US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 9

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

WED 3:00   7.60%  7.85%   3.80%  4.20%   2.22%  2.37%    N/A    13.00%

1:45       7.61%  7.70%   3.76%  4.01%   2.20%  2.25%    N/A    13.30%

12:00      7.91%  7.80%   3.76%  4.01%   2.25%  2.40%    N/A    13.50%

10:45      7.76%  7.83%   3.83%  4.02%   2.19%  2.25%    N/A    12.97%

9:15       7.79%  7.63%   3.85%  3.95%   2.31%  2.52%    N/A    13.25%

WED OPEN   7.75%  7.92%   3.89%  4.00%   2.25%  2.79%    N/A    13.95%

TUE 3:00   7.41%  7.59%   3.57%  3.83%   1.95%  2.24%    N/A    14.02%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  171,003   -2,297   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   31,761     +116   124.50 P   32,162    +173

SEP17 5Y NOTE   118.25 C   37,859      -12   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,557     -194   117.00 P   16,660    UNCH

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

SEP17 EURODLR    98.75 C  346,244   +3,331    98.37 P  750,745    -120

SEP18 1Y-MIDC    98.37 C  142,691  +21,950    98.12 P  273,929    +677

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

SEP20 3Y-MIDC    97.62 C   43,731     UNCH    97.50 P   48,307    -500

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   53,763   -2,462   125.50 P   73,580  +1,365

SEP17 10Y NOTE  126.00 C   70,566     -139   126.00 P   50,407    -469

OCT17 10Y NOTE  125.50 C   14,910     +369   125.50 P   14,994  +2,386

OCT17 10Y NOTE  126.00 C   14,972   +3,634   126.00 P    9,094    +863

SEP17 5Y NOTE   117.75 C    5,970     UNCH   117.75 P   19,014  +1,353

SEP17 5Y NOTE   118.00 C   20,466      +41   118.00 P   26,998  +1,616

OCT17 5Y NOTE   117.75 C    3,813     +333   117.75 P    7,072    +387

OCT17 5Y NOTE   118.00 C    2,167      +35   118.00 P    1,566     +24

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  258,300   +5,950    98.62 P  236,937     -30

SEP17 EURODLR    98.75 C  346,244   +3,331    98.75 P  107,287    UNCH

SEP18 1Y-MIDC    98.37 C  142,691  +21,950    98.37 P   77,615    +628

SEP18 1Y-MIDC    98.50 C  130,885   +6,500    98.50 P   15,350    +680

SEP19 2Y-MIDC    98.00 C   65,921     UNCH    98.00 P  118,601 +27,000

SEP19 2Y-MIDC    98.12 C  125,574   +3,634    98.12 P   69,240     +66

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   33,635    +150

SEP20 3Y-MIDC    97.87 C   25,669     UNCH    97.87 P   26,605    +318

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 1.74 (109,051 PUTS VS. 62,450 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 3.78 (48,555 PUTS VS. 12,879 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 4.16 (30,779 PUTS VS. 7,418 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 3.91 (4,381 PUTS VS. 1,178 CALLS)

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

SEP17 EURODLRS PUT/CALL RATIO -- 0.09 (740 PUTS VS. 8,019 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.79 (26,250 PUTS VS. 33,000 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 2.53 (79,350 PUTS VS. 31,350 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (9,600 PUTS VS. 9,600 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

Wed 3:00     39.89    58.07    57.57    62.61    74.14    79.21

1:45         39.97    58.24    57.66    62.76    74.05    79.21

12:00        39.72    58.27    57.07    62.43    73.91    79.16

10:45        39.74    58.29    57.03    62.39    73.91    79.10

9:15         39.44    56.67    56.22    60.29    73.67    79.06

Wed Open     39.46    56.67    56.22    60.29    73.59    78.99

Tue 3:00     39.22    55.91    55.45    60.51    73.54    78.67

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

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

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