US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 19

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

THU 3:00   6.19%  6.37%   3.22%  3.33%   1.92%  2.16%   8.26%    8.23%  

THU OPEN   6.10%  6.51%   2.92%  3.43%   1.83%  2.20%   8.33%    8.21%

WED 3:00   5.54%  6.16%   2.90%  3.33%   1.84%  2.14%   8.79%    8.16%

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

TUE 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% 

MON 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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  104,514     -332   118.50 P   95,830      -2

SEP18 10Y NOTE  120.00 C  279,975   -1,631   119.00 P   89,801  +6,577

AUG18 5Y NOTE   114.00 C   63,698     +314   113.25 P   33,024    +175

SEP18 5Y NOTE   114.25 C   71,742       +6   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   23,556   +9,772   105.37 P   27,420    UNCH

AUG18 EURODLR    97.62 C   45,745   +1,225    97.37 P  132,285    UNCH

SEP18 EURODLR    97.75 C  280,400   -9,075    97.37 P  504,596    UNCH

SEP19 1Y-MIDC    97.37 C  214,062     +953    97.12 P  428,358     -51

SEP20 2Y-MIDC    97.37 C  236,350     UNCH    97.00 P  348,302  +1,000

SEP21 3Y-MIDC    97.50 C   54,724     UNCH    96.75 P   48,256    +349

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   79,183     -323   120.00 P   52,216  -1,126

AUG18 10Y NOTE  120.50 C   92,023   +1,014   120.50 P   10,827     +11

SEP18 10Y NOTE  120.00 C  279,975   -1,631   120.00 P   57,117  +1,874

SEP18 10Y NOTE  120.50 C   78,222     -255   120.50 P   22,390    +138 

AUG18 5Y NOTE   113.50 C   33,660     +373   113.50 P   17,516     -70

AUG18 5Y NOTE   113.75 C   32,025     -202   113.75 P    5,024      +1

SEP18 5Y NOTE   113.50 C   33,032     +326   113.50 P   30,112    -340

SEP18 5Y NOTE   113.75 C   14,021     +154   113.75 P   18,646    -177

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   15,728   +8,729   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   23,556   +9,772   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,180     +250    97.50 P   95,834    UNCH

AUG18 EURODLR    97.62 C   45,745   +1,225    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  280,400   -9,075    97.75 P  219,988    UNCH

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

SEP19 1Y-MIDC    97.12 C  131,532     +190    97.12 P  428,358     -51

SEP19 1Y-MIDC    97.25 C  162,985   -1,528    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   91,006   +2,300    97.00 P  348,302  +1,000

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

SEP21 3Y-MIDC    96.87 C    9,972     UNCH    96.87 P   22,182    -113

SEP21 3Y-MIDC    97.00 C   33,183     -300    97.00 P   41,806    +370

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.76 (25,817 PUTS VS. 33,897 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.42 (69,559 PUTS VS. 48,901  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.86 (6,859 PUTS VS. 8,004 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.77 (14,108 PUTS VS. 18,420 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.73 (1,490 PUTS VS. 2,038 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.28 (6,017 PUTS VS. 21,658 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.40 (1,000 PUTS VS. 2,500 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.00 (2 PUTS VS. 9,500 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.17 (6,000 PUTS VS. 36,000 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 34.3 (5,150 PUTS VS. 150 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.50 (1,200 PUTS VS. 800 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 3:00     47.10    51.40    56.67    56.69    67.84    73.53

THU OPEN     47.06    50.90    56.61    56.64    67.81    73.66

WED 3:00     46.83    50.27    56.01    56.04    67.70    73.62

WED OPEN     47.73    51.31    56.62    56.40    67.86    73.65

TUE 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

MON 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

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

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