US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 11

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU

Wed 3:00   6.44%  6.87%   3.43%  3.61%   2.22%  2.41%    N/A     9.27%

12:45      6.35%  6.79%   3.39%  3.65%   2.26%  2.39%    N/A     9.44%

11:15      6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%

WED OPEN   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%

TUE 3:00   6.39%  6.83%   3.40%  3.63%   2.09%  2.38%    N/A     8.71%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  111,763     +488   118.50 P   95,106    -138

SEP18 10Y NOTE  120.00 C  281,360 +141,511   118.00 P   77,260 +18,392

AUG18 5Y NOTE   114.00 C   72,518     UNCH   112.50 P   42,051    +744

SEP18 5Y NOTE   114.25 C   64,603      +33   106.25 P   91,819     -19

AUG18 2Y NOTE   106.12 C   43,984     UNCH   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.80 C    6,005     UNCH   105.75 P   12,427    +450

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  109,950    UNCH

SEP18 EURODLR    97.75 C  312,251     UNCH    97.37 P  512,574 -12,255

SEP19 1Y-MIDC    97.37 C  211,809   -1,500    97.12 P  428,144    UNCH

SEP20 2Y-MIDC    97.37 C  229,850  +15,500    97.00 P  344,247    -266

SEP21 3Y-MIDC    97.62 C   51,070     UNCH    96.75 P   38,604    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   79,386     -855   120.00 P   51,467  +1,372

AUG18 10Y NOTE  120.50 C   90,919     +645   120.50 P   10,463     +69

SEP18 10Y NOTE  120.00 C  281,360 +141,511   120.00 P   40,223  -4,077

SEP18 10Y NOTE  120.50 C   75,035     +777   120.50 P   15,787    +238

AUG18 5Y NOTE   113.50 C   31,761     +348   113.50 P   14,773    -348

AUG18 5Y NOTE   113.75 C   40,546     -352   113.75 P    4,823     +42

SEP18 5Y NOTE   113.50 C   32,951   +1,170   113.50 P   28,987      +2

SEP18 5Y NOTE   113.75 C   12,369      -50   113.75 P   20,619    UNCH

AUG18 2Y NOTE   106.00 C    9,450     UNCH   106.00 P    4,184    UNCH

AUG18 2Y NOTE   106.12 C   43,984     UNCH   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    3,000     UNCH   106.00 P    3,090    UNCH

SEP18 2Y NOTE   106.12 C    3,530     +800   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  109,950    UNCH

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

SEP18 EURODLR    97.75 C  312,251     UNCH    97.75 P  220,788    -200

SEP18 EURODLR    97.87 C  129,266     UNCH    97.87 P  145,646    UNCH

SEP19 1Y-MIDC    97.12 C  123,931     UNCH    97.12 P  428,144    UNCH

SEP19 1Y-MIDC    97.25 C  119,369     -293    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   84,756  -16,804    97.00 P  344,247    -266

SEP20 2Y-MIDC    97.12 C   92,798   +2,467    97.12 P   71,605    UNCH

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

SEP21 3Y-MIDC    97.00 C   28,309   +1,501    97.00 P   35,762     +59

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG18 10Y NOTE PUT/CALL RATIO  -- 0.67 (37,468 PUTS VS. 55,546 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.24 (146,556 PUTS VS. 588,667 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.76 (4,283 PUTS VS. 5,504 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 2.11 (16,349 PUTS VS. 7,722 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.55 (1,123 PUTS VS. 2,030 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.88 (1,585 PUTS VS. 1,788 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (733 PUTS VS. 0 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 35k (70,230 PUTS VS. 2,000 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.73 (3,850 PUTS VS. 5,250 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 0.84 (76,070 PUTS VS. 89,850 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.05 (1,901 PUTS VS. 1,801 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

Wed 3:00     50.72    54.99    59.60    59.48    69.78    75.30

12:45        50.76    55.18    59.73    59.62    69.88    75.37

11:15        50.44    55.33    59.47    59.51    69.91    75.40

Wed Open     50.35    55.55    59.25    59.18    69.96    75.41

Tue 3:00     50.35    55.55    59.25    59.18    69.96    75.41

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

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

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