US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 18

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

FRI OPEN   7.30%  7.79%   3.60%  3.79%   2.00%  2.27%   11.83%  15.30%

THU 3:00   7.09%  7.69%   3.62%  3.84%   2.03%  2.27%   11.70%  14.20%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  146,342   -3,178   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   51,178   +3,766   125.00 P   47,137  +2,571

SEP17 5Y NOTE   118.25 C   36,898   -1,075   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   15,564      -75   117.00 P   21,800    UNCH

SEP17 EURODLR    98.75 C  340,800   +5,056    98.37 P  751,921    UNCH

OCT17 EURODLR    98.62 C  127,600     +500    98.50 P  159,280    UNCH

SEP18 1Y-MIDC    98.37 C  123,659     -500    98.12 P  225,971 -40,356

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

SEP20 3Y-MIDC    98.00 C   44,962     +664    97.50 P   48,307    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   65,314   -1,482   126.00 P   55,828  -1,167

SEP17 10Y NOTE  126.50 C   74,662   -6,259   126.50 P   26,446  +1,490

OCT17 10Y NOTE  126.00 C   21,085     +849   126.00 P   19,205  +1,976

OCT17 10Y NOTE  126.50 C   31,219   -1,748   126.50 P   12,185  +1,891

SEP17 5Y NOTE   118.25 C   36,898   -1,075   118.25 P   21,335      -9

SEP17 5Y NOTE   118.50 C   26,745     +713   118.50 P    8,015     -82

OCT17 5Y NOTE   118.25 C    2,455     +289   118.25 P    1,461    +320

OCT17 5Y NOTE   118.50 C   13,028     -192   118.50 P    3,432    UNCH

SEP17 EURODLR    98.62 C  256,695     -500    98.62 P  230,356    -198

SEP17 EURODLR    98.75 C  340,800   +5,056    98.75 P  107,187    -100

OCT17 EURODLR    98.50 C   36,376     UNCH    98.50 P  159,280    UNCH

OCT17 EURODLR    98.62 C  127,600     +500    98.62 P   31,274    UNCH

SEP18 1Y-MIDC    98.37 C  123,659     -500    98.37 P   75,522    +689

SEP18 1Y-MIDC    98.50 C  116,619     -366    98.50 P   11,732    UNCH

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

SEP19 2Y-MIDC    98.12 C  131,023     -300    98.12 P   76,201  +4,698

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   36,707  +7,318

SEP20 3Y-MIDC    97.87 C   22,685   -1,500    97.87 P   23,967  -5,608

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.42 (76,092 PUTS VS. 178,739 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.61 (36,014 PUTS VS. 59,125 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.55 (12,608 PUTS VS. 22,900 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 2.06 (3,376 PUTS VS. 1,578 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.05 (2,100 PUTS VS. 42,373 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 1.33 (800 PUTS VS. 600 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.85 (11,100 PUTS VS. 12,500 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.46 (6,250 PUTS VS. 13,450 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 9.15 (36,688 PUTS VS. 4,000 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

Fri Open     38.85    56.17    55.22    61.42    73.95    79.18

Thu 3:00     38.73    55.17    55.08    61.31    73.83    79.09

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

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

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