US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 27

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

1030      10.65%  9.69%   5.41%  4.97%   3.65%  3.29%   24.35%  43.87%

TUE OPEN  10.63%  9.65%   5.34%  4.93%   3.62%  3.27%   24.50%  43.17%

MON 1500  10.68%  9.63%   5.30%  4.93%   3.65%  3.27%   24.90%  49.65%

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  101,027   +2,250   129.00 P  137,109      -25

DEC19 10Y NOTE  134.00 C   42,503   +4,356   116.00 P   50,915   +3,306

OCT19 5Y NOTE   121.00 C   26,132   -2,415   119.00 P  104,227  +67,936

DEC19 5Y NOTE   120.50 C   16,950   +2,100   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     UNCH   104.75 P    4,046      +29

SEP19 EURODLR    98.25 C  560,661  +57,701    97.87 P  622,740  +22,106

OCT19 EURODLR    98.50 C  550,520  -47,000    97.87 P  158,609     UNCH

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

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   56,893   -2,249   131.50 P   23,726   +4,244

OCT19 10Y NOTE  132.00 C  101,027   +2,250   132.00 P    7,095     +857

DEC19 10Y NOTE  131.50 C   19,082     +718   131.50 P    9,641     +415

DEC19 10Y NOTE  132.00 C   13,811   +2,950   132.00 P    4,374   +2,977

OCT19 5Y NOTE   119.75 C   16,506     +260   119.75 P   12,516     -152

OCT19 5Y NOTE   120.00 C   23,530     +975   120.00 P    6,113   +1,548

DEC19 5Y NOTE   119.75 C   15,327     +128   119.75 P   15,441     UNCH

DEC19 5Y NOTE   120.00 C    9,817     +221   120.00 P    3,730     +287

OCT19 2Y NOTE   108.00 C    1,806     UNCH   108.00 P    2,245     +245

OCT19 2Y NOTE   108.12 C    1,078       -1   108.12 P      635       +1

DEC19 2Y NOTE   108.00 C    1,218       -5   108.00 P      164     UNCH

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

SEP19 EURODLR    98.00 C  384,063     +439    98.00 P  218,719   +4,850

SEP19 EURODLR    98.12 C  370,359  +33,592    98.12 P   20,255   +3,000

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  127,016   +5,511

OCT19 EURODLR    98.12 C   49,359   -1,004    98.12 P   56,975   +2,100

SEP20 1Y-MIDC    98.50 C   84,857     -377    98.50 P  146,968       +1

SEP20 1Y-MIDC    98.62 C   91,059     -626    98.62 P   44,924   +3,573

SEP21 2Y-MIDC    98.62 C   23,619     UNCH    98.62 P   27,251     -500

SEP21 2Y-MIDC    98.75 C   38,151   +1,000    98.75 P   16,325     +775

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   21,010   +2,324

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   -- 0.46 (87,958 PUTS VS. 189,052 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.25 (36,730 PUTS VS. 34,838 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.28 (206,004 PUTS VS. 12,448 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.89 (9,168 PUTS VS. 8,255 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 7.26 (2,745 PUTS VS. 406 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.72 (667 PUTS VS. 1,107 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.26 (40,224 PUTS VS. 276,130 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.12 (37,524 PUTS VS. 108,721 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.83 (30,142 PUTS VS. 12,863 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.36 (9,800 PUTS VS. 5,925 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.55 (20,537 PUTS VS. 1,602 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        84.26    88.63    81.36    79.33    67.51     65.84

Tue Open    84.04    89.08    81.93    79.62    67.41     65.91

Mon 1500    83.19    89.27    81.89    79.67    67.98     66.45

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$]