US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 24

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

            USU    USV     TYU    TYV     FVU    FVV     EDU     EDV

THU 3:00    N/A   7.63%    N/A   3.85%    N/A   2.38%   11.22%  16.66%

1:45        N/A   7.62%    N/A   3.96%    N/A   2.35%   11.25%  15.93%

12:00       N/A   7.61%    N/A   3.89%    N/A   2.32%   11.19%  15.91%

10:45       N/A   7.60%    N/A   3.95%    N/A   2.35%   11.16%  15.90%

9:00        N/A   7.60%    N/A   4.00%    N/A   2.31%   10.30%  15.89%

THU OPEN    N/A   7.69%    N/A   3.99%    N/A   2.37%   10.25%  16.64%

WED 3:00   9.76%  7.63%   5.48%  3.88%   3.15%  2.33%   11.79%  16.48%

WED OPEN   9.07%  7.38%   4.76%  3.87%   2.84%  2.30%   11.38%  16.47%

TUE 3:00   8.94%  7.44%   4.39%  3.89%   2.72%  2.26%   11.16%  16.10%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  128.00 C  126,924     +184   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.00 C   56,873   -1,110   125.00 P   53,806  +2,104

SEP17 5Y NOTE   118.25 C   35,962     +125   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.75 C   17,643      +75   117.00 P   22,170     +20

SEP17 EURODLR    98.75 C  337,939     -300    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  128,650      +50    98.50 P  153,487    +207

SEP18 1Y-MIDC    98.37 C  123,060   +2,204    98.12 P  214,008 -16,426

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

SEP20 3Y-MIDC    98.00 C   44,162     -800    97.62 P   54,397    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  126.00 C   63,552     -500   126.00 P   54,947  -3,111

SEP17 10Y NOTE  126.50 C   67,161      -27   126.50 P   45,085  +3,209

OCT17 10Y NOTE  126.00 C   19,039   -1,010   126.00 P   22,324    +200

OCT17 10Y NOTE  126.50 C   37,472   +2,205   126.50 P   24,591  +3,048

SEP17 5Y NOTE   118.25 C   35,962     +125   118.25 P   20,176    -254

SEP17 5Y NOTE   118.50 C   22,265   -3,546   118.50 P   21,852 +12,370

OCT17 5Y NOTE   118.25 C    9,901   +2,326   118.25 P   10,036  +3,726

OCT17 5Y NOTE   118.50 C   12,927   -1,329   118.50 P    3,438      +6

SEP17 EURODLR    98.62 C  257,245   +1,000    98.62 P  229,965     -69

SEP17 EURODLR    98.75 C  337,939     -300    98.75 P  107,187    UNCH

OCT17 EURODLR    98.50 C   36,745     UNCH    98.50 P  153,487    +207

OCT17 EURODLR    98.62 C  128,650      +50    98.62 P   30,274    UNCH

SEP18 1Y-MIDC    98.37 C  123,060   +2,204    98.37 P   69,895  +1,440

SEP18 1Y-MIDC    98.50 C  113,346     +405    98.50 P   11,802     -86

SEP19 2Y-MIDC    98.00 C   64,998     UNCH    98.00 P   98,131  +3,650

SEP19 2Y-MIDC    98.12 C  125,473   -1,751    98.12 P   75,781    +317

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   37,957    UNCH

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

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 1.69 (67,939 PUTS VS. 114,447 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.55 (37,191 PUTS VS. 61,118 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.77 (26,448 PUTS VS. 26,470 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 2.06 (12,596 PUTS VS. 19,777 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.38 (2,300 PUTS VS. 7,300 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (2,593 PUTS VS. 50 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 8.68 (34,250 PUTS VS. 15,500 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.90 (4,700 PUTS VS. 9,200 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (2,000 PUTS VS. 11,550 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

Thu 3:00     39.87    60.08    57.90    64.36    74.63    79.32

1:45         39.83    59.67    57.50    63.76    74.61    79.23

12:00        39.91    59.69    57.30    63.53    74.24    79.20

10:45        39.91    59.69    57.30    63.53    73.70    78.40

9:00         39.75    59.42    57.02    63.34    74.44    79.19

Thu Open     39.79    59.46    57.26    63.65    74.44    79.23

Wed 3:00     39.39    58.03    56.01    62.49    74.27    79.22

Wed Open     39.03    57.93    55.76    62.08    73.93    78.77

Tue 3:00     39.11    60.45    55.86    62.23    73.93    79.22

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

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

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