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

1315       6.41%  6.98%   3.49%  4.01%   2.12%  2.75%   22.21%  20.20%

1145       6.32%  7.00%   3.49%  4.01%   2.12%  2.75%   25.60%  20.03%

FRI OPEN   6.93%  7.17%   3.68%  4.14%   2.29%  2.82%   25.17%  22.00%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  102,898  -11,740

SEP19 10Y NOTE  129.00 C  111,585     +265   121.00 P  123,668     UNCH

AUG19 5Y NOTE   117.75 C   66,644   +9,987   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   31,781     -420   116.75 P  102,740   +2,598

AUG19 2Y NOTE   107.62 C    7,925       -8   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   33,703     +950

AUG19 EURODLR    98.25 C  646,066   +2,393    97.75 P  233,003  +17,517

SEP19 EURODLR    98.25 C  771,436  +13,397    97.50 P  553,295   -4,434

SEP20 1Y-MIDC    98.12 C  139,903   -3,941    97.75 P  164,932     -504

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   57,361   -1,230   127.00 P   81,666  +13,747

AUG19 10Y NOTE  127.50 C   56,373     -971   127.50 P   35,862   +3,045

SEP19 10Y NOTE  127.00 C   79,713     -639   127.00 P   66,432   -1,016

SEP19 10Y NOTE  127.50 C   36,697     +946   127.50 P   45,832     +475

AUG19 5Y NOTE   117.50 C   16,540     +305   117.50 P   31,847     -650

AUG19 5Y NOTE   117.75 C   66,644   +9,987   117.75 P   49,446     +568

SEP19 5Y NOTE   117.50 C   19,328     -129   117.50 P   69,986   +2,476

SEP19 5Y NOTE   117.75 C   21,520     +130   117.75 P   39,226     +193

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

AUG19 2Y NOTE   107.38 C    3,405     UNCH   107.38 P   10,174   +1,124

SEP19 2Y NOTE   107.25 C    4,295      -10   107.25 P    3,096      -36

SEP19 2Y NOTE   107.38 C    7,656   +1,307   107.38 P   13,522   +1,627

AUG19 EURODLR    97.87 C  230,460  -10,126    97.87 P  225,520   -5,421

AUG19 EURODLR    98.00 C  327,774   -4,885    98.00 P   83,368     UNCH

SEP19 EURODLR    97.87 C  486,952   -5,001    97.87 P  278,648  -10,531

SEP19 EURODLR    98.00 C  401,329   -1,740    98.00 P   61,701     +520

SEP20 1Y-MIDC    98.25 C   88,669   -2,000    98.25 P   52,346     -497

SEP20 1Y-MIDC    98.37 C   92,964   +4,815    98.37 P   45,276     +200

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

SEP21 2Y-MIDC    98.37 C   55,407     -100    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   -- 1.39 (106,051 PUTS VS. 76,405 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.46 (92,296 PUTS VS. 63,455 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.61 (30,738 PUTS VS. 49,050 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 4.01 (86,870 PUTS VS. 21,627 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 3.55 (2,377 PUTS VS. 668 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 5.01 (15,044 PUTS VS. 3,078 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.42 (65,957 PUTS VS. 155,936 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.56 (148,121 PUTS VS. 264,012 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.36 (22,040 PUTS VS. 61,650 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 1,100 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 100 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

1315        69.85    62.06    67.81    62.40    62.64     64.23

11:45       69.84    62.63    67.81    62.89    62.60     64.13

Fri Open    69.98    62.95    68.30    63.30    62.63     64.18

Thu 1500    69.68    61.62    68.52    63.25    62.41     63.80

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

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

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