US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 3

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1:30       7.37%  7.32%   3.41%  3.66%   2.02%  2.18%    N/A    15.82%

11:45      7.39%  7.57%   3.52%  3.74%   2.07%  2.44%    N/A    14.90%

10:30      7.55%  7.50%   3.53%  3.65%   2.05%  2.26%    N/A    15.57%

9:00       7.52%  7.62%   3.64%  3.81%   2.08%  2.29%   13.85%  16.20%

THU OPEN   7.56%  7.53%   3.58%  3.77%   2.08%  2.10%   14.71%  15.59%

WED 3:00   7.56%  8.04%   3.64%  3.84%   1.99%  2.25%   16.81%  14.20%

WED OPEN   8.20%  7.92%   3.81%  3.74%   2.20%  2.08%   16.89%  15.99%

TUE 3:00   8.16%  7.96%   3.81%  3.91%   2.19%  2.29%   15.97%  15.70%

TUE OPEN   7.94%  7.76%   3.75%  3.92%   2.14%  2.11%   16.05%  15.82%

MON 3:00   7.83%  7.78%   3.73%  3.81%   2.02%  2.34%   18.50%  15.35%

MON OPEN   7.89%  7.50%   3.79%  3.80%   2.07%  2.32%   15.32%  15.66%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  175,258     +181   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   32,502     -525   123.50 P   24,695     -31

SEP17 5Y NOTE   118.50 C   37,289   +1,747   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,311      -85   117.00 P   17,553    -917

AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH

SEP17 EURODLR    98.75 C  333,063   -1,919    98.37 P  750,865    UNCH

SEP18 1Y-MIDC    98.50 C  138,602     UNCH    98.12 P  273,537  +1,000

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

SEP20 3Y-MIDC    97.62 C   35,946     UNCH    97.50 P   48,787    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   58,399      -68   125.50 P   61,757    +665

SEP17 10Y NOTE  126.00 C   70,048   +2,675   126.00 P   52,313  +1,791

OCT17 10Y NOTE  125.50 C   13,888     +100   125.50 P   10,639    +229

OCT17 10Y NOTE  126.00 C   10,854   +1,300   126.00 P    7,655  +1,681

SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   15,837  +1,244

SEP17 5Y NOTE   118.00 C   20,410     +250   118.00 P   18,363  +1,135

OCT17 5Y NOTE   117.75 C    3,170     +288   117.75 P    6,626    +180

OCT17 5Y NOTE   118.00 C    1,782     +504   118.00 P    1,192    +620

AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    UNCH

AUG17 EURODLR    98.75 C   69,656     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  252,300     +150    98.62 P  244,869  +1,073

SEP17 EURODLR    98.75 C  333,063   -1,919    98.75 P  109,305    -100

SEP18 1Y-MIDC    98.37 C  121,184     +850    98.37 P   76,937    +500

SEP18 1Y-MIDC    98.50 C  138,602     UNCH    98.50 P   14,670    UNCH

SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P   97,602    UNCH

SEP19 2Y-MIDC    98.12 C  113,440   +2,875    98.12 P   62,135    +180

SEP20 3Y-MIDC    97.75 C   26,633     UNCH    97.75 P   29,911  +1,250

SEP20 3Y-MIDC    97.87 C   29,436   +1,942    97.87 P   26,579  +2,586

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.75 (45,570 PUTS VS. 60,571 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 1.00 (11,695 PUTS VS. 11,663 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 1.24 (20,772 PUTS VS. 16,624 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.94 (3,361 PUTS VS. 1,747 CALLS)

AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 3.57 (7,551 PUTS VS. 2,151 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 5.76 (7,500 PUTS VS. 1,288 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 4.65 (19,100 PUTS VS. 4,100 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.88 (7,250 PUTS VS. 2,500 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

1:30         38.78    55.17    55.17    60.37    73.62    79.10

11:45        38.84    56.43    55.64    60.72    73.74    79.12

10:30        39.04    56.63    55.63    60.72    73.76    79.16

9:00         39.04    56.66    55.59    60.67    73.82    79.19

Thu Open     39.00    57.04    55.53    60.65    73.89    79.19

Wed 3:00     39.22    57.08    54.89    60.44    73.95    78.84

Wed Open     39.02    58.06    54.92    60.44    74.02    79.24

Tue 3:00     38.71    59.44    55.61    60.96    73.76    79.30

Tue Open     38.93    58.99    55.59    60.67    74.17    79.42

Mon 3:00     39.01    57.93    55.56    60.60    73.93    78.94

Mon Open     39.01    57.85    55.63    60.67    74.30    79.56

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

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