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

1345       8.15%  7.88%   4.46%  4.48%   3.03%  3.07%   24.05%  22.65%

1130       8.17%  7.88%   4.47%  4.46%   3.02%  3.02%   25.55%  23.20%

0945       8.19%  7.90%   4.50%  4.45%   3.01%  3.00%   26.40%  24.10%

FRI OPEN   7.79%  8.00%   4.50%  4.35%   3.01%  3.10%   28.00%  21.70%

THU 1500   7.68%  7.75%   4.30%  4.35%   2.91%  3.00%   27.01%  21.05%

THU OPEN   6.68%  6.70%   3.77%  3.91%   2.67%  2.65%   20.10%  19.25%

MON 1500   6.71%  6.71%   3.91%  3.98%   2.77%  2.73%   25.79%  21.58%

MON OPEN   6.58%   N/A    3.82%   N/A    2.67%   N/A    22.06%  21.16%

FRI 1500   6.58%   N/A    3.82%   N/A    2.67%   N/A    22.06%  21.16%

FRI OPEN   7.11%   N/A    4.12%   N/A    2.89%   N/A    24.18%  21.12%

THU 1500   7.23%   N/A    4.10%   N/A    2.84%   N/A    23.90%  20.93%

THU OPEN   7.19%   N/A    4.11%   N/A    2.83%   N/A    24.25%  22.00%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  141,178   +1,777   126.50 P  174,071   -1,907

OCT19 10Y NOTE  128.00 C   24,469   +1,128   125.00 P   26,111     -105

SEP19 5Y NOTE   118.00 C   49,669     +642   114.75 P  125,144       +5

OCT19 5Y NOTE   120.00 C   18,751     UNCH   115.50 P   25,643  +25,628

SEP19 2Y NOTE   107.75 C   10,031     +850   107.00 P   30,762   -2,796

OCT19 2Y NOTE   107.75 C    2,485   +1,516   107.50 P    5,621   +1,063

AUG19 EURODLR    98.25 C  645,066     UNCH    97.87 P  244,405  -10,949

SEP19 EURODLR    98.25 C  692,057  -14,500    97.50 P  547,869   -3,000

SEP20 1Y-MIDC    98.12 C  139,910     +507    97.75 P  154,515   -7,060

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   52,167     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  127.00 C   47,578     -948   127.00 P   81,227   +4,662

SEP19 10Y NOTE  127.50 C   42,819     -878   127.50 P   49,611   -1,376

OCT19 10Y NOTE  127.50 C    4,488     -126   127.50 P    9,956     +543

OCT19 10Y NOTE  128.00 C   24,469   +1,128   128.00 P    8,632   +1,491

SEP19 5Y NOTE   117.50 C   22,383   -1,326   117.50 P   90,437   +6,975

SEP19 5Y NOTE   117.75 C   35,540      -71   117.75 P   47,481     +545

OCT19 5Y NOTE   117.75 C      298       +5   117.75 P      681     UNCH

OCT19 5Y NOTE   118.00 C    8,044      +40   118.00 P    8,021      +72

SEP19 2Y NOTE   107.25 C    5,739       -2   107.25 P    8,888     +598

SEP19 2Y NOTE   107.38 C    9,830     +237   107.38 P    9,349   -1,161

OCT19 2Y NOTE   107.38 C      162     +162   107.38 P      502     UNCH

OCT19 2Y NOTE   107.50 C      400     UNCH   107.50 P    5,621   +1,063

AUG19 EURODLR    97.87 C  308,290   +1,143    97.87 P  244,405  -10,949

AUG19 EURODLR    98.00 C  299,208  -11,875    98.00 P   69,909   -2,627

SEP19 EURODLR    97.87 C  500,240   +7,383    97.87 P  246,734  +18,595

SEP19 EURODLR    98.00 C  408,164  +14,669    98.00 P   62,441   +2,825

SEP20 1Y-MIDC    98.25 C   89,933     -165    98.25 P   80,445   +5,367

SEP20 1Y-MIDC    98.37 C   88,726      -29    98.37 P   49,487     +362

SEP21 2Y-MIDC    98.25 C   41,783     UNCH    98.25 P   23,291     +750

SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   19,316     UNCH

SEP22 3Y-MIDC    98.25 C   73,890     UNCH    98.25 P   16,676      +10

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.81 (239,419 PUTS VS. 292,152 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.95 (46,879 PUTS VS. 48,527 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.30 (134,523 PUTS VS. 103,670 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 6.49 (35,710 PUTS VS. 5,576 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.68 (10,909 PUTS VS. 16,063 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 3.55 (9,662 PUTS VS. 2,787 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.34 (147,886 PUTS VS. 109,710 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.45 (183,923 PUTS VS. 404,863 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.21 (73,431 PUTS VS. 60,261 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.26 (12,257 PUTS VS. 46,128 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.04 (800 PUTS VS. 18,800 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

1345        74.68    63.81    69.88    64.71    63.02     65.20

1130        73.27    62.77    68.30    63.45    62.99     65.05

0945        71.58    62.01    67.19    62.17    62.90     65.01

Fri Open    72.43    62.87    67.89    62.57    63.38     65.58

Thu 1500    69.51    60.12    66.35    59.92    61.76     63.96

Thu Open    64.11    57.25    62.98    57.99    61.47     63.81

Mon 1500    65.54    58.54    63.14    58.45    61.65     63.96

Mon Open    67.21    59.81    64.45    59.21    62.14     64.68

Fri 1500    67.21    59.81    64.45    59.21    62.14     64.68

Fri Open    67.19    60.66    65.49    60.67    62.44     64.77

Thu 1500    68.38    61.02    66.47    61.61    62.78     64.92

Thu Open    68.93    60.81    67.05    62.12    62.92     64.98

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

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