US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 26

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

1030      11.11%  9.82%   5.53%  5.01%   3.80%  3.34%   25.90%  51.52%

MON OPEN   9.88%  9.77%   5.49%  5.00%   3.65%  3.27%   24.77%  50.45%

FRI 1500   9.88%   N/A    4.91%   N/A    3.20%   N/A    22.42%  48.33%

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

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

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

WED 1500  10.40%   N/A    5.10%   N/A    3.43%   N/A    25.70%  46.45%

WED OPEN  10.84%   N/A    5.20%   N/A    3.49%   N/A    27.30%  44.90%

TUE 1500  10.75%   N/A    5.34%   N/A    3.49%   N/A    27.18%  43.75%

TUE OPEN  10.63%   N/A    5.47%   N/A    3.55%   N/A    27.60%  45.65%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   98,777   +3,018   129.00 P  137,164   -1,567

DEC19 10Y NOTE  129.00 C  137,134  +10,560   115.00 P   48,570     UNCH

OCT19 5Y NOTE   121.00 C   28,547   +3,229   116.25 P   58,010     UNCH

DEC19 5Y NOTE   119.75 C   15,199     UNCH   109.00 P   48,252     UNCH

OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.50 P   31,671     UNCH

DEC19 2Y NOTE   111.37 C    5,753   +5,753   104.75 P    4,017   +4,017

SEP19 EURODLR    98.25 C  504,145  +31,397    97.87 P  603,134   +9,681

OCT19 EURODLR    98.50 C  597,520  +16,263    97.87 P  158,609     +489

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  225,256   -7,250

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

OCT19 10Y NOTE  131.50 C   59,142  -40,904   131.50 P   19,482   +5,962

OCT19 10Y NOTE  132.00 C   98,777   +3,018   132.00 P    6,238   +1,516

DEC19 10Y NOTE  131.50 C   18,364   +3,253   131.50 P    9,226     -883

DEC19 10Y NOTE  132.00 C   10,861     -179   132.00 P    1,397      -55

OCT19 5Y NOTE   119.75 C   16,246     +797   119.75 P   12,668   +2,524

OCT19 5Y NOTE   120.00 C   22,555      +51   120.00 P    4,565   +3,105

DEC19 5Y NOTE   119.75 C   15,199     UNCH   119.75 P   15,441     UNCH

DEC19 5Y NOTE   120.00 C    9,596   -5,180   120.00 P    3,443     UNCH

OCT19 2Y NOTE   108.00 C    1,806       +3   108.00 P    2,000      +20

OCT19 2Y NOTE   108.12 C    1,079     +197   108.12 P      634     +190

DEC19 2Y NOTE   108.00 C    1,223       +4   108.00 P      164      +40

DEC19 2Y NOTE   108.12 C      660      +50   108.12 P      577     UNCH

SEP19 EURODLR    98.00 C  383,624   -8,814    98.00 P  213,869     +836

SEP19 EURODLR    98.12 C  336,767   +9,761    98.12 P   17,255   +1,235

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  121,505   +2,318

OCT19 EURODLR    98.12 C   50,363      -95    98.12 P   54,875     +250

SEP20 1Y-MIDC    98.50 C   85,734     -750    98.50 P  146,967   +1,000

SEP20 1Y-MIDC    98.62 C   91,685      -75    98.62 P   41,353     -640

SEP21 2Y-MIDC    98.62 C   23,619     UNCH    98.62 P   27,751     +791

SEP21 2Y-MIDC    98.75 C   37,151      +50    98.75 P   15,550   -1,375

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   18,686   -1,500

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

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.32 (158,931 PUTS VS. 483,349 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.25 (80,483 PUTS VS. 64,709 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.28 (96,128 PUTS VS. 42,453 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.89 (34,652 PUTS VS. 38,248 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 7.26 (13,859 PUTS VS. 1,926 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.72 (4,230 PUTS VS. 5,885 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.26 (74,626 PUTS VS. 281,260 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.12 (24,644 PUTS VS. 189,277 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.83 (68,203 PUTS VS. 37,207 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (29,852 PUTS VS. 21,980 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (8,093 PUTS VS. 14,438 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

1030        83.01    88.58    81.67    79.11    67.79     66.30

Mon Open    82.88    87.27    81.55    78.97    67.77     66.28

Fri 1500    82.43    86.79    81.16    78.59    67.76     66.27

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

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

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