US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 2

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

12:00      7.72%  7.45%   3.78%  3.83%   2.11%  2.34%   16.87%  14.18%

10:45      7.72%  7.85%   3.71%  3.84%   2.14%  2.36%   16.98%  14.51%

9:15       7.96%  7.59%   3.75%  3.78%   2.13%  2.18%   16.90%  14.56%

WED OPEN   8.20%  7.92%   3.81%  3.74%   2.20%  2.08%   16.89%  15.99%

TUE 3:00   8.16%  7.96%   3.81%  3.91%   2.19%  2.29%   15.97%  15.70%

TUE OPEN   7.94%  7.76%   3.75%  3.92%   2.14%  2.11%   16.05%  15.82%

MON 3:00   7.83%  7.78%   3.73%  3.81%   2.02%  2.34%   18.50%  15.35%

MON OPEN   7.89%  7.50%   3.79%  3.80%   2.07%  2.32%   15.32%  15.66%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  175,077   +4,466   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   33,027   +6,242   123.50 P   24,726  +2,626

SEP17 5Y NOTE   118.50 C   37,400   -1,189   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,396     +269   117.00 P   18,450      +1

AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH

SEP17 EURODLR    98.75 C  334,982  +16,758    98.37 P  750,865    UNCH

SEP18 1Y-MIDC    98.50 C  138,602     UNCH    98.12 P  272,537 -11,101

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

SEP20 3Y-MIDC    97.62 C   35,946     UNCH    97.50 P   48,787    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   58,467     +135   125.50 P   61,091  +4,694

SEP17 10Y NOTE  126.00 C   67,373   +1,855   126.00 P   50,522    +700

OCT17 10Y NOTE  125.50 C   13,788     +640   125.50 P   10,410    +141

OCT17 10Y NOTE  126.00 C    9,554   +1,189   126.00 P    5,974  +1,110

SEP17 5Y NOTE   117.75 C    5,970     +150   117.75 P   14,593  +1,680

SEP17 5Y NOTE   118.00 C   20,160     -530   118.00 P   17,228    +610

OCT17 5Y NOTE   117.75 C    2,882       -7   117.75 P    6,446    UNCH

OCT17 5Y NOTE   118.00 C    1,278      +13   118.00 P      572    UNCH

AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    UNCH

AUG17 EURODLR    98.75 C   69,656     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  252,150   +9,157    98.62 P  243,796  +2,922

SEP17 EURODLR    98.75 C  334,982  +16,758    98.75 P  109,405     -49

SEP18 1Y-MIDC    98.37 C  120,334   +4,000    98.37 P   76,437  +9,400

SEP18 1Y-MIDC    98.50 C  138,602     UNCH    98.50 P   14,670     +58

SEP19 2Y-MIDC    98.00 C   65,921   +2,000    98.00 P   97,602    +649

SEP19 2Y-MIDC    98.12 C  110,565   +1,275    98.12 P   61,955    -300

SEP20 3Y-MIDC    97.75 C   26,633      +18    97.75 P   28,661  +1,513

SEP20 3Y-MIDC    97.87 C   27,494     -250    97.87 P   23,993    -450

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 1.41 (198,749 PUTS VS. 140,616 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 1.80 (47,324 PUTS VS. 26,231 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.84 (28,615 PUTS VS. 33,915 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 5.75 (4,655 PUTS VS. 851 CALLS)

AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.36 (19,375 PUTS VS. 52,967 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 7.52 (37,600 PUTS VS. 5,000 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.03 (650 PUTS VS. 21,650 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.08 (150 PUTS VS. 1,668 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

12:00        39.27    57.83    55.10    60.56    73.94    78.85

10:45        39.27    57.82    55.10    60.56    73.96    78.86

9:15         39.02    57.88    55.22    60.71    74.00    78.91

Wed Open     39.02    58.06    54.92    60.44    74.02    79.24

Tue 3:00     38.71    59.44    55.61    60.96    73.76    79.30

Tue Open     38.93    58.99    55.59    60.67    74.17    79.42

Mon 3:00     39.01    57.93    55.56    60.60    73.93    78.94

Mon Open     39.01    57.85    55.63    60.67    74.30    79.56

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

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