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

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1230       6.99%  6.86%   3.88%  3.94%   2.79%  2.70%   40.20%  22.40%

1100       6.95%  6.84%   3.90%  3.92%   2.83%  2.73%   42.40%  23.30%

0945       7.26%  7.14%   4.15%  4.05%   2.99%  2.86%   43.30%  23.90%

WED OPEN   7.25%  7.12%   4.11%  4.05%   2.99%  2.84%   43.30%  23.90%

TUE 1500   6.87%  6.95%   3.86%  3.92%   2.81%  2.77%   42.30%  24.60%

TUE OPEN   6.98%  7.01%   4.00%  3.99%   2.90%  2.83%   37.30%  24.75%

MON 1500   6.82%  6.93%   3.86%  3.99%   2.74%  2.77%   35.30%  24.70%

MON OPEN   6.84%  6.90%   3.86%  3.98%   2.75%  2.74%   36.00%  24.80%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   121.50 P   92,405     UNCH

SEP19 10Y NOTE  130.00 C   82,912  +12,575   121.00 P  130,220     UNCH

AUG19 5Y NOTE   118.50 C   53,068   +2,237   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   41,948  -10,258   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    5,827     UNCH   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   28,203     UNCH

JUL19 EURODLR    98.00 C  183,841  -20,187    97.75 P  193,082   +8,652

SEP19 EURODLR    98.25 C  840,240      -51    97.50 P  691,387  -17,500

SEP20 1Y-MIDC    98.12 C  142,844     +502    97.75 P  166,115     -100

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  125,432     UNCH    97.50 P   55,580     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   55,157     -356   127.00 P   68,600   -2,084

AUG19 10Y NOTE  127.50 C   48,383     +383   127.50 P   34,685     -241

SEP19 10Y NOTE  127.00 C   29,112     +958   127.00 P   89,176   +2,267

SEP19 10Y NOTE  127.50 C   28,882       -2   127.50 P   50,878     +475

AUG19 5Y NOTE   117.50 C   10,291   +3,437   117.50 P   44,111   -1,017

AUG19 5Y NOTE   117.75 C   20,426   +2,530   117.75 P   49,558     -223

SEP19 5Y NOTE   117.50 C   17,081      -80   117.50 P   68,026     +375

SEP19 5Y NOTE   117.75 C   17,341     -189   117.75 P   38,279       -2

AUG19 2Y NOTE   107.25 C    2,663   +1,200   107.25 P   24,726   +1,217

AUG19 2Y NOTE   107.38 C    2,106     +100   107.38 P    9,277     UNCH

SEP19 2Y NOTE   107.25 C    4,293      +17   107.25 P    2,892      +68

SEP19 2Y NOTE   107.38 C    1,429       +4   107.38 P    6,599     UNCH

JUL19 EURODLR    97.87 C  132,469  -34,618    97.87 P  122,069  -14,507

JUL19 EURODLR    98.00 C  183,841  -20,187    98.00 P   74,640     UNCH

SEP19 EURODLR    97.87 C  492,826   +1,200    97.87 P  172,227     +250

SEP19 EURODLR    98.00 C  414,794     +757    98.00 P   58,111     UNCH

SEP20 1Y-MIDC    98.25 C   94,391     -150    98.25 P   59,517       +1

SEP20 1Y-MIDC    98.37 C   83,624     +500    98.37 P   45,634     UNCH

SEP21 2Y-MIDC    98.25 C   41,230     UNCH    98.25 P   15,551     UNCH

SEP21 2Y-MIDC    98.37 C   53,314     +750    98.37 P   14,376     +366

SEP22 3Y-MIDC    98.25 C   72,307     UNCH    98.25 P   15,916     +100

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG19 10Y NOTE PUT/CALL RATIO   -- 1.54 (116,330 PUTS VS. 75,088 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 3.71 (197,955 PUTS VS. 53,133 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.04 (89,416 PUTS VS. 85,450 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.06 (24,419 PUTS VS. 23,047 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 4.50 (14,469 PUTS VS. 3,197 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 8.37 (1,810 PUTS VS. 216 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.58 (53,273 PUTS VS. 91,330 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.36 (39,310 PUTS VS. 108,074 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 3.42 (48,407 PUTS VS. 14,106 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 8.33 (12,500 PUTS VS. 1,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 43.0 (21,539 PUTS VS. 500 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

1230        72.01    61.04    68.80    61.89    60.59     63.24

1100        71.97    62.25    68.62    61.85    60.56     63.37

0945        72.40    62.76    69.11    62.19    60.75     63.51

Wed Open    72.94    63.02    69.40    62.34    60.90     63.60

Tue 1500    73.22    63.73    69.44    62.34    60.78     63.53

Tue Open    73.29    64.17    69.62    62.78    60.82     63.61

Mon 1500    73.05    63.94    69.56    62.66    60.55     63.50

Mon Open    73.56    62.67    69.78    62.84    60.85     63.74

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

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