US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 22

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ     EDU

MON 1500   7.34%  7.10%   3.85%  4.02%   2.32%  2.72%   21.95%  20.41%

1230       7.45%  7.05%   3.98%  4.05%   2.35%  2.75%   22.67%  20.75%

1015       7.60%  7.07%   4.15%  4.02%   2.38%  2.74%   22.64%  20.33%

MON OPEN   7.49%  7.02%   4.00%  4.04%   2.44%  2.73%   22.79%  20.85%

FRI 1500   6.42%  6.99%   3.44%  3.96%   2.05%  2.70%   23.05%  20.46%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  101,436   -1,462

SEP19 10Y NOTE  130.00 C   89,060      +37   126.50 P  139,649  +23,762

AUG19 5Y NOTE   118.00 C   74,748   +9,106   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   34,213   +1,489   116.75 P   80,908 -21,832

AUG19 2Y NOTE   107.62 C    7,926       +1   105.50 P   50,500     UNCH

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

AUG19 EURODLR    98.25 C  644,316   -1,750    97.87 P  263,238  +38,218

SEP19 EURODLR    98.25 C  724,617  -46,819    97.50 P  553,295     UNCH

SEP20 1Y-MIDC    98.12 C  139,903     UNCH    97.75 P  164,932     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   56,406     -955   127.00 P   85,510   +3,844

AUG19 10Y NOTE  127.50 C   55,754     -619   127.50 P   39,420   +3,558

SEP19 10Y NOTE  127.00 C   48,132  -31,581   127.00 P   67,322     +890

SEP19 10Y NOTE  127.50 C   38,769   +2,072   127.50 P   47,158   +1,326

AUG19 5Y NOTE   117.50 C   16,817     +277   117.50 P   32,204     +357

AUG19 5Y NOTE   117.75 C   66,328     -316   117.75 P   52,194   +2,748

SEP19 5Y NOTE   117.50 C   19,302      -26   117.50 P   70,373     +387

SEP19 5Y NOTE   117.75 C   21,422      -98   117.75 P   39,850     +624

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

AUG19 2Y NOTE   107.38 C    3,683     +278   107.38 P   10,160      -14

SEP19 2Y NOTE   107.25 C    4,295     UNCH   107.25 P    3,191      +95

SEP19 2Y NOTE   107.38 C    8,314     +658   107.38 P   14,430     +908

AUG19 EURODLR    97.87 C  251,719  +21,259    97.87 P  263,238  +38,218

AUG19 EURODLR    98.00 C  294,612  -33,162    98.00 P   81,293     -825

SEP19 EURODLR    97.87 C  486,952     UNCH    97.87 P  291,060  +12,412

SEP19 EURODLR    98.00 C  396,729   -4,600    98.00 P   61,941     +240

SEP20 1Y-MIDC    98.25 C   88,919     +250    98.25 P   52,846     +500

SEP20 1Y-MIDC    98.37 C   94,414   +1,450    98.37 P   46,275     +999

SEP21 2Y-MIDC    98.25 C   41,553     +322    98.25 P   16,154     UNCH

SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   16,751     UNCH

SEP22 3Y-MIDC    98.25 C   72,306       -1    98.25 P   16,216     +200

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   -- 1.35 (104,832 PUTS VS. 77,440 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.45 (249,331 PUTS VS. 171,727 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.35 (16,719 PUTS VS. 45,761 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 4.35 (74,584 PUTS VS. 17,242 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.39 (778 PUTS VS. 1,950 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 1.95 (3,829 PUTS VS. 1,953 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.56 (145,110 PUTS VS. 255,670 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.87 (148,448 PUTS VS. 170,610 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.36 (11,100 PUTS VS. 30,425 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 7,730 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.04 (200 PUTS VS. 4,300 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

Mon 1500    69.75    62.86    67.91    62.62    62.45     64.34

1230        70.12    62.99    68.14    62.76    62.42     64.27

1015        70.28    62.85    67.99    62.54    62.46     64.19

Mon Open    70.37    62.24    68.00    62.54    62.49     64.20

Fri 1500    70.00    62.14    67.81    62.42    62.67     64.31

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

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

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