US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 31

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

2:00       7.10%  7.83%   3.69%  4.07%   2.17%  2.40%   13.30%  16.30%

12:00      7.06%  7.85%   3.59%  4.01%   2.13%  2.39%   13.20%  16.65%

10:45      7.12%  7.90%   3.72%  4.08%   2.15%  2.42%   13.10%  17.10%

9:15       7.00%  7.84%   3.68%  4.04%   2.14%  2.38%   13.50%  16.45%

THU OPEN   6.92%  7.82%   3.62%  4.07%   2.14%  2.42%   12.80%  15.44%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.50 C  101,457   +6,604   125.00 P   64,691    -238

DEC17 10Y NOTE  129.00 C   89,309     -116   114.00 P   95,075    +891

OCT17 5Y NOTE   119.00 C   24,506   -2,582   116.00 P   26,464  +1,403

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

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

OCT17 EURODLR    98.62 C  129,154     UNCH    98.50 P  159,552  +1,900

SEP18 1Y-MIDC    98.37 C  111,401   +2,051    98.12 P  211,037  +1,028

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

SEP20 3Y-MIDC    98.00 C   43,811     -351    97.62 P   56,403    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  126.00 C   19,916     +322   126.00 P   50,175    +847

OCT17 10Y NOTE  126.50 C   42,327   +1,206   126.50 P   28,541    -465

DEC17 10Y NOTE  126.00 C   15,793       -6   126.00 P   36,405    +127

DEC17 10Y NOTE  126.50 C   12,236      +40   126.50 P   10,399    +223

OCT17 5Y NOTE   118.25 C   10,464     UNCH   118.25 P   10,552     +35

OCT17 5Y NOTE   118.50 C   13,914     -325   118.50 P    6,044     +25

DEC17 5Y NOTE   118.25 C    8,655     UNCH   118.25 P   15,371  +1,322

DEC17 5Y NOTE   118.50 C    4,402     +150   118.50 P    1,383    +379

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

SEP17 EURODLR    98.75 C  335,945     UNCH    98.75 P  107,387    UNCH

OCT17 EURODLR    98.50 C   36,742     UNCH    98.50 P  159,552  +1,900

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

SEP18 1Y-MIDC    98.37 C  111,401   +2,051    98.37 P   85,202 +17,295

SEP18 1Y-MIDC    98.50 C   94,109  -12,901    98.50 P   15,438    UNCH

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  109,186    +644

SEP19 2Y-MIDC    98.12 C  120,509     UNCH    98.12 P   84,850  +7,401

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

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   29,440  -1,225

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.70 (56,019 PUTS VS. 79,063 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 0.97 (26,378 PUTS VS. 27,253 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.54 (8,211 PUTS VS. 15,059 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 2.47 (15,623 PUTS VS. 6,354 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (1,166 PUTS VS. 0 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 0.00 (2,000 PUTS VS. 0 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.77 (28,180 PUTS VS. 15,808 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 7.10 (41,900 PUTS VS. 5,958 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 6.09 (6,700 PUTS VS. 1,150 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

2:00         39.11    59.08    56.52    62.94    74.54    79.30

12:00        39.00    59.79    56.60    62.98    74.52    79.30

10:45        39.10    59.80    56.79    63.28    74.49    79.35

9:15         39.10    59.90    56.79    63.36    74.53    79.35

Thu Open     38.99    59.96    56.81    63.37    74.49    79.05

Wed 3:00     39.06    60.03    56.69    63.30    74.52    79.00

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

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

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