US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 18

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

11:00      5.64%  6.28%   2.95%  3.36%   1.83%  2.20%   5.87%    7.36%

WED OPEN   5.98%  6.32%   3.07%  3.38%   2.01%  2.19%   7.45%    7.70% 

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

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  104,846   -2,203   118.50 P   95,832    -216

SEP18 10Y NOTE  120.00 C  281,606   -2,145   119.00 P   83,224  +2,218

AUG18 5Y NOTE   114.00 C   63,384     -212   113.25 P   32,849    +817

SEP18 5Y NOTE   114.25 C   71,736      -84   106.25 P   91,819    UNCH

AUG18 2Y NOTE   106.12 C   42,984     UNCH   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.12 C   13,784       +1   105.37 P   27,420    UNCH

AUG18 EURODLR    97.62 C   44,520   +4,355    97.37 P  132,285    UNCH

SEP18 EURODLR    97.75 C  289,475  -12,302    97.37 P  504,596  -2,098

SEP19 1Y-MIDC    97.37 C  213,109   -2,750    97.12 P  428,409    UNCH

SEP20 2Y-MIDC    97.37 C  236,350   +6,000    97.00 P  347,302  +1,050

SEP21 3Y-MIDC    97.50 C   54,724     UNCH    96.75 P   47,907    -847

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   79,534     +865   120.00 P   53,342    -205

AUG18 10Y NOTE  120.50 C   91,161      +41   120.50 P   10,816     +40

SEP18 10Y NOTE  120.00 C  281,606   -2,145   120.00 P   55,243  +4,281

SEP18 10Y NOTE  120.50 C   78,482     -659   120.50 P   22,252    -480 

AUG18 5Y NOTE   113.50 C   33,287     +121   113.50 P   17,586  +1,837

AUG18 5Y NOTE   113.75 C   32,227     -248   113.75 P    5,023    UNCH

SEP18 5Y NOTE   113.50 C   32,706     UNCH   113.50 P   30,452    +949

SEP18 5Y NOTE   113.75 C   13,867   +1,372   113.75 P   18,823    +883

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

AUG18 2Y NOTE   106.12 C   42,984     UNCH   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    6,999     +100   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   13,784       +1   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   14,930     -250    97.50 P   95,834  +7,000

AUG18 EURODLR    97.62 C   44,520   +4,355    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  289,475  -12,302    97.75 P  219,988  -1,000

SEP18 EURODLR    97.87 C  128,366     -900    97.87 P  150,589    UNCH

SEP19 1Y-MIDC    97.12 C  131,342   +2,789    97.12 P  428,409    UNCH

SEP19 1Y-MIDC    97.25 C  164,513     -588    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   88,706     UNCH    97.00 P  347,302  +1,050

SEP20 2Y-MIDC    97.12 C   94,098   +1,500    97.12 P   71,605    UNCH

SEP21 3Y-MIDC    96.87 C    9,972     +150    96.87 P   22,295    UNCH

SEP21 3Y-MIDC    97.00 C   33,483     -101    97.00 P   41,436    +100

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.64 (25,946 PUTS VS. 40,805 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.92 (49,636 PUTS VS. 54,051  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 7.19 (12,889 PUTS VS. 1,792 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 3.80 (36,692 PUTS VS. 9,646 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 3.87 (1,490 PUTS VS. 385 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 1.45 (6,017 PUTS VS. 4,163 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.62 (10,050 PUTS VS. 16,250 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.04 (29,835 PUTS VS. 28,677 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.23 (6,000 PUTS VS. 26,150 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 0.34 (3,900 PUTS VS. 11,400 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 2.70 (21,500 PUTS VS. 7,950 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

11:00        47.50    50.78    56.19    56.08    67.74    73.63

WED OPEN     47.73    51.31    56.62    56.40    67.86    73.65

3:00         48.15    53.01    57.08    57.07    68.17    74.11

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

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

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