US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 30

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

WED 3:00   7.16%  7.88%   3.76%  4.05%   2.23%  2.45%   13.33%  15.85%

1:45       7.07%  7.83%   3.66%  4.07%   2.20%  2.39%   13.08%  16.40%

12:15      7.08%  7.81%   3.72%  4.01%   2.20%  2.39%   13.50%  16.70%

10:45      7.03%  7.80%   3.67%  4.05%   2.22%  2.39%   13.25%  16.12%

9:00       7.24%  7.87%   3.70%  4.04%   2.16%  2.40%   13.28%  17.55%

WED OPEN   7.27%  7.88%   3.73%  4.44%   2.20%  2.37%   13.50%  18.15%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C   94,853  +16,116   125.00 P   64,929  -3,595

DEC17 10Y NOTE  129.00 C   89,425   +9,271   114.00 P   95,075    +891

OCT17 5Y NOTE   119.00 C   27,088     -731   115.25 P   26,311    UNCH

DEC17 5Y NOTE   118.25 C    8,655     UNCH   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  335,945     -841    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  129,154     +504    98.50 P  157,652  +2,000

SEP18 1Y-MIDC    98.37 C  109,350   -9,208    98.12 P  210,009  -6,324

SEP19 2Y-MIDC    98.75 C  136,631   +3,444    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    98.00 C   44,162     -100    97.62 P   56,403  +1,206

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.00 C   19,594      -48   126.00 P   49,328  +5,899

OCT17 10Y NOTE  126.50 C   41,121   -2,042   126.50 P   29,006  +3,009

DEC17 10Y NOTE  126.00 C   15,799     UNCH   126.00 P   36,278    +717

DEC17 10Y NOTE  126.50 C   12,196     +150   126.50 P   10,176  +2,896

OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   10,517    +965

OCT17 5Y NOTE   118.50 C   14,239     -330   118.50 P    6,019  +2,581

DEC17 5Y NOTE   118.25 C    8,655     UNCH   118.25 P   14,099    UNCH

DEC17 5Y NOTE   118.50 C    4,252     +400   118.50 P    1,004    +729

SEP17 EURODLR    98.62 C  255,245     UNCH    98.62 P  226,865    UNCH

SEP17 EURODLR    98.75 C  335,945     -841    98.75 P  107,387    +100

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  157,652  +2,000

OCT17 EURODLR    98.62 C  129,154     +504    98.62 P   30,213    UNCH

SEP18 1Y-MIDC    98.37 C  109,350   -9,208    98.37 P   64,907  +4,445

SEP18 1Y-MIDC    98.50 C  107,010   -3,809    98.50 P   15,438  +3,636

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  108,542  +5,703

SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   77,449  -6,362

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   39,159  -3,344

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   30,665  +4,669

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.72 (155,437 PUTS VS. 214,493 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.81 (47,313 PUTS VS. 57,961 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.93 (28,301 PUTS VS. 30,389 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 15.3 (81,451 PUTS VS. 5,264 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 1.81 (5,876 PUTS VS. 3,226 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 3.31 (2,500 PUTS VS. 754 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.95 (46,000 PUTS VS. 48,900 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.29 (14,350 PUTS VS. 48,300 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 3.11 (54,200 PUTS VS. 17,450 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

Wed 3:00     39.06    60.03    56.69    63.30    74.52    79.00

1:45         39.02    60.01    56.69    63.28    74.52    78.98

12:15        39.06    60.03    56.69    63.30    74.52    78.97

10:45        38.99    60.70    56.67    63.30    74.48    78.98

9:00         38.81    60.84    56.52    63.24    73.68    78.55

Wed Open     39.05    60.90    56.54    63.33    73.70    78.56

Tue 3:00     39.02    60.69    56.45    63.19    74.42    79.21

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$]