US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 13

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU

3:00       5.78%  6.45%   3.03%  3.49%   1.97%  2.24%    N/A     8.54%

11:00      5.97%  6.55%   3.20%  3.53%   2.03%  2.30%    N/A     9.20%

FRI OPEN   5.86%  6.48%   3.13%  3.49%   1.94%  2.23%    N/A     8.52%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  109,519   -4,533   118.50 P   95,635    +554

SEP18 10Y NOTE  120.00 C  284,006   +2,767   119.00 P   77,302 +13,487

AUG18 5Y NOTE   114.00 C   71,953     -141   113.25 P   33,677  -8,290

SEP18 5Y NOTE   114.25 C   71,810     -412   106.25 P   91,819    UNCH

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

SEP18 2Y NOTE   106.12 C    9,782   +6,252   105.62 P   14,604  +6,075

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  107,450  -2,000

SEP18 EURODLR    97.75 C  310,551   -1,700    97.37 P  508,761    UNCH

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

SEP20 2Y-MIDC    97.37 C  230,350     UNCH    97.00 P  345,252  +1,005

SEP21 3Y-MIDC    97.62 C   51,070     UNCH    97.00 P   39,886  +3,624

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   78,270     -565   120.00 P   52,644  +2,711

AUG18 10Y NOTE  120.50 C   89,531     +436   120.50 P   10,432      +5

SEP18 10Y NOTE  120.00 C  284,006   +2,767   120.00 P   42,707  +1,605

SEP18 10Y NOTE  120.50 C   74,722     +593   120.50 P   14,914     -79 

AUG18 5Y NOTE   113.50 C   32,757   +1,275   113.50 P   14,742     -37

AUG18 5Y NOTE   113.75 C   41,417   +1,025   113.75 P    4,824    UNCH

SEP18 5Y NOTE   113.50 C   32,967      +86   113.50 P   29,105    +483

SEP18 5Y NOTE   113.75 C   12,059     -360   113.75 P   20,620      +1

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

AUG18 2Y NOTE   106.12 C   43,992     UNCH   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    3,000     UNCH   106.00 P    2,990    -100

SEP18 2Y NOTE   106.12 C    9,782   +6,252   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  107,450  -2,000

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

SEP18 EURODLR    97.75 C  310,551   -1,700    97.75 P  220,988    UNCH

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

SEP19 1Y-MIDC    97.12 C  125,003   +1,024    97.12 P  428,394    UNCH

SEP19 1Y-MIDC    97.25 C  121,723     +235    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   88,456   +3,700    97.00 P  345,252  +1,005

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   30,734   +1,525    97.00 P   39,886  +3,624

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.57 (46,066 PUTS VS. 29,312 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.23 (43,056 PUTS VS. 35,017  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 2.43 (21,349 PUTS VS. 8,774 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.76 (22,213 PUTS VS. 12,651 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 1.65 (4,835 PUTS VS. 2,935 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.80 (8,453 PUTS VS. 10,591 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 1.00 (2,001 PUTS VS. 2,000 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.16 (2,603 PUTS VS. 16,501 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 2.64 (40,250 PUTS VS. 15,250 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 2.81 (11,650 PUTS VS. 4,150 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 2.10 (5,250 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         49.14    52.71    57.51    57.36    68.47    74.48

11:00        49.33    52.83    57.69    57.63    68.56    74.55

FRI OPEN     49.34    52.70    57.86    57.82    68.67    74.63

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

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

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