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

1445        N/A   10.30%   N/A   5.10%    N/A   3.22%   23.05%  42.66%

1230        N/A   10.49%   N/A   5.14%    N/A   3.25%   23.75%  42.63%

1045        N/A   10.58%   N/A   5.15%    N/A   3.31%   24.10%  43.48%

0915        N/A   10.54%   N/A   5.15%    N/A   3.45%   24.88%  43.48%

THU OPEN    N/A   10.47%   N/A   5.12%    N/A   3.44%   25.05%  44.01%

WED 1500  12.99%  10.40%  6.67%  5.10%   4.50%  3.43%   25.70%  46.45%

WED OPEN  13.23%  10.84%  6.50%  5.20%   4.38%  3.49%   27.30%  44.90%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  114,065       -1   126.50 P  173,601     UNCH

OCT19 10Y NOTE  133.00 C   94,019   +3,398   129.00 P  135,563  +24,438

SEP19 5Y NOTE   118.00 C   43,236      +34   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   24,673     UNCH   116.25 P   58,010     UNCH

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   30,466     +109

SEP19 EURODLR    97.87 C  481,550       -2    97.50 P  550,008     UNCH

OCT19 EURODLR    98.50 C  581,254     +785    97.87 P  157,241     +577

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  231,506   +3,200

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   83,801      -86   130.00 P   53,413   +9,348

SEP19 10Y NOTE  130.50 C   29,872   -1,324   130.50 P   19,536   +3,131

OCT19 10Y NOTE  131.00 C   48,806   -1,565   131.00 P   23,454   +2,305

OCT19 10Y NOTE  131.50 C   45,727     -191   131.50 P   13,670   +3,318

SEP19 5Y NOTE   119.00 C   31,872   -1,578   119.00 P   46,165  +27,449

SEP19 5Y NOTE   119.25 C   28,074     -381   119.25 P   17,516   +1,920

OCT19 5Y NOTE   119.50 C    3,894       +6   119.50 P   11,607   +1,022

OCT19 5Y NOTE   119.75 C   12,300     +469   119.75 P   10,470     +432

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    2,888      -11

SEP19 2Y NOTE   107.75 C    3,541     +168   107.75 P    2,334     +844

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    1,830   +1,506

SEP19 EURODLR    98.00 C  396,325  -11,136    98.00 P  217,647   -1,936

SEP19 EURODLR    98.12 C  325,656   -4,815    98.12 P   15,520     UNCH

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  116,875   -3,031

OCT19 EURODLR    98.12 C   50,457  -19,638    98.12 P   51,003      +73

SEP20 1Y-MIDC    98.50 C   87,109   -1,815    98.50 P  138,265  +18,865

SEP20 1Y-MIDC    98.62 C   90,910     -849    98.62 P   38,798   +7,089

SEP21 2Y-MIDC    98.62 C   23,619     +289    98.62 P   22,660     UNCH

SEP21 2Y-MIDC    98.75 C   30,160     +545    98.75 P   10,325   +1,028

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   20,286   +1,575

SEP22 3Y-MIDC    98.62 C   11,382   +6,001    98.62 P   17,686  +11,168

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.86 (127,928 PUTS VS. 68,975 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.33 (194,245 PUTS VS. 145,516 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 4.42 (93,989 PUTS VS. 21,083 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 27.7 (111,637 PUTS VS. 4,737 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 2.86 (1,549 PUTS VS. 540 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 14.8 (3,053 PUTS VS. 205 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.82 (67,269 PUTS VS. 81,652 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.05 (32,204 PUTS VS. 583,669 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.04 (44,980 PUTS VS. 42,056 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.54 (1,850 PUTS VS. 3,350 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.06 (23,136 PUTS VS. 11,290 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

1445        78.19    83.49    77.19    74.63    66.50     65.75

1230        78.50    83.65    77.70    75.09    66.76     65.97

1045        78.55    83.70    77.75    75.12    66.81     66.05

0915        78.65    83.87    77.82    75.21    67.10     66.36

Thu Open    78.70    83.98    78.05    75.75    67.19     66.50

Wed 1500    79.58    84.35    78.42    76.34    67.27     66.86

Wed Open    82.73    86.72    80.43    77.43    67.62     67.21

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

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

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