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    FVZ     EDU     EDV

0930      11.15%  10.14%  5.44%  5.06%   3.64%  3.29%   24.26%  44.27%

WED OPEN  11.57%  10.09%  5.53%  5.06%   3.66%  3.29%   24.70%  44.95%

TUE 1500  10.80%  9.74%   5.29%  4.93%   3.57%  3.26%   24.25%  43.40%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   98,963   -2,064   129.00 P  116,286  -20,823

DEC19 10Y NOTE  134.00 C   39,572     +869   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   26,349     +217   119.00 P  103,918     -309

DEC19 5Y NOTE   132.00 C   20,511   +8,919   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.50 C    3,285   +2,733   107.50 P   31,671     UNCH

DEC19 2Y NOTE   111.37 C    5,753     UNCH   104.75 P    4,207     +161

SEP19 EURODLR    98.25 C  559,161   -1,500    97.87 P  624,100   +1,360

OCT19 EURODLR    98.50 C  548,073   -2,447    97.87 P  160,459   +1,850

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  224,506     -750

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   57,759     +886   131.50 P   34,438  +10,712

OCT19 10Y NOTE  132.00 C   98,963   -2,064   132.00 P   10,382   +3,287

DEC19 10Y NOTE  131.50 C   19,239     +157   131.50 P   10,028     +387

DEC19 10Y NOTE  132.00 C   15,618   +1,807   132.00 P    5,897   +1,523

OCT19 5Y NOTE   119.75 C   16,503       -3   119.75 P   12,366     -150

OCT19 5Y NOTE   120.00 C   25,547   +1,017   120.00 P    8,834   +2,721

DEC19 5Y NOTE   119.75 C   15,327     UNCH   119.75 P   15,439       -2

DEC19 5Y NOTE   120.00 C   10,114     +297   120.00 P    4,564     +834

OCT19 2Y NOTE   108.00 C    1,756      -50   108.00 P    2,238       -7

OCT19 2Y NOTE   108.12 C    1,028      -50   108.12 P      635     UNCH

DEC19 2Y NOTE   108.00 C    1,614     +396   108.00 P      594     +430

DEC19 2Y NOTE   108.12 C      854     +194   108.12 P      577     UNCH

SEP19 EURODLR    98.00 C  380,250   -3,813    98.00 P  218,919     +200

SEP19 EURODLR    98.12 C  359,460  -10,899    98.12 P   20,255     UNCH

OCT19 EURODLR    98.00 C  109,842     UNCH    98.00 P  127,091      +75

OCT19 EURODLR    98.12 C   47,359   -2,000    98.12 P   58,143   +1,168

SEP20 1Y-MIDC    98.50 C   84,457     -400    98.50 P  146,087     -881

SEP20 1Y-MIDC    98.62 C   91,809     +750    98.62 P   45,006      +82

SEP21 2Y-MIDC    98.62 C   23,619     UNCH    98.62 P   23,751   -3,500

SEP21 2Y-MIDC    98.75 C   37,201     -950    98.75 P   13,475   -2,850

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

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   -- 0.85 (149,287 PUTS VS. 174,417 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.96 (28,389 PUTS VS. 29,245 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.71 (17,359 PUTS VS. 10,117 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.41 (20,712 PUTS VS. 14,681 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 1.78 (6,657 PUTS VS. 3,790 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 12.3 (9,132 PUTS VS. 737 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.19 (13,642 PUTS VS. 70,760 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.23 (21,720 PUTS VS. 92,514 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.65 (15,948 PUTS VS. 9,675 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.43 (9,200 PUTS VS. 6,484 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.53 (2,304 PUTS VS. 1,515 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

0930        83.77    87.94    82.80    80.60    69.09     66.75

Wed Open    83.63    87.64    82.45    80.12    68.92     66.59

Tue 1500    84.05    90.32    82.72    80.38    68.46     66.30

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

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

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