US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 24

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

3:00       7.80%  7.05%   3.81%  3.66%   2.48%  2.32%  11.37%    9.98%

TUE OPEN   8.41%  7.32%   4.18%  3.70%   2.47%  2.34%  13.58%   11.45%

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

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  120.50 C  110,538  +18,714   118.50 P   91,255  -3,223

SEP18 10Y NOTE  120.00 C  283,758  +10,306   119.00 P  112,912  +6,685

AUG18 5Y NOTE   114.00 C   63,693     -435   113.25 P   32,951  -1,476

SEP18 5Y NOTE   114.25 C   67,237   -5,346   106.25 P   91,819    UNCH

AUG18 2Y NOTE   106.12 C   42,984     UNCH   105.50 P   14,813    +200

SEP18 2Y NOTE   106.12 C   46,555  +19,942   105.37 P   33,420  +6,000

AUG18 EURODLR    97.62 C   45,920     -100    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  332,217   -4,904    97.37 P  513,856  -2,250

SEP19 1Y-MIDC    97.37 C  215,785     +500    97.12 P  428,413      +5

SEP20 2Y-MIDC    97.37 C  236,100     UNCH    97.00 P  349,915  +4,913

SEP21 3Y-MIDC    97.37 C   56,394     UNCH    96.75 P   49,256    +250

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   70,768   -2,874   120.00 P   48,059  -4,608

AUG18 10Y NOTE  120.50 C  110,538  +18,714   120.50 P    9,625      -3

SEP18 10Y NOTE  120.00 C  283,758  +10,306   120.00 P   61,547    -268

SEP18 10Y NOTE  120.50 C   80,329   +3,308   120.50 P   22,812      +2 

AUG18 5Y NOTE   113.50 C   31,402   -1,507   113.50 P   20,963    -756

AUG18 5Y NOTE   113.75 C   31,222     -670   113.75 P    4,349    UNCH

SEP18 5Y NOTE   113.50 C   35,247     -290   113.50 P   31,045    -129

SEP18 5Y NOTE   113.75 C   14,585     +144   113.75 P   18,580      +1

AUG18 2Y NOTE   106.00 C    8,636     +700   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   38,378  +20,292   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   46,555  +19,942   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,780     UNCH    97.50 P   98,395     +10

AUG18 EURODLR    97.62 C   45,920     -100    97.62 P    6,079    UNCH

SEP18 EURODLR    97.75 C  288,534   +6,342    97.75 P  220,188    UNCH

SEP18 EURODLR    97.87 C  127,866     -500    97.87 P  150,433    UNCH

SEP19 1Y-MIDC    97.12 C  138,029     -105    97.12 P  428,413      +5

SEP19 1Y-MIDC    97.25 C  165,349      +74    97.25 P  103,631    -884

SEP20 2Y-MIDC    97.00 C   95,340   +3,584    97.00 P  349,915  +4,913

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   27,295    +125

SEP21 3Y-MIDC    97.00 C   29,658   -3,525    97.00 P   43,406    +200

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.62 (152,496 PUTS VS. 94,406 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.54 (148,376 PUTS VS. 96,172  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 0.29 (9,580 PUTS VS. 33,274 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.82 (28,124 PUTS VS. 34,451 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 1.13 (3,511 PUTS VS. 3,101 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.33 (13,168 PUTS VS. 40,335 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.01 (11 PUTS VS. 2,200 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.41 (43,254 PUTS VS. 105,896 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 2.55 (19,350 PUTS VS. 7,600 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 15.6 (32,850 PUTS VS. 2,100 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 3.37 (6,400 PUTS VS. 1,900 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         48.11    56.59    57.60    58.95    68.95    74.26

TUE OPEN     48.51    57.30    58.86    59.62    69.04    74.35

MON 3:00     48.59    56.52    58.58    59.50    69.09    74.48

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$]