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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
WED 1500   10.42% 10.55%  5.61%  5.35%   3.72%  3.55%   31.85%  29.20%
1345       10.71% 10.69%  5.69%  5.48%   3.83%  3.64%   32.80%  29.85%
1230       10.92% 9.95%   5.71%  5.58%   3.83%  3.63%   33.20%  29.35%
0915       10.90% 9.92%   5.75%  5.48%   3.85%  3.65%   30.12%  27.59%
WED OPEN   10.44% 9.55%   5.60%  5.05%   3.70%  3.55%   30.40%  27.39%
TUE 1500   8.97%  8.77%   4.90%  4.81%   3.38%  3.29%   28.22%  26.49%
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  137,805   +1,836   126.50 P  178,579   +3,409
OCT19 10Y NOTE  131.00 C   38,102   +4,098   128.00 P   46,936   +4,757
SEP19 5Y NOTE   118.00 C   49,559       +3   114.75 P  125,029      -10
OCT19 5Y NOTE   120.00 C   18,939     +156   118.50 P   40,975     +273
SEP19 2Y NOTE   108.25 C    9,476     UNCH   107.00 P   31,451     +589
OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.50 P    5,631     UNCH
AUG19 EURODLR    98.25 C  627,969     -334    97.87 P  248,983   +2,000
SEP19 EURODLR    98.25 C  500,035  -42,286    97.50 P  547,731     -400
SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  216,197   +7,086
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  137,805   +1,836   129.00 P   30,824  +13,192
SEP19 10Y NOTE  129.50 C   55,974   -6,824   129.50 P   19,345  +13,592
OCT19 10Y NOTE  129.50 C    8,358       -3   129.50 P    5,383   +2,002
OCT19 10Y NOTE  130.00 C   24,431     -504   130.00 P    8,788   -1,941
SEP19 5Y NOTE   118.75 C   14,965      +72   118.75 P    4,609   +2,732
SEP19 5Y NOTE   119.00 C   44,854     +273   119.00 P    1,583     +261
OCT19 5Y NOTE   119.00 C    6,484      -36   119.00 P    1,412     +500
OCT19 5Y NOTE   119.25 C    2,623     +180   119.25 P    1,902     +178
SEP19 2Y NOTE   107.62 C    5,200     UNCH   107.62 P      934      -42
SEP19 2Y NOTE   107.75 C    6,861      +22   107.75 P      408      +48
OCT19 2Y NOTE   107.75 C    2,618     UNCH   107.75 P      286     UNCH
OCT19 2Y NOTE   107.88 C       52     UNCH   107.88 P        7       +7
AUG19 EURODLR    98.00 C  148,763  -17,966    98.00 P   70,534   -1,050
AUG19 EURODLR    98.12 C  224,327   -8,859    98.12 P   17,300     UNCH
SEP19 EURODLR    98.00 C  401,511     -280    98.00 P  152,097   +3,624
SEP19 EURODLR    98.12 C  393,361   +5,937    98.12 P   11,004     UNCH
SEP20 1Y-MIDC    98.50 C   98,079   -4,410    98.50 P   54,231   -9,324
SEP20 1Y-MIDC    98.62 C   93,293     +450    98.62 P   11,482   -1,230
SEP21 2Y-MIDC    98.62 C   30,063  -18,981    98.62 P   12,266  +11,766
SEP21 2Y-MIDC    98.75 C   42,210  +27,685    98.75 P      775     +525
SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P    6,842      +25
SEP22 3Y-MIDC    98.62 C    2,699     +400    98.62 P      850     +550
PUT/CALL RATIO FOR VOLUME CLEARED:
SEP19 10Y NOTE PUT/CALL RATIO   -- 0.83 (230,591 PUTS VS. 276,946 CALLS)
OCT19 10Y NOTE PUT/CALL RATIO   -- 0.48 (43,397 PUTS VS. 88,812 CALLS)
SEP19 5Y NOTE PUT/CALL RATIO    -- 1.56 (25,594 PUTS VS. 16,618 CALLS)
OCT19 5Y NOTE PUT/CALL RATIO    -- 1.66 (34,991 PUTS VS. 21,708 CALLS)
OCT19 2Y NOTE PUT/CALL RATIO    -- 0.68 (1,549 PUTS VS. 2,206 CALLS)
SEP19 2Y NOTE PUT/CALL RATIO    -- 0.97 (494 PUTS VS. 565 CALLS)
AUG19 EURODLRS PUT/CALL RATIO   -- 0.14 (21,954 PUTS VS. 146,876 CALLS)
SEP19 EURODLRS PUT/CALL RATIO   -- 1.92 (175,233 PUTS VS. 91,410 CALLS)
JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.75 (50,594 PUTS VS. 66,025 CALLS)
JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.61 (35,250 PUTS VS. 57,750 CALLS)
JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.75 (825 PUTS VS. 1,100 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
Wed 1500    84.80    81.52    82.31    75.90    67.40     69.12
1345        87.32    83.22    85.02    77.55    67.82     69.40
1230        88.20    83.32    83.15    77.61    67.80     69.42
0915        87.05    80.43    82.14    75.14    66.74     68.85
Wed Open    86.91    78.77    80.25    73.61    66.25     68.30
Tue 1500    82.57    73.52    77.18    70.31    65.56     67.60
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$]

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