLR    98.00 C  124,622   -7,503    98.00 P   66,800     -500

AUG19 EURODLR    98.12 C  157,315   -7,893    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  408,900   +5,275    98.00 P  215,490  +43,224

SEP19 EURODLR    98.12 C  327,929   +4,540    98.12 P   14,020     UNCH

SEP20 1Y-MIDC    98.50 C   87,925     -500    98.50 P   81,444   +1,800

SEP20 1Y-MIDC    98.62 C   88,857   -1,000    98.62 P   22,378   +1,000

SEP21 2Y-MIDC    98.62 C   24,573     -288    98.62 P   21,060   -1,250

SEP21 2Y-MIDC    98.75 C   28,938  -10,736    98.75 P    5,982     +100

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   18,311   +5,750

SEP22 3Y-MIDC    98.62 C    4,846     +700    98.62 P    3,516     +308

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.16 (228,429 PUTS VS. 195,411 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.72 (141,360 PUTS VS. 196,812 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.41 (17,837 PUTS VS. 41,776 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.17 (46,298 PUTS VS. 21,258 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.27 (742 PUTS VS. 2,694 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 45.4 (6,051 PUTS VS. 133 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.08 (5,500 PUTS VS. 65,026 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.01 (180,003 PUTS VS. 179,436 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.52 (14,161 PUTS VS. 26,830 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.02 (1,441 PUTS VS. 53,955 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.99 (15,000 PUTS VS. 5,310 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        86.40    88.19    83.68    80.85    70.05     69.49

0900        88.31    91.96    87.76    84.22    70.56     69.90

Fri Open    84.50    88.27    84.55    81.25    69.70     68.40

Thu 1500    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

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

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