US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 12

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU

3:00       5.89%  6.51%   3.23%  3.55%   1.95%  2.27%    N/A     7.37%

THU OPEN   6.18%  6.75%   3.25%  3.61%   2.18%  2.36%    N/A     9.02%

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

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  116,552   +4,789   118.50 P   95,081     -25

SEP18 10Y NOTE  120.00 C  281,239     -121   118.00 P   76,812    -448

AUG18 5Y NOTE   114.00 C   72,094     -424   113.25 P   41,967     -84

SEP18 5Y NOTE   114.25 C   72,222   +7,619   106.25 P   91,819    UNCH

AUG18 2Y NOTE   106.12 C   43,992       +8   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.80 C    6,005     UNCH   105.75 P   12,377     -50

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  109,450    -500

SEP18 EURODLR    97.75 C  312,251     UNCH    97.37 P  508,761  -3,813

SEP19 1Y-MIDC    97.37 C  212,059     +250    97.12 P  428,394    +250

SEP20 2Y-MIDC    97.37 C  230,350     +500    97.00 P  344,247    UNCH

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   78,835     -551   120.00 P   49,933  -1,534

AUG18 10Y NOTE  120.50 C   89,095   -1,824   120.50 P   10,427     -36

SEP18 10Y NOTE  120.00 C  281,239     -121   120.00 P   41,202    +979

SEP18 10Y NOTE  120.50 C   74,129     -906   120.50 P   14,993    -794 

AUG18 5Y NOTE   113.50 C   31,482     -279   113.50 P   14,779      +6

AUG18 5Y NOTE   113.75 C   40,392     -154   113.75 P    4,824      +1

SEP18 5Y NOTE   113.50 C   32,881      -70   113.50 P   28,622    -365

SEP18 5Y NOTE   113.75 C   12,419      +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   43,992       +8   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     UNCH   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  109,450    -500

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  220,988    +200

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

SEP19 1Y-MIDC    97.12 C  123,979      +48    97.12 P  428,394    +250

SEP19 1Y-MIDC    97.25 C  121,488   +2,119    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   84,756     UNCH    97.00 P  344,247    UNCH

SEP20 2Y-MIDC    97.12 C   92,798     UNCH    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   29,209     +900    97.00 P   36,262    +500

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.56 (57,011 PUTS VS. 102,622 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.92 (114,147 PUTS VS. 124,296  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.82 (15,580 PUTS VS. 19,000 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.03 (23,984 PUTS VS. 23,300 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.39 (1,600 PUTS VS. 4,062 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.06 (56 PUTS VS. 1,005 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (500 PUTS VS. 500 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 8.72  (81,117 PUTS VS. 9,300 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.52 (7,500 PUTS VS. 14,480 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 17.7 (26,500 PUTS VS. 1,500 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.36 (900 PUTS VS. 2,500 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

3:00         49.84    53.15    58.50    58.36    69.08    74.93

THU OPEN     50.79    55.17    59.76    59.68    69.94    75.38

Wed 3:00     50.72    54.99    59.60    59.48    69.78    75.30

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; +1 630-698-0154; email: ryan.martin@marketnews.com

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