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

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

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     UNCH

SEP19 10Y NOTE  130.00 C   88,994      -66   126.50 P  141,796   +2,147

AUG19 5Y NOTE   118.00 C   74,610     -138   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   34,272      +59   116.75 P   82,367   +1,459

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

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   33,713      +10

AUG19 EURODLR    98.25 C  644,316     UNCH    97.87 P  263,238  +38,218

SEP19 EURODLR    98.25 C  724,617     UNCH    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   56,314      -92   127.00 P   82,995   -2,515

AUG19 10Y NOTE  127.50 C   55,755       +1   127.50 P   42,048   +2,628

SEP19 10Y NOTE  127.00 C   48,081      -51   127.00 P   70,234   +2,912

SEP19 10Y NOTE  127.50 C   41,289   +2,520   127.50 P   48,297   +1,139

AUG19 5Y NOTE   117.50 C   16,816       -1   117.50 P   35,498   +3,294

AUG19 5Y NOTE   117.75 C   65,723     -605   117.75 P   51,471     -723

SEP19 5Y NOTE   117.50 C   19,302     UNCH   117.50 P   70,373     UNCH

SEP19 5Y NOTE   117.75 C   23,876   +2,454   117.75 P   43,751   +3,901

AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P   10,111     -394

AUG19 2Y NOTE   107.38 C    3,594      -89   107.38 P   10,160     UNCH

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

SEP19 2Y NOTE   107.38 C    8,314     UNCH   107.38 P   14,430     UNCH

AUG19 EURODLR    97.87 C  265,145  +13,426    97.87 P  263,238  +38,218

AUG19 EURODLR    98.00 C  298,100   +3,488    98.00 P   81,293     -825

SEP19 EURODLR    97.87 C  486,298      -24    97.87 P  291,060  +12,412

SEP19 EURODLR    98.00 C  396,729     UNCH    98.00 P   61,941     +240

SEP20 1Y-MIDC    98.25 C   90,269   +1,350    98.25 P   53,721     +875

SEP20 1Y-MIDC    98.37 C   94,414     UNCH    98.37 P   46,275     UNCH

SEP21 2Y-MIDC    98.25 C   41,553     UNCH    98.25 P   19,674   +3,520

SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   19,326   +2,575

SEP22 3Y-MIDC    98.25 C   72,306     UNCH    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   -- 0.72 (48,299 PUTS VS. 66,536 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.34 (70,449 PUTS VS. 52,535 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.83 (22,064 PUTS VS. 12,923 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 2.21 (31,106 PUTS VS. 14,575 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.40 (669 PUTS VS. 1,649 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.18 (32 PUTS VS. 171 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.07 (145,110 PUTS VS. 135,297 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 9.25 (148,448 PUTS VS. 16,606 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.62 (13,325 PUTS VS. 8,950 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (7,800 PUTS VS. 0 CALLS)

JUN22 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

Mon 1500    69.75    62.86    67.91    62.62    62.45     64.34

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$]