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

0915       6.69%  6.81%   3.71%  3.88%   2.52%  2.66%    N/A    24.18%

THU OPEN   6.64%  6.71%   3.70%  3.85%   2.61%  2.65%    N/A    25.00%

WED 1500   6.95%  6.82%   3.84%  3.92%   2.77%  2.69%   41.65%  22.25%

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   126.00 P  118,500  +26,271

SEP19 10Y NOTE  130.00 C   81,521   -1,391   121.00 P  123,868   -6,352

AUG19 5Y NOTE   118.50 C   52,968     -100   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   43,487   +1,539   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    6,133     +306   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  182,591   -1,250    97.75 P  193,348     +266

SEP19 EURODLR    98.25 C  755,437  -84,803    97.50 P  640,358  -51,029

SEP20 1Y-MIDC    98.12 C  142,844     UNCH    97.75 P  166,115     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    97.00 P   47,901     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   54,706     -451   127.00 P   70,620   +2,020

AUG19 10Y NOTE  127.50 C   54,491   +6,108   127.50 P   35,503     +818

SEP19 10Y NOTE  127.00 C   29,486     +374   127.00 P   92,103   +2,927

SEP19 10Y NOTE  127.50 C   30,665   +1,783   127.50 P   43,875   -7,003

AUG19 5Y NOTE   117.50 C   11,574   +1,283   117.50 P   39,381   -4,730

AUG19 5Y NOTE   117.75 C   23,979   +3,553   117.75 P   47,798   -1,760

SEP19 5Y NOTE   117.50 C   16,710     -371   117.50 P   69,166   +1,140

SEP19 5Y NOTE   117.75 C   18,671   +1,330   117.75 P   38,279     UNCH

AUG19 2Y NOTE   107.25 C    3,363     +700   107.25 P   18,703   -6,023

AUG19 2Y NOTE   107.38 C    2,606     +500   107.38 P    9,277     UNCH

SEP19 2Y NOTE   107.25 C    4,293     UNCH   107.25 P    2,977      +85

SEP19 2Y NOTE   107.38 C    1,689     +260   107.38 P    6,720     +121

JUL19 EURODLR    97.87 C  132,619     +150    97.87 P  120,534   -1,535

JUL19 EURODLR    98.00 C  182,591   -1,250    98.00 P   74,435     -205

SEP19 EURODLR    97.87 C  498,147   +5,321    97.87 P  192,494  +20,267

SEP19 EURODLR    98.00 C  407,846   -6,948    98.00 P   58,388     +277

SEP20 1Y-MIDC    98.25 C   94,391     UNCH    98.25 P   56,736   -2,781

SEP20 1Y-MIDC    98.37 C   84,157     +533    98.37 P   45,601      -33

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

SEP21 2Y-MIDC    98.37 C   54,952   +1,638    98.37 P   16,276   +1,900

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

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   -- 2.82 (257,030 PUTS VS. 91,757 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 3.11 (199,785 PUTS VS. 64,489 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.91 (96,585 PUTS VS. 50,563 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 2.95 (45,576 PUTS VS. 15,482 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 2.51 (14,667 PUTS VS. 5,863 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 8.70 (6,357 PUTS VS. 730 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 3.56 (17,873 PUTS VS. 5,096 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.86 (444,171 PUTS VS. 511,997 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 10.6 (32,934 PUTS VS. 3,140 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.14 (2,600 PUTS VS. 18,250 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (23,000 PUTS VS. 0 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

0915        70.60    60.71    67.77    61.23    60.12     62.36

Thu Open    70.02    60.76    67.76    61.28    60.21     62.42

Wed 1500    71.34    61.00    68.30    61.69    60.55     62.66

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$]