US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 4

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

10:45      7.20%  7.56%   3.42%  3.79%   1.88%  2.27%    N/A    15.61%

9:00       7.12%  7.33%   3.41%  3.75%   1.87%  2.23%    N/A    16.34%

FRI OPEN   7.18%  7.74%   3.46%  3.69%   2.01%  2.24%    N/A    15.72%

THU 3:00   7.47%  7.66%   3.47%  3.75%   2.11%  2.31%    N/A    15.60%

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  176,210     +952   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   32,159     -343   123.50 P   24,816    +121

SEP17 5Y NOTE   118.50 C   36,888     -256   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,311     UNCH   117.00 P   17,536      +3

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

SEP17 EURODLR    98.75 C  332,663     -400    98.37 P  750,865    UNCH

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

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

SEP20 3Y-MIDC    97.62 C   43,118   +8,112    97.50 P   48,787    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   57,373   -1,026   125.50 P   60,758    -999

SEP17 10Y NOTE  126.00 C   68,794   -1,254   126.00 P   51,842    -471

OCT17 10Y NOTE  125.50 C   14,122     +234   125.50 P   10,726     +87

OCT17 10Y NOTE  126.00 C   10,468     -386   126.00 P    7,395    -260

SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   15,861     +24

SEP17 5Y NOTE   118.00 C   20,385      -25   118.00 P   22,415  +4,052

OCT17 5Y NOTE   117.75 C    3,143      -27   117.75 P    6,626    UNCH

OCT17 5Y NOTE   118.00 C    1,782     UNCH   118.00 P    1,192    UNCH

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  252,350      +50    98.62 P  236,371  -8,489

SEP17 EURODLR    98.75 C  332,663     -400    98.75 P  107,287  -2,018

SEP18 1Y-MIDC    98.37 C  122,798   +1,614    98.37 P   77,237    +300

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   93,301  -4,301

SEP19 2Y-MIDC    98.12 C  119,428   +5,988    98.12 P   61,847    -288

SEP20 3Y-MIDC    97.75 C   27,133     +500    97.75 P   29,911    UNCH

SEP20 3Y-MIDC    97.87 C   25,791   -3,645    97.87 P   27,085    +506

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.87 (155,887 PUTS VS. 179,042 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 1.34 (13,736 PUTS VS. 10,239 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 1.90 (46,245 PUTS VS. 24,309 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.22 (204 PUTS VS. 933 CALLS)

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

SEP17 EURODLRS PUT/CALL RATIO -- 5.39 (39,400 PUTS VS. 7,350 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.86 (13,000 PUTS VS. 15,000 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.54 (13,450 PUTS VS. 24,450 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.66 (11,750 PUTS VS. 17,750 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

10:45        38.66    54.33    54.69    59.88    73.37    78.91

9:00         38.52    54.51    54.62    59.82    73.40    78.94

Fri Open     38.52    54.41    54.53    59.72    73.41    78.90

Thu 3:00     38.67    54.77    54.75    59.98    73.48    79.08

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$]