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US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 7

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU
1:45       7.33%  7.47%   3.58%  3.74%   1.85%  2.28%    N/A    13.60%
12:30      7.36%  7.45%   3.50%  3.75%   1.96%  2.24%    N/A    13.30%
9:45       7.53%  7.42%   3.61%  3.63%   1.96%  2.20%    N/A    12.69%
MON OPEN   7.51%  7.41%   3.68%  3.71%   1.99%  2.22%    N/A    12.28%
FRI 3:00   7.15%  7.30%   3.32%  3.66%   1.93%  2.08%    N/A    14.25%
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  173,965   -2,245   111.00 P  165,472    UNCH
OCT17 10Y NOTE  127.50 C   31,793     -366   124.50 P   26,280  +1,089
SEP17 5Y NOTE   118.25 C   37,883     +995   109.25 P  252,442    UNCH
OCT17 5Y NOTE   118.50 C   10,751     +440   117.00 P   16,536  -1,000
AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH
SEP17 EURODLR    98.75 C  342,913  +10,250    98.37 P  750,865    UNCH
SEP18 1Y-MIDC    98.50 C  137,085   -1,517    98.12 P  273,252    -285
SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH
SEP20 3Y-MIDC    97.62 C   43,556     +438    97.50 P   48,807     +20
NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE
SEP17 10Y NOTE  125.50 C   57,307      -66   125.50 P   71,796 +11,410
SEP17 10Y NOTE  126.00 C   71,038   +2,244   126.00 P   52,058    +216
OCT17 10Y NOTE  125.50 C   14,292     +170   125.50 P   12,582  +1,856
OCT17 10Y NOTE  126.00 C   10,510      +42   126.00 P    7,772    +377
SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   17,599  +1,738
SEP17 5Y NOTE   118.00 C   20,425      +40   118.00 P   25,194  +2,779
OCT17 5Y NOTE   117.75 C    3,480     +337   117.75 P    6,735    +109
OCT17 5Y NOTE   118.00 C    2,007     +225   118.00 P    1,417    +225
AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    UNCH
AUG17 EURODLR    98.75 C   58,105  -11,551    98.75 P    3,484    UNCH
SEP17 EURODLR    98.62 C  252,350     UNCH    98.62 P  236,967    +596
SEP17 EURODLR    98.75 C  342,913  +10,250    98.75 P  107,287    UNCH
SEP18 1Y-MIDC    98.37 C  122,741      -57    98.37 P   77,237    UNCH
SEP18 1Y-MIDC    98.50 C  137,085   -1,517    98.50 P   14,670    UNCH
SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P   97,426  +4,125
SEP19 2Y-MIDC    98.12 C  120,240     +812    98.12 P   67,224  +5,377
SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   33,485  +3,574
SEP20 3Y-MIDC    97.87 C   26,540     +749    97.87 P   28,603  +1,518
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP17 10Y NOTE PUT/CALL RATIO -- 0.80 (143,660 PUTS VS. 178,885 CALLS)
OCT17 10Y NOTE PUT/CALL RATIO -- 2.26 (34,585 PUTS VS. 15,349 CALLS)
SEP17 5Y NOTE PUT/CALL RATIO  -- 1.20 (31,135 PUTS VS. 25,945 CALLS)
OCT17 5Y NOTE PUT/CALL RATIO  -- 3.23 (6,894 PUTS VS. 2,118 CALLS)
AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 22,250 CALLS)
SEP17 EURODLRS PUT/CALL RATIO -- 1.01 (23,447 PUTS VS. 23,250 CALLS)
SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 1.63 (8,000 PUTS VS. 4,912 CALLS)
SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.78 (29,175 PUTS VS. 10,475 CALLS)
SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 2.01 (4,400 PUTS VS. 2,189 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
1:45         39.00    54.85    54.87    59.96    73.38    78.91
12:30        38.97    54.81    54.85    59.94    73.38    78.89
9:45         38.97    54.59    54.85    59.94    73.40    78.92
Mon Open     39.00    54.24    54.85    59.91    73.41    78.92
Fri 3:00     38.90    54.13    54.76    59.94    73.36    78.86
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$]

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