US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 16

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

0930       7.15%  7.14%   3.71%  3.94%   2.40%  2.68%   21.75%  20.09%

TUE OPEN   7.07%  7.03%   3.65%  3.94%   2.53%  2.68%   21.53%  21.13%

MON 1500   7.17%  7.03%   3.76%  3.94%   2.64%  2.68%   21.85%  21.06%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  121,357   +1,034

SEP19 10Y NOTE  130.00 C   89,178     +501   121.00 P  123,668     UNCH

AUG19 5Y NOTE   118.00 C   62,057  +10,946   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   35,005  -14,469   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    7,385   +1,252   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   32,253   +1,700

AUG19 EURODLR    98.25 C  630,673   -1,650    97.87 P  254,661   +4,084

SEP19 EURODLR    98.25 C  762,424   +4,487    97.50 P  591,484  -17,399

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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   60,404   +1,403   127.00 P   71,906   -1,180

AUG19 10Y NOTE  127.50 C   52,595     -626   127.50 P   33,018     +154

SEP19 10Y NOTE  127.00 C   34,353     -254   127.00 P   65,327  -21,437

SEP19 10Y NOTE  127.50 C   36,225   +3,012   127.50 P   45,233     -105

AUG19 5Y NOTE   117.50 C   15,574   +1,143   117.50 P   30,918     -468

AUG19 5Y NOTE   117.75 C   28,508      -62   117.75 P   47,875     -357

SEP19 5Y NOTE   117.50 C   19,305     +230   117.50 P   67,626     +236

SEP19 5Y NOTE   117.75 C   20,895     -107   117.75 P   37,649      +54

AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P   11,194     -204

AUG19 2Y NOTE   107.38 C    2,976      -50   107.38 P    9,225      -50

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

SEP19 2Y NOTE   107.38 C    6,325   +2,050   107.38 P   11,895   +2,026

AUG19 EURODLR    97.87 C  230,998   +2,106    97.87 P  254,661   +4,084

AUG19 EURODLR    98.00 C  303,152  +87,910    98.00 P   96,219   +1,430

SEP19 EURODLR    97.87 C  497,497     +500    97.87 P  263,216  +29,967

SEP19 EURODLR    98.00 C  403,668     +250    98.00 P   61,388     -500

SEP20 1Y-MIDC    98.25 C   93,344     +300    98.25 P   55,206   -1,350

SEP20 1Y-MIDC    98.37 C   84,452     +782    98.37 P   45,076     +300

SEP21 2Y-MIDC    98.25 C   41,231     UNCH    98.25 P   16,304     -100

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   -- 0.66 (34,611 PUTS VS. 51,596 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.65 (53,371 PUTS VS. 32,171 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.18 (32,867 PUTS VS. 27,768 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.42 (15,025 PUTS VS. 35,072 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 2.73 (15,351 PUTS VS. 5,650 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 1.07 (9,793 PUTS VS. 9,055 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.08 (27,528 PUTS VS. 317,025 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 6.36 (229,035 PUTS VS. 36,624 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 4.57 (32,852 PUTS VS. 7,650 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.92 (5,100 PUTS VS. 5,500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 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

0930        69.00    62.99    68.52    62.84    61.59     63.15

Tue Open    68.25    63.03    68.66    62.68    61.41     62.94

Mon 1500    68.06    62.73    68.13    62.33    61.07     62.66

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

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

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