US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 22

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

TUE OPEN   8.64%  7.55%   4.53%  3.95%   2.54%  2.32%   12.69%  16.32%

FRI 3:00   6.97%  7.62%   3.44%  3.94%   2.01%  2.27%   10.70%  15.74%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  127,279  -16,527   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   58,162   +5,662   125.00 P   50,412  -1,329

SEP17 5Y NOTE   118.25 C   36,845      -49   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   15,531     UNCH   117.00 P   21,801      +1

SEP17 EURODLR    98.75 C  336,238      -32    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  128,600     +500    98.50 P  153,280    UNCH

SEP18 1Y-MIDC    98.37 C  121,506     -957    98.12 P  225,971    UNCH

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

SEP20 3Y-MIDC    98.00 C   44,962     -250    97.62 P   52,181    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   65,071     -136   126.00 P   55,187  -3,266

SEP17 10Y NOTE  126.50 C   73,897     -368   126.50 P   39,131    -441

OCT17 10Y NOTE  126.00 C   19,665     -110   126.00 P   20,373    +244

OCT17 10Y NOTE  126.50 C   33,958   +1,058   126.50 P   20,482  +2,096

SEP17 5Y NOTE   118.25 C   36,845      -49   118.25 P   21,729    +968

SEP17 5Y NOTE   118.50 C   25,727     -477   118.50 P    9,200    +867

OCT17 5Y NOTE   118.25 C    6,837   +3,449   118.25 P    5,572  +3,037

OCT17 5Y NOTE   118.50 C   14,256      -50   118.50 P    3,432    UNCH

SEP17 EURODLR    98.62 C  256,245     -450    98.62 P  231,091    +735

SEP17 EURODLR    98.75 C  336,238      -32    98.75 P  107,187    UNCH

OCT17 EURODLR    98.50 C   36,745     UNCH    98.50 P  153,280    UNCH

OCT17 EURODLR    98.62 C  128,600     +500    98.62 P   30,274    UNCH

SEP18 1Y-MIDC    98.37 C  121,506     -957    98.37 P   71,582  -2,776

SEP18 1Y-MIDC    98.50 C  115,024     +417    98.50 P   12,132    UNCH

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

SEP19 2Y-MIDC    98.12 C  131,024       +1    98.12 P   76,831  +2,889

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   35,096  -1,500

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,496  +1,200

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.34 (60,305 PUTS VS. 176,767 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.83 (37,199 PUTS VS. 44,562 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.63 (15,692 PUTS VS. 24,569 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 3.63 (16,019 PUTS VS. 4,463 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.40 (1,015 PUTS VS. 2,500 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.04 (500 PUTS VS. 10,116 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.34 (2,450 PUTS VS. 7,000 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 12.8 (38,600 PUTS VS. 3,000 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.81 (6,750 PUTS VS. 3,750 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

Tue Open     39.06    61.52    55.72    62.00    73.90    79.22

Fri 3:00     38.53    57.55    54.92    61.24    73.83    79.18

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

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

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