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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
1:45       6.24%  6.78%   3.31%  3.63%   2.13%  2.36%    N/A     8.75%
11:30      6.24%  6.70%   3.31%  3.58%   2.09%  2.31%    N/A     9.16%
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
1:45         50.35    55.55    59.24    59.17    69.93    75.41
11:30        50.20    55.50    59.23    59.17    69.96    75.43
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$]

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