US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 20

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

FRI OPEN   6.02%  6.33%   2.88%  3.40%   1.92%  2.19%  10.54%    9.24%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C   99,100   -5,414   118.50 P   94,648  -1,182

SEP18 10Y NOTE  120.00 C  275,653   -4,322   119.00 P  100,771 +10,970

AUG18 5Y NOTE   114.00 C   64,004     +306   113.25 P   37,186  +4,162

SEP18 5Y NOTE   114.25 C   72,483     +741   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   26,613   +3,057   105.37 P   27,420    UNCH

AUG18 EURODLR    97.62 C   45,245     UNCH    97.37 P  132,285    UNCH

SEP18 EURODLR    97.75 C  282,192   +1,792    97.37 P  504,346    -250

SEP19 1Y-MIDC    97.37 C  215,562   +1,500    97.12 P  428,408     +50

SEP20 2Y-MIDC    97.37 C  236,100     -250    97.00 P  345,002  -3,300

SEP21 3Y-MIDC    97.50 C   56,394   +3,250    96.75 P   49,006    +750

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   75,233   -3,950   120.00 P   51,139  -1,077

AUG18 10Y NOTE  120.50 C   91,358     -665   120.50 P    9,560  -1,267

SEP18 10Y NOTE  120.00 C  275,653   -4,322   120.00 P   61,588  +4,471

SEP18 10Y NOTE  120.50 C   79,654   +1,432   120.50 P   22,637    +247 

AUG18 5Y NOTE   113.50 C   33,871     +211   113.50 P   21,232  +3,716

AUG18 5Y NOTE   113.75 C   33,747   +1,722   113.75 P    4,350    -674

SEP18 5Y NOTE   113.50 C   33,264     +232   113.50 P   30,374    +262

SEP18 5Y NOTE   113.75 C   14,422     +401   113.75 P   18,565     -81

AUG18 2Y NOTE   106.00 C    7,936   -1,514   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   18,586   +2,858   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   26,613   +3,057   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,780     +600    97.50 P   95,334    UNCH

AUG18 EURODLR    97.62 C   45,245     UNCH    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  282,192   +1,792    97.75 P  220,188    +200

SEP18 EURODLR    97.87 C  128,366     UNCH    97.87 P  150,433    -156

SEP19 1Y-MIDC    97.12 C  133,557   +2,025    97.12 P  428,408     +50

SEP19 1Y-MIDC    97.25 C  166,425   +3,440    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   91,556     +550    97.00 P  345,002  -3,300

SEP20 2Y-MIDC    97.12 C   93,723     -375    97.12 P   71,605    UNCH

SEP21 3Y-MIDC    96.87 C    9,972     UNCH    96.87 P   27,170  +4,988

SEP21 3Y-MIDC    97.00 C   33,183     UNCH    97.00 P   41,806    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.00 (120,914 PUTS VS. 120,512 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.56 (112,434 PUTS VS. 200,032  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.73 (32,797 PUTS VS. 44,874 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.75 (31,760 PUTS VS. 42,422 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.03 (290 PUTS VS. 8,800 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.43 (3,616 PUTS VS. 8,368 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 1.10 (1,700 PUTS VS. 1,550 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.08 (3,285 PUTS VS. 43,790 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.44 (12,300 PUTS VS. 28,200 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 2.57 (8,350 PUTS VS. 3,250 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (7,500 PUTS VS. 7,500 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

FRI OPEN     46.99    51.24    56.48    56.53    67.86    73.53

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

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

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