US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 23

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

1345        N/A   10.30%   N/A   5.19%    N/A   3.41%   22.40%  48.35%

1045        N/A   10.12%   N/A   5.08%    N/A   3.25%   19.10%  42.20%

FRI OPEN    N/A   10.39%   N/A   5.24%    N/A   3.40%   18.65%  43.01%

THU 1500    N/A   10.21%   N/A   5.10%    N/A   3.21%   23.65%  42.69%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  114,066       +1   126.50 P  173,383     -218

OCT19 10Y NOTE  131.50 C  100,046  +54,319   129.00 P  138,701   +3,138

SEP19 5Y NOTE   118.00 C   43,246      +10   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   25,318     +645   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    2,618       +1   107.50 P   31,671   +1,205

SEP19 EURODLR    97.87 C  480,850     -700    97.50 P  550,008     UNCH

OCT19 EURODLR    98.50 C  581,257       +3    97.87 P  158,120     +879

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  232,506   +1,000

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   83,300     -501   130.00 P   55,538   +2,130

SEP19 10Y NOTE  130.50 C   26,024   -3,848   130.50 P   17,545   -1,991

OCT19 10Y NOTE  131.00 C   48,663     -143   131.00 P   24,450     +996

OCT19 10Y NOTE  131.50 C  100,046  +54,319   131.50 P   13,520     -150

SEP19 5Y NOTE   119.00 C   30,757   -1,115   119.00 P   43,188   -2,977

SEP19 5Y NOTE   119.25 C   21,875   -6,199   119.25 P   12,844   -4,672

OCT19 5Y NOTE   119.50 C    3,968      +74   119.50 P   12,360     +753

OCT19 5Y NOTE   119.75 C   15,449   +3,149   119.75 P   10,144     -326

SEP19 2Y NOTE   107.62 C    4,563     -563   107.62 P    2,871      -17

SEP19 2Y NOTE   107.75 C    2,142   -1,399   107.75 P    1,982     -352

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    1,980     +150

SEP19 EURODLR    98.00 C  392,438   -3,887    98.00 P  213,033   -4,614

SEP19 EURODLR    98.12 C  327,006   +1,350    98.12 P   16,020     +500

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  119,187   +2,312

OCT19 EURODLR    98.12 C   50,458       +1    98.12 P   54,625   +3,622

SEP20 1Y-MIDC    98.50 C   85,984   -1,125    98.50 P  145,967   +7,702

SEP20 1Y-MIDC    98.62 C   91,760     +850    98.62 P   41,991   +3,193

SEP21 2Y-MIDC    98.62 C   23,619     UNCH    98.62 P   26,960   +4,300

SEP21 2Y-MIDC    98.75 C   37,104   +6,941    98.75 P   16,925   +6,600

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   20,186     -100

SEP22 3Y-MIDC    98.62 C   11,382     UNCH    98.62 P   17,686     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.82 (154,521 PUTS VS. 187,344 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.36 (77,932 PUTS VS. 213,441 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.35 (76,446 PUTS VS. 56,230 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 27.7 (45,159 PUTS VS. 10,980 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 1.10 (4,540 PUTS VS. 4,110 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 55.0 (12,888 PUTS VS. 234 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.46 (97,734 PUTS VS. 66,042 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.05 (11,590 PUTS VS. 212,120 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.87 (60,156 PUTS VS. 32,839 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.85 (12,100 PUTS VS. 14,700 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 31.0 (100 PUTS VS. 3,100 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        82.16    86.63    81.03    78.46    67.56     66.21

1045        76.87    83.40    77.07    74.37    66.52     65.31

Fri Open    76.57    81.18    75.21    73.35    65.95     65.32

Fri Open    77.46    83.10    76.90    74.38    65.78     65.70

Thu 1500    77.46    83.10    76.90    74.38    65.78     65.70

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

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

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