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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 28

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV
10:45      6.91%  7.88%   3.50%  4.00%   2.05%  2.30%   12.50%  15.77%
9:00       7.14%  7.94%   3.59%  4.04%   2.13%  2.38%   12.01%  15.99%
MON OPEN   7.21%  7.95%   3.64%  4.04%   2.20%  2.38%   10.07%  15.79%
FRI 3:00   7.22%   N/A    3.68%   N/A    2.21%   N/A    10.15%  16.10%
FRI OPEN   7.54%   N/A    3.88%   N/A    2.34%   N/A    10.91%  16.70%
THU 3:00   7.63%   N/A    3.85%   N/A    2.38%   N/A    11.22%  16.66%
THU OPEN   7.69%   N/A    3.99%   N/A    2.37%   N/A    10.25%  16.64%
WED 3:00   7.63%   N/A    3.88%   N/A    2.33%   N/A    11.79%  16.48%
WED OPEN   7.38%   N/A    3.87%   N/A    2.30%   N/A    11.38%  16.47%
TUE 3:00   7.44%   N/A    3.89%   N/A    2.26%   N/A    11.16%  16.10%
TUE OPEN   7.55%   N/A    3.95%   N/A    2.32%   N/A    12.69%  16.32%
LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  127.00 C   66,785   +8,652   125.00 P   62,978  +7,160
DEC17 10Y NOTE  129.00 C   72,743   +7,786   114.00 P   93,784    UNCH
OCT17 5Y NOTE   119.00 C   26,078     +741   115.25 P   26,311    UNCH
DEC17 5Y NOTE   118.25 C    9,286     -642   112.25 P  101,550    UNCH
SEP17 EURODLR    98.75 C  336,016   +1,216    98.37 P  746,921    UNCH
OCT17 EURODLR    98.62 C  128,650     UNCH    98.50 P  155,137  +1,050
SEP18 1Y-MIDC    98.37 C  118,708     -877    98.12 P  216,333  +1,950
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    98.00 C   43,762     +600    97.62 P   55,197    UNCH
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
OCT17 10Y NOTE  126.00 C   19,553     +451   126.00 P   41,798 +12,176
OCT17 10Y NOTE  126.50 C   44,424   +4,496   126.50 P   25,966  -1,133
DEC17 10Y NOTE  126.00 C   15,799     -103   126.00 P   35,561    -159
DEC17 10Y NOTE  126.50 C   11,426     -511   126.50 P    7,435    +105
OCT17 5Y NOTE   118.25 C    9,721   +1,000   118.25 P    9,048    -146
OCT17 5Y NOTE   118.50 C   14,212   +1,272   118.50 P    3,438    UNCH
DEC17 5Y NOTE   118.25 C    9,286     -642   118.25 P   14,099  +3,731
DEC17 5Y NOTE   118.50 C    3,356   +3,056   118.50 P       51    UNCH
SEP17 EURODLR    98.62 C  255,245     UNCH    98.62 P  227,865  -3,791
SEP17 EURODLR    98.75 C  336,016   +1,216    98.75 P  107,287    +100
OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  155,137  +1,050
OCT17 EURODLR    98.62 C  128,650     UNCH    98.62 P   30,213     -61
SEP18 1Y-MIDC    98.37 C  118,708     -877    98.37 P   63,713     -18
SEP18 1Y-MIDC    98.50 C  114,519   +3,623    98.50 P   11,802    UNCH
SEP19 2Y-MIDC    98.00 C   62,838   -2,160    98.00 P  102,839  +2,000
SEP19 2Y-MIDC    98.12 C  120,509   -4,964    98.12 P   81,461  +1,050
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   42,503  -3,154
SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,996    +500
PUT/CALL RATIO FOR VOLUME CLEARED:
OCT17 10Y NOTE PUT/CALL RATIO -- 1.44 (128,038 PUTS VS. 88,607 CALLS)
DEC17 10Y NOTE PUT/CALL RATIO -- 2.17 (49,844 PUTS VS. 22,952 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 3.83 (41,828 PUTS VS. 10,967 CALLS)
DEC17 5Y NOTE PUT/CALL RATIO  -- 5.47 (40,505 PUTS VS. 7,405 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 0.68 (31,928 PUTS VS. 46,918 CALLS)
OCT17 EURODLRS PUT/CALL RATIO -- 10.4 (2,600 PUTS VS. 250 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 2.75 (22,900 PUTS VS. 8,350 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.78 (5,000 PUTS VS. 6,450 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.26 (4,876 PUTS VS. 3,875 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
10:45        38.74    56.67    55.71    62.13    74.17    79.21
9:00         39.14    56.62    56.36    62.59    74.17    79.21
Mon Open     38.94    56.04    56.05    62.34    74.11    79.21
Fri 3:00     38.99    56.43    56.40    62.62    74.18    79.21
Fri Open     39.88    59.51    57.57    63.97    74.63    79.37
Thu 3:00     39.87    60.08    57.90    64.36    74.63    79.32
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
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]

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