US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 8

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

TUE OPEN   7.34%  7.46%   3.48%  3.73%   1.97%  2.28%    N/A    14.27%

MON 3:00   7.39%  7.44%   3.51%  3.70%   1.89%  2.18%    N/A    13.90%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  173,300     -665   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   31,645     -148   124.50 P   31,989  +5,709

SEP17 5Y NOTE   118.25 C   37,871      -12   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,751     UNCH   117.00 P   16,660    +124

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

SEP17 EURODLR    98.75 C  342,913     UNCH    98.37 P  750,865    UNCH

SEP18 1Y-MIDC    98.50 C  137,385     +300    98.12 P  273,252    UNCH

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

SEP20 3Y-MIDC    97.62 C   43,731     +175    97.50 P   48,807    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   56,225   -1,082   125.50 P   72,520    +536

SEP17 10Y NOTE  126.00 C   70,705     -333   126.00 P   50,876  -1,182

OCT17 10Y NOTE  125.50 C   14,541     +249   125.50 P   12,608     +26

OCT17 10Y NOTE  126.00 C   11,338     +828   126.00 P    8,231    +459

SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   17,661     +62

SEP17 5Y NOTE   118.00 C   20,425     UNCH   118.00 P   25,382    +188

OCT17 5Y NOTE   117.75 C    3,480     UNCH   117.75 P    6,685     -50

OCT17 5Y NOTE   118.00 C    2,132     +125   118.00 P    1,542    +125

AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   95,865    UNCH

AUG17 EURODLR    98.75 C   58,105     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  252,350     UNCH    98.62 P  236,967    UNCH

SEP17 EURODLR    98.75 C  342,913     UNCH    98.75 P  107,287    UNCH

SEP18 1Y-MIDC    98.37 C  120,741   -2,000    98.37 P   76,987    -250

SEP18 1Y-MIDC    98.50 C  137,385     +300    98.50 P   14,670    UNCH

SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P   91,601  -5,825

SEP19 2Y-MIDC    98.12 C  121,790   +1,550    98.12 P   69,274  +2,050

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   33,485    UNCH

SEP20 3Y-MIDC    97.87 C   25,669     -871    97.87 P   26,287  -2,316

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 2.02 (56,475 PUTS VS. 27,994 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 1.65 (30,226 PUTS VS. 18,321 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 1.46 (3,860 PUTS VS. 2,647 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.21 (2,361 PUTS VS. 1,992 CALLS)

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

SEP17 EURODLRS PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 4.63 (10,250 PUTS VS. 2,250 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.52 (21,500 PUTS VS. 8,500 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.60 (3,250 PUTS VS. 2,000 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

Tue Open     39.12    55.79    55.18    60.12    73.38    78.95

Mon 3:00     39.00    54.85    54.87    59.96    73.38    78.91

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

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

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