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    FVZ     EDU     EDV

1345      10.20%  9.75%   5.03%  4.85%   3.35%  3.16%   23.78%  39.62%

1215      10.16%  9.72%   5.04%  4.84%   3.37%  3.18%   23.50%  39.50%

1000      10.30%  9.72%   5.10%  4.87%   3.38%  3.14%   22.30%  39.50%

FRI OPEN  10.10%  9.63%   4.97%  4.81%   3.30%  3.12%   20.86%  39.28%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   95,851     -447   129.00 P  115,565      +48

DEC19 10Y NOTE  134.00 C   40,346      -13   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   27,223     -534   119.00 P  102,905     -842

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

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

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

SEP19 EURODLR    98.25 C  557,161     UNCH    98.00 P  137,422   +9,061

OCT19 EURODLR    98.50 C  568,520   +9,250    97.87 P  160,659     +200

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  209,006   -8,000

SEP21 2Y-MIDC    98.12 C   96,698     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   56,842      -48   131.50 P   37,240   +1,543

OCT19 10Y NOTE  132.00 C   95,851     -447   132.00 P   14,374     +890

DEC19 10Y NOTE  131.50 C   18,278     +284   131.50 P   11,105   +1,086

DEC19 10Y NOTE  132.00 C   23,066     +113   132.00 P    9,614     -243

OCT19 5Y NOTE   119.75 C   16,484      +34   119.75 P   12,747     +381

OCT19 5Y NOTE   120.00 C   22,079   -2,127   120.00 P    8,811     -192

DEC19 5Y NOTE   119.75 C   15,855     +285   119.75 P   15,658      +90

DEC19 5Y NOTE   120.00 C   11,752     +234   120.00 P    6,406     +642

OCT19 2Y NOTE   108.00 C    1,756     UNCH   108.00 P    2,243       +5

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

DEC19 2Y NOTE   108.00 C    1,611       -1   108.00 P      594     UNCH

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

SEP19 EURODLR    98.00 C  366,216     -290    98.00 P  212,058     -251

SEP19 EURODLR    98.12 C  337,372   -5,315    98.12 P   20,255     UNCH

OCT19 EURODLR    98.00 C  110,092   +2,250    98.00 P  137,422   +9,061

OCT19 EURODLR    98.12 C   44,416   -1,968    98.12 P   59,193     +300

SEP20 1Y-MIDC    98.50 C   82,125   -2,332    98.50 P  162,366       +3

SEP20 1Y-MIDC    98.62 C   91,215     +556    98.62 P   49,660   +1,874

SEP21 2Y-MIDC    98.62 C   22,946     -243    98.62 P   26,851     UNCH

SEP21 2Y-MIDC    98.75 C   31,249     -610    98.75 P   17,100     UNCH

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     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.62 (91,353 PUTS VS. 145,981 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 2.25 (26,141 PUTS VS. 11,679 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.41 (31,058 PUTS VS. 22,458 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 5.12 (4,549 PUTS VS. 3,277 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 672.0 (2,018 PUTS VS. 3 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 4.46 (174 PUTS VS. 39 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.22 (17,531 PUTS VS. 78,524 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.60 (90,714 PUTS VS. 149,148 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.84 (17,369 PUTS VS. 20,478 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (250 PUTS VS. 16,550 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

1345        81.57    85.52    80.68    80.35    69.80     67.23

1215        81.46    85.54    80.73    80.37    69.82     67.01

1000        81.22    85.42    80.43    79.82    69.40     66.74

Fri Open    82.25    85.64    80.54    79.86    69.38     66.69

Thu 1500    82.83    86.48    82.26    80.23    69.38     66.73

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

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

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