US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 2

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN      EDU

1:45       6.25%  6.60%   3.50%  3.69%   2.39%  2.49%   11.89%   10.05%

12:00      6.30%  6.68%   3.47%  3.68%   2.46%  2.49%   12.75%   9.91%

10:15      6.30%  6.60%   3.48%  3.67%   2.41%  2.46%   13.63%   9.90%

MON OPEN   6.56%  6.81%   3.57%  3.79%   2.46%  2.51%   11.14%   9.54%

FRI 3:00   6.31%  6.55%   3.42%  3.64%   2.37%  2.43%   10.33%   8.49%

FRI OPEN   6.46%  6.83%   3.57%  3.73%   2.41%  2.47%   10.95%   8.76%

THU 3:00   6.58%  6.93%   3.64%  3.83%   2.45%  2.52%   10.88%   8.39%

THU OPEN   6.86%  7.11%   3.78%  3.91%   2.53%  2.55%   12.39%   9.31%

WED 3:00   6.71%  7.02%   3.67%  3.81%   2.50%  2.54%    8.84%   9.05%

WED OPEN   6.61%  6.94%   3.59%  3.78%   2.48%  2.52%   11.28%   8.85%

TUE 3:00   6.57%  6.92%   3.54%  3.75%   2.40%  2.48%    9.38%   8.81%

TUE OPEN   6.68%  7.01%   3.74%  3.86%   2.47%  2.53%   11.65%   9.79%

MON 3:00   6.72%  7.01%   3.76%  3.88%   2.54%  2.54%    8.83%   8.56%

MON OPEN   6.67%  6.98%   3.69%  3.83%   2.47%  2.49%   11.37%   8.92%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  102,393   -1,591   118.50 P  103,300  -1,149

SEP18 10Y NOTE  122.00 C  143,965       +3   117.50 P   63,037    +109

AUG18 5Y NOTE   114.00 C   46,708   -3,788   112.50 P   33,092    +130

SEP18 5Y NOTE   114.25 C   54,447     UNCH   106.25 P   91,838      -4

AUG18 2Y NOTE   106.12 C   43,986     UNCH   105.50 P   14,613    UNCH

SEP18 2Y NOTE   106.80 C    6,005     UNCH   105.75 P   12,537  +3,646

JUL18 EURODLR    97.75 C   92,584     UNCH    97.50 P  113,961    UNCH

SEP18 EURODLR    97.75 C  334,338       +8    97.37 P  499,842    +363

SEP19 1Y-MIDC    97.37 C  211,309      +69    97.12 P  422,898    +978

SEP20 2Y-MIDC    97.37 C  204,200     UNCH    97.00 P  344,127  +1,700

SEP21 3Y-MIDC    97.37 C   51,051     UNCH    96.75 P   37,954    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   78,592     +207   120.00 P   38,492  +2,830

AUG18 10Y NOTE  120.50 C   92,209   -1,348   120.50 P    9,967  +1,281

SEP18 10Y NOTE  120.00 C  138,789     +372   120.00 P   39,385    +829

SEP18 10Y NOTE  120.50 C   69,819  -10,363   120.50 P   11,381     +87

AUG18 5Y NOTE   113.50 C   31,893      +25   113.50 P   14,360  +2,486

AUG18 5Y NOTE   113.75 C   40,743     -735   113.75 P    3,385     +40

SEP18 5Y NOTE   113.50 C   26,783     -945   113.50 P   26,420  +1,196

SEP18 5Y NOTE   113.75 C   10,093     +229   113.75 P   19,141    +348

AUG18 2Y NOTE   106.00 C    9,962     UNCH   106.00 P    4,184    UNCH

AUG18 2Y NOTE   106.12 C   43,986     UNCH   106.12 P       15    UNCH

SEP18 2Y NOTE   106.00 C    2,397     UNCH   106.00 P    3,090    UNCH

SEP18 2Y NOTE   106.12 C    2,667     UNCH   106.12 P       16    UNCH

JUL18 EURODLR    97.50 C   39,246     UNCH    97.50 P  113,961    UNCH

JUL18 EURODLR    97.62 C   91,327     UNCH    97.62 P   42,836    UNCH

SEP18 EURODLR    97.75 C  334,338       +8    97.75 P  222,807  -1,100

SEP18 EURODLR    97.87 C  130,845     UNCH    97.87 P  150,489    UNCH

SEP19 1Y-MIDC    97.12 C  121,353   +4,750    97.12 P  422,898    +978

SEP19 1Y-MIDC    97.25 C  117,379     -270    97.25 P  109,165    UNCH

SEP20 2Y-MIDC    97.00 C   99,641   +5,150    97.00 P  344,127  +1,700

SEP20 2Y-MIDC    97.12 C   90,381     +200    97.12 P   72,052    +200

SEP21 3Y-MIDC    96.87 C    9,822     UNCH    96.87 P   21,681    UNCH

SEP21 3Y-MIDC    97.00 C   28,058     UNCH    97.00 P   36,054    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG18 10Y NOTE PUT/CALL RATIO  -- 1.11 (80,889 PUTS VS. 72,706 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.38 (22,913 PUTS VS. 59,006 CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 1.13 (21,756 PUTS VS. 19,271 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 2.31 (12,554 PUTS VS. 5,421 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 16.6 (10,000 PUTS VS. 600 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 486 (10,214 PUTS VS. 21 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 11.5 (8,600 PUTS VS. 745 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 1.36 (10,999 PUTS VS. 8,000 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 2.35 (19,125 PUTS VS. 8,100 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 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

1:45         50.00    56.29    59.81    60.13    69.87    74.58

12:00        50.09    56.17    59.96    60.31    69.87    74.58

10:15        50.28    56.40    60.22    60.61    69.93    74.61

MON OPEN     50.37    56.10    60.44    60.82    69.81    74.48

FRI 3:00     50.13    55.55    60.52    61.02    69.79    74.52

FRI OPEN     50.27    56.19    61.07    61.66    69.90    74.58

THU 3:00     49.98    56.75    60.72    61.59    69.73    74.35

THU OPEN     49.33    57.29    60.62    61.78    69.62    74.28

WED 3:00     49.02    57.56    59.93    61.29    69.43    74.23

WED OPEN     48.89    57.01    59.63    61.02    69.57    74.39

TUE 3:00     48.96    57.13    59.70    61.00    69.51    74.35

TUE OPEN     48.97    57.95    59.93    61.57    69.53    74.35

MON 3:00     48.73    57.81    59.93    61.54    69.50    74.32

MON OPEN     48.47    57.51    59.68    61.34    69.45    74.30

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

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