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

1345       6.99%  7.04%   3.80%  4.01%   2.44%  2.70%   22.98%  21.05%

1200       6.82%  7.00%   3.59%  3.93%   2.37%  2.66%   22.50%  21.10%

0945       6.72%  7.00%   3.60%  3.98%   2.42%  2.69%   21.55%  21.15%

WED OPEN   6.87%  7.01%   3.69%  4.00%   2.37%  2.70%   21.60%  20.17%

TUE 1500   6.92%  7.11%   3.77%  4.00%   2.42%  2.68%   23.35%  21.15%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  121,153     -204

SEP19 10Y NOTE  129.00 C  108,177  +48,302   121.00 P  123,668     UNCH

AUG19 5Y NOTE   118.00 C   61,299     -758   113.25 P  127,080     UNCH

SEP19 5Y NOTE   118.50 C   31,864      -97   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    7,933     +548   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   32,753     +500

AUG19 EURODLR    98.25 C  643,173  +12,500    97.87 P  230,463  -24,198

SEP19 EURODLR    98.25 C  758,285   -4,139    97.50 P  579,984  -11,500

SEP20 1Y-MIDC    98.12 C  143,844   +1,000    97.75 P  165,436   -1,800

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   60,547     +143   127.00 P   70,347   -1,559

AUG19 10Y NOTE  127.50 C   53,706   +1,111   127.50 P   32,708     -310

SEP19 10Y NOTE  127.00 C   80,587  +43,234   127.00 P   68,387   +3,060

SEP19 10Y NOTE  127.50 C   37,925   +1,700   127.50 P   45,234       +1

AUG19 5Y NOTE   117.50 C   15,885     +311   117.50 P   32,279   +1,361

AUG19 5Y NOTE   117.75 C   38,393   +9,885   117.75 P   48,054     +179

SEP19 5Y NOTE   117.50 C   19,162     -143   117.50 P   67,357     -269

SEP19 5Y NOTE   117.75 C   21,343     +448   117.75 P   37,653       +4

AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P   10,113   -1,081

AUG19 2Y NOTE   107.38 C    3,026      +50   107.38 P    9,225     UNCH

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

SEP19 2Y NOTE   107.38 C    6,325     UNCH   107.38 P   11,895     UNCH

AUG19 EURODLR    97.87 C  238,773   +7,775    97.87 P  230,463  -24,198

AUG19 EURODLR    98.00 C  333,332  +30,180    98.00 P   83,268  -12,951

SEP19 EURODLR    97.87 C  494,497   -3,000    97.87 P  270,873   +7,657

SEP19 EURODLR    98.00 C  405,395   +1,727    98.00 P   61,388     UNCH

SEP20 1Y-MIDC    98.25 C   90,669   -2,675    98.25 P   52,681   -2,525

SEP20 1Y-MIDC    98.37 C   90,952   +6,500    98.37 P   45,076     UNCH

SEP21 2Y-MIDC    98.25 C   41,231     UNCH    98.25 P   16,304     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   -- 0.66 (134,333 PUTS VS. 97,618 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.65 (56,091 PUTS VS. 238,186 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.18 (42,811 PUTS VS. 63,809 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.42 (43,385 PUTS VS. 51,086 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 2.73 (3,267 PUTS VS. 2,137 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 1.07 (8,290 PUTS VS. 1,238 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.08 (215,805 PUTS VS. 188,752 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 6.36 (214,110 PUTS VS. 49,334 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 4.57 (36,087 PUTS VS. 104,050 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.92 (18,046 PUTS VS. 0 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (4,100 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

1345        67.21    60.97    67.69    62.20    61.25     62.77

1200        66.96    60.95    67.63    62.17    61.28     62.78

0945        67.25    61.55    67.75    62.36    61.34     62.91

Wed Open    67.31    61.56    67.76    62.38    61.28     62.85

Tue 1500    68.49    63.35    68.14    62.71    61.51     63.10

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

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

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