US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 17

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

1:30       7.16%  7.53%   3.61%  3.83%   2.06%  2.22%   11.40%  13.95%

12:00      6.92%  7.48%   3.42%  3.75%   2.01%  2.21%   11.50%  13.49%

10:45      7.08%  7.76%   3.61%  3.81%   2.07%  2.20%   10.82%  14.60%

9:30       7.15%  7.36%   3.42%  3.80%   1.98%  2.18%   10.81%  13.54%

THU OPEN   7.24%  7.49%   3.53%  3.80%   1.99%  2.24%   11.60%  13.80%

WED 3:00   7.18%  7.62%   3.61%  3.81%   2.14%  2.27%   11.70%  13.30%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  149,520   -2,566   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   47,412   +1,440   125.00 P   44,566  +2,415

SEP17 5Y NOTE   118.25 C   37,973   -1,042   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   15,639   -2,261   117.00 P   21,800  +2,000

SEP17 EURODLR    98.75 C  335,744     UNCH    98.37 P  751,921  +1,176

OCT17 EURODLR    98.62 C  127,100     UNCH    98.50 P  159,280  +1,221

SEP18 1Y-MIDC    98.37 C  124,159   -2,700    98.12 P  266,327    +900

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

SEP20 3Y-MIDC    98.00 C   44,298     +200    97.50 P   48,307    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   66,796   +3,426   126.00 P   56,995  +2,991

SEP17 10Y NOTE  126.50 C   80,916     -136   126.50 P   31,888  -1,041

OCT17 10Y NOTE  126.00 C   20,236   +2,761   126.00 P   17,229  +2,345

OCT17 10Y NOTE  126.50 C   32,967   +3,084   126.50 P   10,294    -570

SEP17 5Y NOTE   118.25 C   37,973   -1,042   118.25 P   21,344  +1,219

SEP17 5Y NOTE   118.50 C   26,023     +881   118.50 P    8,097     +70

OCT17 5Y NOTE   118.25 C    2,166     UNCH   118.25 P    1,141     +41

OCT17 5Y NOTE   118.50 C   13,220     -132   118.50 P    3,432    UNCH

SEP17 EURODLR    98.62 C  257,195     -500    98.62 P  230,554    -250

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

OCT17 EURODLR    98.50 C   36,376     UNCH    98.50 P  159,280  +1,221

OCT17 EURODLR    98.62 C  127,100     UNCH    98.62 P   31,274    +500

SEP18 1Y-MIDC    98.37 C  124,159   -2,700    98.37 P   74,833  -1,914

SEP18 1Y-MIDC    98.50 C  116,985   -6,400    98.50 P   11,732    -700

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

SEP19 2Y-MIDC    98.12 C  131,323   +3,650    98.12 P   71,503  -1,930

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   29,389    UNCH

SEP20 3Y-MIDC    97.87 C   24,185   -1,200    97.87 P   29,575  -1,001

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.98 (90,575 PUTS VS. 92,079 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.94 (46,458 PUTS VS. 49,023 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.87 (13,483 PUTS VS. 15,380 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.19 (6,874 PUTS VS. 5,718 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 6.27 (6,900 PUTS VS. 1,150 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.41 (12,000 PUTS VS. 29,190 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.86 (37,600 PUTS VS. 20,200 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.11 (4,000 PUTS VS. 3,650 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (3,050 PUTS VS. 3,050 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

1:30         38.80    55.24    55.09    61.35    73.81    79.03

12:00        38.35    55.13    55.23    61.30    73.82    79.02

10:45        38.40    55.07    55.13    61.15    73.84    78.95

9:30         38.59    55.09    55.35    61.34    74.07    79.06

Thu Open     38.64    55.11    55.45    61.46    74.07    79.06

Wed 3:00     38.76    55.23    55.25    61.34    74.16    79.17

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

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

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