US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 5

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1315       9.75%  8.78%   5.35%  5.03%   3.61%  3.43%   30.05%  28.73%

1145       9.75%  8.70%   5.40%  5.02%   3.60%  3.41%   29.60%  27.65%

1000       10.01% 8.80%   5.49%  5.05%   3.67%  3.45%   29.40%  27.57%

MON OPEN   9.80%  8.64%   5.39%  5.01%   3.60%  3.42%   27.85%  26.05%

MON OPEN   7.93%  7.78%   4.32%  4.45%   2.95%  3.04%   24.11%  22.40%

FRI 1500   7.93%  7.78%   4.32%  4.45%   2.95%  3.04%   24.11%  22.40%

FRI OPEN   7.79%  8.00%   4.50%  4.35%   3.01%  3.10%   28.00%  21.70%

THU 1500   7.68%  7.75%   4.30%  4.35%   2.91%  3.00%   27.01%  21.05%

THU OPEN   6.68%  6.70%   3.77%  3.91%   2.67%  2.65%   20.10%  19.25%

MON 1500   6.71%  6.71%   3.91%  3.98%   2.77%  2.73%   25.79%  21.58%

MON OPEN   6.58%   N/A    3.82%   N/A    2.67%   N/A    22.06%  21.16%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  137,379   -3,799   126.50 P  173,707     -364

OCT19 10Y NOTE  128.00 C   24,472       +3   125.00 P   26,112       +1

SEP19 5Y NOTE   118.00 C   49,688      +19   114.75 P  125,039     -105

OCT19 5Y NOTE   120.00 C   18,751     UNCH   118.50 P   40,097  +40,094

SEP19 2Y NOTE   107.50 C    9,802     -136   107.00 P   30,862     +100

OCT19 2Y NOTE   107.75 C    2,618     +133   107.50 P    5,631      +10

AUG19 EURODLR    98.25 C  646,868   +1,802    97.87 P  248,329   +3,934

SEP19 EURODLR    98.25 C  642,507  -49,550    97.50 P  548,131     +262

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  198,498 +118,053

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  125,432     UNCH    98.00 P   52,167     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  127.00 C   47,187     -391   127.00 P   78,024   -3,203

SEP19 10Y NOTE  127.50 C   42,347     -471   127.50 P   50,106     +495

OCT19 10Y NOTE  127.50 C    4,536      +48   127.50 P   13,581   +3,625

OCT19 10Y NOTE  128.00 C   24,472       +3   128.00 P   16,091   +7,463

SEP19 5Y NOTE   117.50 C   22,144     -239   117.50 P   93,948   +3,511

SEP19 5Y NOTE   117.75 C   34,337   -1,203   117.75 P   51,626   +4,227

OCT19 5Y NOTE   117.75 C    7,247   +6,949   117.75 P      882     +201

OCT19 5Y NOTE   118.00 C    8,029      -15   118.00 P   18,743  +10,722

SEP19 2Y NOTE   107.25 C    5,738       -1   107.25 P    9,728     +840

SEP19 2Y NOTE   107.38 C    9,829       -1   107.38 P    8,711     -638

OCT19 2Y NOTE   107.38 C      162     UNCH   107.38 P      669     +167

OCT19 2Y NOTE   107.50 C      400     UNCH   107.50 P    5,631      +10

AUG19 EURODLR    97.87 C  238,164  -70,126    97.87 P  248,329   +3,934

AUG19 EURODLR    98.00 C  258,157  -41,051    98.00 P   71,759   +1,850

SEP19 EURODLR    97.87 C  499,661     -579    97.87 P  245,797     -937

SEP19 EURODLR    98.00 C  408,998     +834    98.00 P   62,466      +25

SEP20 1Y-MIDC    98.25 C   89,183     -750    98.25 P  198,498 +118,053

SEP20 1Y-MIDC    98.37 C   87,430   -1,296    98.37 P   84,218  +34,731

SEP21 2Y-MIDC    98.25 C   41,783     UNCH    98.25 P   21,291   -2,000

SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   19,316     UNCH

SEP22 3Y-MIDC    98.25 C   73,890     UNCH    98.25 P   16,551     -125

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.55 (180,006 PUTS VS. 323,666 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.42 (74,857 PUTS VS. 52,545 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 2.14 (122,041 PUTS VS. 57,871 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 4.35 (87,612 PUTS VS. 20,948 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.87 (9,220 PUTS VS. 10,501 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 1.08 (2,673 PUTS VS. 2,445 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.06 (45,089 PUTS VS. 669,350 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.24 (77,533 PUTS VS. 315,544 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 5.83 (356,675 PUTS VS. 61,524 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.15 (14,878 PUTS VS. 12,890 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (125 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

1315        88.70    76.11    80.42    73.02    66.51     68.52

1145        85.98    75.55    79.96    72.25    66.42     68.35

1000        77.38    74.41    77.99    70.88    64.72     67.25

Mon Open    75.48    67.52    72.48    67.43    64.29     66.06

Fri 1500    73.80    63.80    69.72    64.29    63.05     65.22

Fri Open    72.43    62.87    67.89    62.57    63.38     65.58

Thu 1500    69.51    60.12    66.35    59.92    61.76     63.96

Thu Open    64.11    57.25    62.98    57.99    61.47     63.81

Mon 1500    65.54    58.54    63.14    58.45    61.65     63.96

Mon Open    67.21    59.81    64.45    59.21    62.14     64.68

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

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