US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 14

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

1145       7.25%  7.05%   3.91%  4.00%   2.67%  2.70%   22.60%  21.15%

1000       7.25%  7.05%   3.91%  4.00%   2.67%  2.70%   22.60%  21.15%

MON OPEN   7.17%  6.93%   3.82%  3.93%   2.63%  2.65%   21.90%  20.35%

FRI 1500   6.86%  6.87%   3.63%  3.85%   2.49%  2.64%    N/A    21.09%

FRI OPEN   7.08%  6.95%   3.84%  3.95%   2.68%  2.73%    N/A    20.69%

THU 1500   6.96%  7.05%   3.80%  3.96%   2.65%  2.73%    N/A    23.55%

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%    N/A    22.25%

WED OPEN   7.25%  7.12%   4.11%  4.05%   2.99%  2.84%    N/A    23.90%

TUE 1500   6.87%  6.95%   3.86%  3.92%   2.81%  2.77%    N/A    24.60%

TUE OPEN   6.98%  7.01%   4.00%  3.99%   2.90%  2.83%    N/A    24.75%

MON 1500   6.82%  6.93%   3.86%  3.99%   2.74%  2.77%    N/A    24.70%

MON OPEN   6.84%  6.90%   3.86%  3.98%   2.75%  2.74%    N/A    24.80%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  120,323   -1,930

SEP19 10Y NOTE  130.00 C   88,677   -1,847   121.00 P  123,668     UNCH

AUG19 5Y NOTE   118.50 C   54,299   +2,388   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   49,474     -449   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    6,133      -10   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   30,553     UNCH

AUG19 EURODLR    98.25 C  632,323   +2,962    97.87 P  250,577   +8,270

SEP19 EURODLR    98.25 C  757,937   +3,500    97.50 P  608,983  -12,000

SEP20 1Y-MIDC    98.12 C  142,844     UNCH    97.75 P  167,236     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    98.00 P   50,207   -1,030

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   59,001   +7,580   127.00 P   73,086   +5,017

AUG19 10Y NOTE  127.50 C   53,221     -885   127.50 P   32,864   -2,080

SEP19 10Y NOTE  127.00 C   34,607   +5,992   127.00 P   86,764     +183

SEP19 10Y NOTE  127.50 C   33,213     +641   127.50 P   46,038     +649

AUG19 5Y NOTE   117.50 C   14,431   +2,637   117.50 P   31,386   -1,097

AUG19 5Y NOTE   117.75 C   28,570   +4,720   117.75 P   48,232      -86

SEP19 5Y NOTE   117.50 C   19,075     +733   117.50 P   67,390     -947

SEP19 5Y NOTE   117.75 C   21,002   +2,531   117.75 P   37,595     UNCH

AUG19 2Y NOTE   107.25 C    4,006      +39   107.25 P   12,898     -508

AUG19 2Y NOTE   107.38 C    3,026     +338   107.38 P    9,275       -2

SEP19 2Y NOTE   107.25 C    4,305       +2   107.25 P    3,014      +37

SEP19 2Y NOTE   107.38 C    4,273     +122   107.38 P    9,869     +120

AUG19 EURODLR    97.87 C  228,892   -3,081    97.87 P  250,577   +8,270

AUG19 EURODLR    98.00 C  215,242   +4,136    98.00 P   94,789     +650

SEP19 EURODLR    97.87 C  496,997   -1,000    97.87 P  233,249     +400

SEP19 EURODLR    98.00 C  403,418   -5,440    98.00 P   61,888     UNCH

SEP20 1Y-MIDC    98.25 C   93,044   -1,347    98.25 P   56,556     -180

SEP20 1Y-MIDC    98.37 C   83,670     -568    98.37 P   44,776     UNCH

SEP21 2Y-MIDC    98.25 C   41,231     UNCH    98.25 P   16,404     UNCH

SEP21 2Y-MIDC    98.37 C   55,527     UNCH    98.37 P   16,751     UNCH

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   -- 1.33 (127,401 PUTS VS. 95,257 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 2.17 (178,724 PUTS VS. 82,243 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.18 (39,539 PUTS VS. 33,279 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.86 (67,175 PUTS VS. 36,536 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 2.11 (1,744 PUTS VS. 823 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 5.08 (5,109 PUTS VS. 1,004 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.55 (52,004 PUTS VS. 94,060 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.44 (52,588 PUTS VS. 36,512 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.21 (10,775 PUTS VS. 8,875 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,875 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

1145        67.99    62.58    68.11    62.26    60.92     62.55

1000        68.19    62.42    67.74    62.03    60.75     62.44

Mon Open    68.50    62.16    68.26    62.22    60.76     62.50

Fri 1500    67.35    61.62    67.55    61.73    60.77     62.54

Fri Open    69.23    62.13    67.44    61.70    60.53     62.43

Thu 1500    70.21    61.30    68.21    62.09    60.49     62.28

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$]