US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 21

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

TUE 1500  13.22%  10.75%  6.16%  5.34%   3.96%  3.49%   27.18%  43.75%

TUE OPEN  11.95%  10.63%  6.30%  5.47%   4.04%  3.55%   27.60%  45.65%

FRI 1500  11.95%  10.63%  5.75%  5.50%   3.64%  3.44%   30.65%   N/A

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

THU 1500  12.62%  10.60%  6.16%  5.55%   4.95%  3.65%   32.74%   N/A

THU OPEN  13.00%  10.89%  6.26%  5.59%   4.96%  3.65%   33.35%   N/A

WED 1500  11.94%  10.34%  5.68%  5.32%   3.64%  3.42%   32.80%   N/A

WED OPEN  12.11%  10.31%  5.88%  5.41%   3.70%  3.55%   29.85%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  114,066   -1,402   126.50 P  173,601     UNCH

OCT19 10Y NOTE  133.00 C   90,621  +11,902   129.00 P  111,125  +23,327

SEP19 5Y NOTE   118.00 C   43,202      +16   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   24,673     +473   118.50 P   58,471     -500

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     UNCH

SEP19 EURODLR    97.87 C  481,552     UNCH    97.50 P  550,008     UNCH

OCT19 EURODLR    98.50 C  580,469   +5,000    97.87 P  156,664     UNCH

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  228,306   +2,500

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   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  130.00 C   83,887     -587   130.00 P   44,065   +4,917

SEP19 10Y NOTE  130.50 C   31,196   +1,489   130.50 P   16,405   -1,255

OCT19 10Y NOTE  131.00 C   50,371     -296   131.00 P   21,149     +428

OCT19 10Y NOTE  131.50 C   45,918   +1,057   131.50 P   10,352   +1,438

SEP19 5Y NOTE   119.00 C   33,450      -41   119.00 P   18,716   +1,031

SEP19 5Y NOTE   119.25 C   28,455     -297   119.25 P   15,596   +8,910

OCT19 5Y NOTE   119.50 C    3,888      +42   119.50 P   10,585       +4

OCT19 5Y NOTE   119.75 C   11,831   +2,283   119.75 P   10,038   +2,036

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    2,899       -1

SEP19 2Y NOTE   107.75 C    3,373   -1,131   107.75 P    1,490     -149

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

OCT19 2Y NOTE   108.00 C    1,803     UNCH   108.00 P      324     UNCH

SEP19 EURODLR    98.00 C  407,461   -1,400    98.00 P  219,583     +650

SEP19 EURODLR    98.12 C  330,475   -4,433    98.12 P   15,520     UNCH

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  119,906   +2,650

OCT19 EURODLR    98.12 C   70,095     +116    98.12 P   50,930     +100

SEP20 1Y-MIDC    98.50 C   88,924   -1,001    98.50 P  119,400  +36,326

SEP20 1Y-MIDC    98.62 C   91,759   +1,852    98.62 P   31,709   +2,201

SEP21 2Y-MIDC    98.62 C   23,330     UNCH    98.62 P   22,660   +1,600

SEP21 2Y-MIDC    98.75 C   29,615   +1,000    98.75 P    9,297     UNCH

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   18,711     UNCH

SEP22 3Y-MIDC    98.62 C    5,381     +535    98.62 P    6,518   +2,077

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.22 (55,275 PUTS VS. 245,292 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.76 (115,745 PUTS VS. 65,697 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.61 (25,253 PUTS VS. 41,891 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.69 (22,880 PUTS VS. 13,893 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.08 (420 PUTS VS. 4,785 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 2.35 (4,749 PUTS VS. 2,043 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.51 (15,548 PUTS VS. 31,050 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.06 (9,286 PUTS VS. 133,944 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.08 (58,208 PUTS VS. 53,682 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.90 (6,115 PUTS VS. 3,255 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.06 (6,860 PUTS VS. 3,360 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

Tue 1500    81.78    87.69    79.85    77.30    67.40     67.28

Tue Open    82.15    87.65    78.22    76.45    66.99     67.15

Fri 1500    87.87    88.13    83.59    80.74    70.30     69.37

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

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

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