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

THU 1500   9.46%  8.89%   5.04%  5.06%   3.33%  3.31%   28.60%  27.30%

THU OPEN   9.71%  9.02%   5.24%  5.13%   3.50%  3.40%   32.10%  28.75%

WED 1500   10.42% 10.55%  5.61%  5.35%   3.72%  3.55%   31.85%  29.20%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  126,002   -8,074   126.50 P  178,280       -3

OCT19 10Y NOTE  131.00 C   39,733     -876   128.00 P   50,587   +3,968

SEP19 5Y NOTE   118.00 C   43,768   -5,589   114.75 P  125,029     UNCH

OCT19 5Y NOTE   121.00 C   20,514      -44   118.50 P   54,945   +3,631

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   31,451     UNCH

OCT19 2Y NOTE   107.75 C    2,619       +1   107.50 P   24,313  +10,000

AUG19 EURODLR    98.25 C  354,074  -15,038    97.87 P  235,602   -2,958

SEP19 EURODLR    97.87 C  488,751     UNCH    97.50 P  548,524     +793

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  220,748     UNCH

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   56,667   +2,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  129.00 C  126,002   -8,074   129.00 P   57,852  +13,735

SEP19 10Y NOTE  129.50 C   47,474   -4,775   129.50 P   47,657   +9,450

OCT19 10Y NOTE  129.50 C    8,503     +303   129.50 P    9,055   +1,469

OCT19 10Y NOTE  130.00 C   25,793     +887   130.00 P   18,963   +1,279

SEP19 5Y NOTE   118.75 C   14,040       -3   118.75 P   10,293   +3,456

SEP19 5Y NOTE   119.00 C   40,326   -4,755   119.00 P    6,505   +2,784

OCT19 5Y NOTE   119.00 C    6,587      +89   119.00 P    6,424   +1,594

OCT19 5Y NOTE   119.25 C    3,202     +328   119.25 P    9,949      +12

SEP19 2Y NOTE   107.62 C    5,126     UNCH   107.62 P    1,237     +311

SEP19 2Y NOTE   107.75 C    6,692      -20   107.75 P      467     +100

OCT19 2Y NOTE   107.75 C    2,619       +1   107.75 P    8,217   +5,000

OCT19 2Y NOTE   107.88 C       52     UNCH   107.88 P      709     UNCH

AUG19 EURODLR    98.00 C  136,372   -2,140    98.00 P   69,935     -725

AUG19 EURODLR    98.12 C  211,174   -3,663    98.12 P   17,500     UNCH

SEP19 EURODLR    98.00 C  396,924   -1,695    98.00 P  139,591     +426

SEP19 EURODLR    98.12 C  324,352  -44,827    98.12 P   13,140   +1,600

SEP20 1Y-MIDC    98.50 C   97,172     UNCH    98.50 P   63,748   +1,805

SEP20 1Y-MIDC    98.62 C   92,997     UNCH    98.62 P   11,957     UNCH

SEP21 2Y-MIDC    98.62 C   28,663     +100    98.62 P   17,191     +500

SEP21 2Y-MIDC    98.75 C   44,360     +750    98.75 P    2,660     UNCH

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P    9,442     +750

SEP22 3Y-MIDC    98.62 C    3,049     +450    98.62 P    1,600     +750

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.39 (198,490 PUTS VS. 142,320 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 0.92 (49,453 PUTS VS. 53,629 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.69 (27,195 PUTS VS. 39,173 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.41 (12,657 PUTS VS. 5,026 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 14.8 (2,821 PUTS VS. 198 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 24.4 (17,172 PUTS VS. 723 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.42 (15,230 PUTS VS. 35,038 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.18 (35,522 PUTS VS. 192,760 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.63 (29,576 PUTS VS. 11,500 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.18 (1,850 PUTS VS. 10,000 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 5.16 (6,249 PUTS VS. 1,269 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

Thu 1500    81.86    77.99    80.08    74.01    65.70     67.15

Thu Open    84.44    78.71    81.47    75.75    66.50     68.96

Wed 1500    84.80    81.52    82.31    75.90    67.40     69.12

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

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

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