US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 10

OPEN INTEREST LVLS NOT UPDATED, REFLECTS FRIDAY LVLS

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU

9:00       6.23%  6.70%   3.23%  3.53%   2.12%  2.33%    N/A     8.56%

TUE OPEN   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%

MON 3:00   6.23%  6.71%   3.34%  3.59%   2.18%  2.34%    N/A     8.29%

MON OPEN   6.25%  6.67%   3.42%  3.61%   2.27%  2.38%   13.62%   9.75%

FRI 3:00   6.05%  6.69%   3.25%  3.59%   2.25%  2.34%    N/A     9.57%

FRI OPEN   6.01%  6.52%   3.36%  3.60%   2.20%  2.35%    N/A     9.99%

THU 3:00   6.25%  6.67%   3.46%  3.62%   2.35%  2.41%    N/A     8.70%

THU OPEN   6.35%  6.72%   3.61%  3.74%   2.38%  2.47%    N/A     9.99%

TUE 3:00   6.18%  6.65%   3.51%  3.68%   2.36%  2.44%    N/A     8.99%

TUE OPEN   6.14%  6.57%   3.43%  3.64%   2.33%  2.42%    N/A     9.37%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  107,773   +5,532   118.50 P   97,042  -7,194

SEP18 10Y NOTE  122.00 C  154,370   +9,771   117.50 P   64,600  +1,173

AUG18 5Y NOTE   114.00 C   63,875  +13,966   112.50 P   32,671    +114

SEP18 5Y NOTE   114.25 C   54,329     UNCH   106.25 P   91,838    UNCH

AUG18 2Y NOTE   106.12 C   43,986     UNCH   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.80 C    6,005     UNCH   105.75 P   11,977    UNCH

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  113,961    UNCH

SEP18 EURODLR    97.75 C  320,286  -10,030    97.37 P  497,792    -850

SEP19 1Y-MIDC    97.37 C  213,309     UNCH    97.12 P  429,482    +484

SEP20 2Y-MIDC    97.37 C  205,300     UNCH    97.00 P  344,627      -8

SEP21 3Y-MIDC    97.37 C   50,051     UNCH    96.75 P   37,954    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   78,473     +370   120.00 P   41,438    +905

AUG18 10Y NOTE  120.50 C   91,577     -786   120.50 P    9,717    -210

SEP18 10Y NOTE  120.00 C  138,739      +86   120.00 P   40,374    +274

SEP18 10Y NOTE  120.50 C   70,375     +690   120.50 P   12,148    +524

AUG18 5Y NOTE   113.50 C   31,193     -399   113.50 P   14,404     +13

AUG18 5Y NOTE   113.75 C   41,167     +832   113.75 P    4,462     +72

SEP18 5Y NOTE   113.50 C   29,774   +2,776   113.50 P   27,911  +1,491

SEP18 5Y NOTE   113.75 C   10,403     +240   113.75 P   19,491    +350

AUG18 2Y NOTE   106.00 C    9,805     -157   106.00 P    4,184    UNCH

AUG18 2Y NOTE   106.12 C   43,986     UNCH   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    2,400       +3   106.00 P    3,090    UNCH

SEP18 2Y NOTE   106.12 C    2,730      +63   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  113,961    UNCH

JUL18 EURODLR    97.62 C   90,827     UNCH    97.62 P   42,836    UNCH

SEP18 EURODLR    97.75 C  320,286  -10,030    97.75 P  222,706    -100

SEP18 EURODLR    97.87 C  130,866     UNCH    97.87 P  145,646    UNCH

SEP19 1Y-MIDC    97.12 C  126,431   -1,416    97.12 P  429,482    +484

SEP19 1Y-MIDC    97.25 C  117,831     -198    97.25 P  109,165    UNCH

SEP20 2Y-MIDC    97.00 C  101,252     +111    97.00 P  344,627      -8

SEP20 2Y-MIDC    97.12 C   90,381     UNCH    97.12 P   72,052    UNCH

SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   22,295    +614

SEP21 3Y-MIDC    97.00 C   26,702   -1,350    97.00 P   35,653    -401

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG18 10Y NOTE PUT/CALL RATIO  -- 1.92 (111,248 PUTS VS. 57,853 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.62 (27,296 PUTS VS. 43,992 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.30 (13,045 PUTS VS. 42,873 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.95 (14,102 PUTS VS. 14,877 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.09 (320 PUTS VS. 3,541 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.50 (2,146 PUTS VS. 4,260 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.37 (17,183 PUTS VS. 45,494 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 4.51 (13,162 PUTS VS. 2,952 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 13.5 (32,473 PUTS VS. 2,450 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.44 (9,155 PUTS VS. 6,280 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

9:00         50.15    55.20    59.24    59.12    69.95    75.40

Tue Open     50.30    55.17    59.43    59.38    69.90    75.23

Mon 3:00     50.30    55.17    59.43    59.38    69.90    75.23

Mon Open     50.34    54.93    59.35    59.29    69.83    75.15

Fri 3:00     50.05    54.71    58.93    58.96    69.77    75.04

Fri Open     50.44    55.92    59.48    59.62    69.92    74.86

Thu 3:00     50.70    56.33    59.92    60.06    69.91    74.86

Thu Open     50.40    56.38    59.63    59.88    69.94    74.88

Tue 3:00     49.97    56.06    59.19    59.54    69.77    74.63

Tue Open     49.96    56.08    59.51    59.93    69.93    74.69

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

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