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    FVZ     EDU     EDV

THU 1500  10.48%  9.76%   5.13%  4.91%   3.40%  3.22%   21.10%  40.10%

1215      10.55%  9.77%   5.10%  4.93%   3.40%  3.19%   21.16%  40.12%

THU OPEN  10.56%  9.81%   5.12%  4.95%   3.37%  3.20%   22.25%  43.40%

WED 1500  11.22%  10.03%  5.30%  4.98%   3.51%  3.24%   23.39%  43.90%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   96,298   -2,665   129.00 P  115,517     -769

DEC19 10Y NOTE  134.00 C   40,359     +787   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   27,757   +1,408   119.00 P  103,747     -171

DEC19 5Y NOTE   120.50 C   20,900   +1,850   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.50 C    3,285     UNCH   107.50 P   31,668       -3

DEC19 2Y NOTE   111.37 C    5,753     UNCH   105.75 P    5,400   +1,250

SEP19 EURODLR    98.25 C  559,161     UNCH    97.87 P  633,643   +9,543

OCT19 EURODLR    98.50 C  559,270  +11,250    97.87 P  160,659     +200

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  217,006   -7,500

SEP21 2Y-MIDC    98.12 C   96,698     -102    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   56,890     -869   131.50 P   35,697   +1,259

OCT19 10Y NOTE  132.00 C   96,298   -2,665   132.00 P   13,484   +3,102

DEC19 10Y NOTE  131.50 C   17,994   -1,245   131.50 P   10,019       -9

DEC19 10Y NOTE  132.00 C   22,953   +7,335   132.00 P    9,857   +3,960

OCT19 5Y NOTE   119.75 C   16,450      -53   119.75 P   12,366     UNCH

OCT19 5Y NOTE   120.00 C   24,206     -341   120.00 P    9,003     +169

DEC19 5Y NOTE   119.75 C   15,570     +243   119.75 P   15,568     +129

DEC19 5Y NOTE   120.00 C   11,518   +1,404   120.00 P    5,764   +1,200

OCT19 2Y NOTE   108.00 C    1,756     UNCH   108.00 P    2,238     UNCH

OCT19 2Y NOTE   108.12 C    1,028     UNCH   108.12 P      605      -30

DEC19 2Y NOTE   108.00 C    1,612     UNCH   108.00 P      594     UNCH

DEC19 2Y NOTE   108.12 C      855       +1   108.12 P      577     UNCH

SEP19 EURODLR    98.00 C  366,506  -13,744    98.00 P  212,309   -6,610

SEP19 EURODLR    98.12 C  342,687  -16,773    98.12 P   20,255     UNCH

OCT19 EURODLR    98.00 C  108,842   -1,000    98.00 P  128,361   +1,270

OCT19 EURODLR    98.12 C   46,384     -975    98.12 P   58,893     +750

SEP20 1Y-MIDC    98.50 C   84,457     UNCH    98.50 P  162,363  +16,276

SEP20 1Y-MIDC    98.62 C   90,659   -1,150    98.62 P   47,786   +2,780

SEP21 2Y-MIDC    98.62 C   23,189     -430    98.62 P   26,851   +3,100

SEP21 2Y-MIDC    98.75 C   31,859   -5,342    98.75 P   17,100   +3,625

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

SEP22 3Y-MIDC    98.62 C   11,400      +18    98.62 P   15,511   -2,175

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.34 (83,351 PUTS VS. 62,082 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.90 (34,716 PUTS VS. 38,419 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.52 (11,315 PUTS VS. 7,439 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 5.12 (44,112 PUTS VS. 8,673 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 16.2 (1,055 PUTS VS. 65 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 4.08 (4,990 PUTS VS. 1,217 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.63 (58,380 PUTS VS. 91,894 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.21 (29,301 PUTS VS. 135,604 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 15.7 (51,204 PUTS VS. 3,250 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.44 (10,750 PUTS VS. 23,875 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.64 (4,660 PUTS VS. 2,810 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

Thu 1500    82.83    86.48    82.26    80.23    69.38     66.73

1215        82.96    86.61    83.07    80.57    69.43     66.84

Thu Open    84.43    88.75    83.22    81.64    69.92     67.39

Wed 1500    83.90    88.46    82.67    81.03    69.66     66.86

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

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

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