US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 23

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

3:00       8.99%  7.38%   4.24%  3.81%   2.85%  2.41%  11.61%    8.97%

11:00      8.79%  7.27%   4.24%  3.79%   2.75%  2.40%   4.52%    8.96%

MON OPEN   8.05%  6.94%   3.91%  3.68%   2.54%  2.33%  11.53%    8.56%

FRI 3:00   6.02%  6.33%   2.88%  3.40%   1.92%  2.19%  10.54%    9.24%   

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  121.00 C  100,329   +1,229   119.50 P   95,265  +4,758

SEP18 10Y NOTE  120.00 C  273,452   -2,201   119.00 P  106,477  +5,706

AUG18 5Y NOTE   114.00 C   64,128     +124   113.25 P   34,427  -2,759

SEP18 5Y NOTE   114.25 C   72,583     +100   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     UNCH   105.37 P   27,420    UNCH

AUG18 EURODLR    97.62 C   46,020     +775    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  337,121  +77,657    97.37 P  516,106 +11,760

SEP19 1Y-MIDC    97.37 C  215,285     -277    97.12 P  428,408    UNCH

SEP20 2Y-MIDC    97.37 C  236,100     UNCH    97.00 P  345,002    UNCH

SEP21 3Y-MIDC    97.50 C   56,394     UNCH    96.75 P   49,006    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   73,642   -1,591   120.00 P   52,667  +1,529

AUG18 10Y NOTE  120.50 C   91,824     +466   120.50 P    9,628     +68

SEP18 10Y NOTE  120.00 C  273,452   -2,201   120.00 P   61,815    +227

SEP18 10Y NOTE  120.50 C   77,160   -2,538   120.50 P   22,810    +173 

AUG18 5Y NOTE   113.50 C   32,909     -962   113.50 P   21,719    +487

AUG18 5Y NOTE   113.75 C   31,892   -1,855   113.75 P    4,349      -1

SEP18 5Y NOTE   113.50 C   35,537   +2,273   113.50 P   31,174    +800

SEP18 5Y NOTE   113.75 C   14,441      +19   113.75 P   18,579     +14

AUG18 2Y NOTE   106.00 C    7,936     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   18,086     -500   106.00 P    2,940    UNCH

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

AUG18 EURODLR    97.50 C   15,780     UNCH    97.50 P   98,385  +3,051

AUG18 EURODLR    97.62 C   46,020     +775    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  282,192     UNCH    97.75 P  220,188    UNCH

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

SEP19 1Y-MIDC    97.12 C  138,134   +4,577    97.12 P  428,408    UNCH

SEP19 1Y-MIDC    97.25 C  165,275   -1,150    97.25 P  104,515    UNCH

SEP20 2Y-MIDC    97.00 C   91,756     +200    97.00 P  345,002    UNCH

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

SEP21 3Y-MIDC    96.87 C    9,875      -97    96.87 P   27,170    UNCH

SEP21 3Y-MIDC    97.00 C   29,658   -3,525    97.00 P   43,206  +1,400

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 0.87 (96,240 PUTS VS. 110,248 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.56 (70,545 PUTS VS. 125,858  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.92 (20,730 PUTS VS. 22,631 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.23 (30,189 PUTS VS. 24,519 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 5.94 (600 PUTS VS. 101 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 4.16 (2,103 PUTS VS. 506 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 1.53 (6,850 PUTS VS. 4,487 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.16 (54,169 PUTS VS. 342,121 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.86 (14,850 PUTS VS. 17,350 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 1.48 (3,100 PUTS VS. 2,100 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.32 (3,500 PUTS VS. 11,000 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

3:00         48.59    56.52    58.58    59.50    69.09    74.48

11:00        48.29    54.51    57.85    58.42    68.62    74.17

MON OPEN     47.79    53.15    57.30    57.86    68.23    73.93

FRI 3:00     46.99    51.24    56.48    56.53    67.86    73.53    

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

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

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