US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 17

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

3:00       5.72%  6.29%   2.99%  3.38%   1.85%  2.20%   9.28%    8.57%

11:00      5.91%  6.36%   2.89%  3.42%   1.94%  2.22%   9.25%    8.56%

TUE OPEN   6.06%  6.37%   3.16%  3.46%   2.02%  2.24%   9.27%    7.64% 

3:00       6.12%  6.51%   3.06%  3.49%   1.95%  2.25%    N/A     8.03%

MON OPEN   6.13%  6.59%   3.33%  3.54%   2.00%  2.29%    N/A     9.40%

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

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

THU 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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  107,049   -1,758   118.50 P   96,048    +895

SEP18 10Y NOTE  120.00 C  283,751   +1,020   119.00 P   81,006  +2,438

AUG18 5Y NOTE   114.00 C   63,596   -8,293   113.25 P   32,032  -1,270

SEP18 5Y NOTE   114.25 C   71,820       +7   106.25 P   91,819    UNCH

AUG18 2Y NOTE   106.12 C   42,992   -1,000   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.12 C   13,783   +4,001   105.37 P   27,420 +18,896

AUG18 EURODLR    97.62 C   40,165     UNCH    97.37 P  132,285    UNCH

SEP18 EURODLR    97.75 C  301,777  -10,000    97.37 P  506,694  -2,067

SEP19 1Y-MIDC    97.37 C  215,859   +3,800    97.12 P  428,409     +15

SEP20 2Y-MIDC    97.37 C  230,350     UNCH    97.00 P  346,252  +1,000

SEP21 3Y-MIDC    97.50 C   54,724     +200    96.75 P   48,754 +10,200

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   78,651     +248   120.00 P   53,547    -781

AUG18 10Y NOTE  120.50 C   91,120     +737   120.50 P   10,776    +358

SEP18 10Y NOTE  120.00 C  283,751   +1,020   120.00 P   50,962  +6,389

SEP18 10Y NOTE  120.50 C   79,141     +521   120.50 P   22,732    +321 

AUG18 5Y NOTE   113.50 C   33,166     -264   113.50 P   15,749     +60

AUG18 5Y NOTE   113.75 C   32,475   -5,866   113.75 P    5,023    UNCH

SEP18 5Y NOTE   113.50 C   32,706     -203   113.50 P   29,503    +393

SEP18 5Y NOTE   113.75 C   12,495   +1,136   113.75 P   17,940  -2,428

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

AUG18 2Y NOTE   106.12 C   42,992   -1,000   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    6,899   +3,899   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   13,783   +4,001   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,180     +250    97.50 P   88,834    UNCH

AUG18 EURODLR    97.62 C   40,165     UNCH    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  301,777  -10,000    97.75 P  220,988    UNCH

SEP18 EURODLR    97.87 C  129,266     UNCH    97.87 P  150,589    UNCH

SEP19 1Y-MIDC    97.12 C  128,553   +1,000    97.12 P  428,409     +15

SEP19 1Y-MIDC    97.25 C  165,101  +46,558    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   88,706     UNCH    97.00 P  346,252  +1,000

SEP20 2Y-MIDC    97.12 C   92,598     -200    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   33,584     +100    97.00 P   41,336    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 3.19 (65,491 PUTS VS. 20,554 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 2.12 (74,119 PUTS VS. 34,926  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.17 (7,778 PUTS VS. 46,166 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 4.23 (36,217 PUTS VS. 8,564 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 2.72 (7,072 PUTS VS. 2,601 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.85 (20,835 PUTS VS. 24,534 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 1.00 (250 PUTS VS. 251 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.58 (23,557 PUTS VS. 14,900 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.01 (1,000 PUTS VS. 89,334 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 4.47 (4,474 PUTS VS. 1,000 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 43.0 (21,500 PUTS VS. 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         48.15    53.01    57.08    57.07    68.17    74.11

11:00        48.41    53.05    57.29    57.22    68.29    74.16

TUE OPEN     48.81    53.38    57.57    57.48    68.29    74.19

3:00         49.21    53.68    57.68    57.64    68.27    74.33

MON OPEN     49.33    52.51    57.58    57.51    68.27    74.36

FRI 3:00     49.14    52.71    57.51    57.36    68.47    74.48

FRI OPEN     49.34    52.70    57.86    57.82    68.67    74.63

THU 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

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

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