US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 6

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1030       9.31%  8.79%   5.17%  4.93%   3.54%  3.28%   31.42%  26.80%

TUE OPEN   9.42%  8.79%   5.29%  4.92%   3.58%  3.33%   31.60%  27.25%

MON 1500   9.76%  8.29%   5.35%  5.08%   3.58%  3.39%   30.60%  27.85%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  136,069   -1,310   126.50 P  175,170   +1,463

OCT19 10Y NOTE  131.00 C   34,004  +17,204   128.00 P   42,179  +26,077

SEP19 5Y NOTE   118.00 C   49,555     -133   114.75 P  125,039     UNCH

OCT19 5Y NOTE   120.00 C   18,783      +32   118.50 P   40,702     +605

SEP19 2Y NOTE   108.25 C    9,476       +1   107.00 P   30,862     UNCH

OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.50 P    5,631     UNCH

AUG19 EURODLR    98.25 C  630,953  -15,915    97.87 P  246,983   -1,346

SEP19 EURODLR    98.25 C  542,321 -100,186    97.50 P  548,131     UNCH

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  209,060  +10,562

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  129.00 C  136,069   -1,310   129.00 P   17,632  +14,396

SEP19 10Y NOTE  129.50 C   62,798     -974   129.50 P    5,753   +5,348

OCT19 10Y NOTE  129.50 C    8,361   -2,063   129.50 P    3,381     +245

OCT19 10Y NOTE  130.00 C   24,935   +8,150   130.00 P   10,729  +10,353

SEP19 5Y NOTE   118.75 C   15,143     -151   118.75 P    1,877   +1,289

SEP19 5Y NOTE   119.00 C   44,581   -2,929   119.00 P    1,322     +713

OCT19 5Y NOTE   119.00 C    6,520      -22   119.00 P      912     +622

OCT19 5Y NOTE   119.25 C    2,443   +1,999   119.25 P    1,724   +1,689

SEP19 2Y NOTE   107.62 C    5,200      -91   107.62 P      976      -50

SEP19 2Y NOTE   107.75 C    6,839     -941   107.75 P      360     +159

OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.75 P      286       +5

OCT19 2Y NOTE   107.88 C       52     UNCH   107.88 P        0     UNCH

AUG19 EURODLR    98.00 C  166,729  -91,428    98.00 P   71,584     -175

AUG19 EURODLR    98.12 C  233,186  -30,681    98.12 P   17,300     UNCH

SEP19 EURODLR    98.00 C  401,791   -7,207    98.00 P  148,473  +86,007

SEP19 EURODLR    98.12 C  387,424     -448    98.12 P   11,004     UNCH

SEP20 1Y-MIDC    98.50 C  102,489   -4,931    98.50 P   63,555  +37,350

SEP20 1Y-MIDC    98.62 C   92,843   +6,586    98.62 P   12,712   +3,555

SEP21 2Y-MIDC    98.62 C   50,044   -1,757    98.62 P      500     UNCH

SEP21 2Y-MIDC    98.75 C   14,525     +250    98.75 P      250     UNCH

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P    6,817   +1,600

SEP22 3Y-MIDC    98.62 C    2,299     UNCH    98.62 P      300     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.33 (139,039 PUTS VS. 420,823 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.06 (141,753 PUTS VS. 132,591 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.48 (34,996 PUTS VS. 71,676 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 0.81 (35,979 PUTS VS. 43,261 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.76 (6,274 PUTS VS. 8,146 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 4.92 (3,011 PUTS VS. 611 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.01 (7,449 PUTS VS. 686,908 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.29 (360,335 PUTS VS. 279,506 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.23 (135,439 PUTS VS. 109,865 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.73 (11,050 PUTS VS. 15,415 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.13 (6,610 PUTS VS. 5,871 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

1030        83.65    73.29    77.57    69.77    65.74     67.71

Tue Open    88.93    76.78    81.51    74.11    66.66     68.81

Mon 1500    90.39    77.41    82.38    74.36    66.78     68.74

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

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

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