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

THU 1500   6.85%  7.05%   3.62%  4.01%   2.24%  2.70%   25.60%  22.22%

1215       6.77%  7.05%   3.62%  4.01%   2.24%  2.70%   23.95%  21.32%

0930       6.98%  7.02%   3.81%  4.02%   2.30%  2.69%   23.20%  21.03%

THU OPEN   7.00%  7.10%   3.83%  4.02%   2.39%  2.69%   22.69%  21.02%

WED 1500   7.03%  7.07%   3.65%  3.98%   2.46%  2.69%   23.16%  20.75%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  114,638   -6,515

SEP19 10Y NOTE  129.00 C  111,321   +3,144   121.00 P  123,668     UNCH

AUG19 5Y NOTE   117.75 C   56,657  +18,264   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   32,543     +838   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    7,933     UNCH   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  643,673     +500    97.87 P  230,941     +478

SEP19 EURODLR    98.25 C  758,039     -246    97.50 P  557,729  -22,255

SEP20 1Y-MIDC    98.12 C  143,844     UNCH    97.75 P  165,436     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   58,591   -1,556   127.00 P   67,919   -2,428

AUG19 10Y NOTE  127.50 C   57,344   +3,638   127.50 P   32,817     +109

SEP19 10Y NOTE  127.00 C   80,352     -235   127.00 P   67,448     -939

SEP19 10Y NOTE  127.50 C   35,751   -2,174   127.50 P   45,357     +423

AUG19 5Y NOTE   117.50 C   16,235     +350   117.50 P   32,497     +218

AUG19 5Y NOTE   117.75 C   56,657  +18,264   117.75 P   48,878     +824

SEP19 5Y NOTE   117.50 C   19,457     +295   117.50 P   67,510     +153

SEP19 5Y NOTE   117.75 C   21,390      +47   117.75 P   39,033   +1,380

AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P   10,505     +392

AUG19 2Y NOTE   107.38 C    3,405     +379   107.38 P    9,050     -175

SEP19 2Y NOTE   107.25 C    4,305     UNCH   107.25 P    3,132     +118

SEP19 2Y NOTE   107.38 C    6,349      +26   107.38 P   11,895     UNCH

AUG19 EURODLR    97.87 C  240,586   +1,813    97.87 P  230,941     +478

AUG19 EURODLR    98.00 C  332,679     -673    98.00 P   83,368     -900

SEP19 EURODLR    97.87 C  491,953   -2,544    97.87 P  289,179  +18,306

SEP19 EURODLR    98.00 C  403,069   -2,326    98.00 P   61,181     -207

SEP20 1Y-MIDC    98.25 C   90,669     UNCH    98.25 P   52,843     +162

SEP20 1Y-MIDC    98.37 C   88,149   -2,803    98.37 P   45,076     UNCH

SEP21 2Y-MIDC    98.25 C   41,231     UNCH    98.25 P   16,154     -150

SEP21 2Y-MIDC    98.37 C   55,507      -20    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   -- 0.52 (68,181 PUTS VS. 130,168 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.82 (48,130 PUTS VS. 58,062 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.38 (27,235 PUTS VS. 70,717 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 6.83 (82,358 PUTS VS. 12,438 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.53 (1,541 PUTS VS. 2,830 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 10.8 (2,311 PUTS VS. 213 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.71 (72,227 PUTS VS. 42,250 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.67 (196,513 PUTS VS. 117,775 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.67 (19,875 PUTS VS. 11,832 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 4.45 (2,670 PUTS VS. 600 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.14 (500 PUTS VS. 3,500 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

Thu 1500    69.68    61.62    68.52    63.25    62.41     63.80

1215        67.97    61.61    68.45    63.22    62.01     63.19

0930        68.33    61.71    68.31    63.07    61.63     63.01

Thu Open    67.86    61.73    68.42    63.14    61.78     63.15

Wed 1500    67.54    61.19    68.02    62.75    61.41     62.84

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

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

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