US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 29

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

TUE 3:00   7.35%  7.94%   3.69%  4.66%   2.19%  2.33%   12.75%  16.72%

1:30       7.64%  7.88%   3.47%  4.67%   2.31%  2.44%   13.00%  17.31%

12:45      7.53%  8.05%   3.58%  4.70%   2.28%  2.43%   13.95%  17.50%

11:30      7.53%  8.07%   3.77%  4.11%   2.27%  2.42%   12.98%  17.30%

10:45      7.49%  8.08%   3.77%  4.11%   2.25%  2.42%   12.97%  16.34%

9:30       7.49%  8.07%   3.82%  4.11%   2.29%  2.43%   12.96%  16.39%

TUE OPEN   7.82%  8.25%   3.94%  4.17%   2.31%  2.47%   12.90%  16.50%

MON 3:00   6.94%  7.92%   3.49%  4.00%   2.07%  2.36%   11.06%  16.89%

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   97,384  +30,599   125.00 P   68,524  +5,546

DEC17 10Y NOTE  129.00 C   80,154   +7,411   114.00 P   94,184    +400

OCT17 5Y NOTE   119.00 C   27,819   +1,741   115.25 P   26,311    UNCH

DEC17 5Y NOTE   118.25 C    8,705     -581   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  336,786     +770    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  128,650     UNCH    98.50 P  155,652    +515

SEP18 1Y-MIDC    98.37 C  118,558     -150    98.12 P  216,333    UNCH

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

SEP20 3Y-MIDC    98.00 C   44,262     +500    97.62 P   55,197    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.00 C   19,642      +89   126.00 P   43,429  +1,631

OCT17 10Y NOTE  126.50 C   43,163   -1,261   126.50 P   25,997     +31

DEC17 10Y NOTE  126.00 C   15,799     UNCH   126.00 P   35,561    UNCH

DEC17 10Y NOTE  126.50 C   12,046     +620   126.50 P    7,280    -155

OCT17 5Y NOTE   118.25 C   10,464     +743   118.25 P    9,552    +504

OCT17 5Y NOTE   118.50 C   14,569     +357   118.50 P    3,438    UNCH

DEC17 5Y NOTE   118.25 C    8,705     -581   118.25 P   14,099    UNCH

DEC17 5Y NOTE   118.50 C    3,852     +496   118.50 P      275    +224

SEP17 EURODLR    98.62 C  255,245     UNCH    98.62 P  226,865  -1,000

SEP17 EURODLR    98.75 C  336,786     +770    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  155,652    +515

OCT17 EURODLR    98.62 C  128,650     UNCH    98.62 P   30,213    UNCH

SEP18 1Y-MIDC    98.37 C  118,558     -150    98.37 P   63,462    -251

SEP18 1Y-MIDC    98.50 C  110,819   -3,700    98.50 P   11,802    UNCH

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  102,839    UNCH

SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   83,811  +2,350

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   42,503    UNCH

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   25,996    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.51 (73,299 PUTS VS. 142,267 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.46 (21,342 PUTS VS. 45,952 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 7.84 (45,533 PUTS VS. 5,856 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 8.06 (33,678 PUTS VS. 4,174 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 1.00 (1,000 PUTS VS. 1,000 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 3.8 (2,950 PUTS VS. 7,600 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.25 (1,801 PUTS VS. 7,100 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 1.00 (4,100 PUTS VS. 4,100 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.35 (1,900 PUTS VS. 1,404 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

Tue 3:00     39.02    60.69    56.45    63.19    74.42    79.21

1:30         38.98    60.70    56.27    63.20    74.40    79.21   

12:45        39.02    60.80    56.31    63.24    74.40    79.21

11:30        39.02    61.04    56.38    63.34    74.36    79.20

10:45        39.04    61.13    56.61    63.60    74.27    79.18

9:30         39.11    59.90    56.81    63.52    74.22    79.18

Tue Open     38.96    58.74    56.09    62.70    74.25    79.18

Mon 3:00     38.71    56.67    55.38    61.90    74.18    79.20

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

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

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