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

1245       8.54%  7.21%   4.89%  4.07%   3.01%  2.81%   23.70%  21.80%

1100       8.52%  7.19%   4.58%  4.09%   3.08%  2.80%   23.58%  21.50%

0930       8.83%  7.24%   4.73%  4.07%   2.95%  2.83%   23.84%  21.45%

WED OPEN   8.29%  7.09%   4.62%  4.06%   2.96%  2.78%   23.45%  21.50%

TUE 1500   8.00%  7.13%   4.23%  4.05%   2.63%  2.78%   23.15%  21.56%

TUE OPEN   7.60%  7.05%   4.04%  4.02%   2.48%  2.70%   22.27%  21.05%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  102,520   +1,084

SEP19 10Y NOTE  130.00 C   88,895      -99   126.50 P  147,445   +5,649

AUG19 5Y NOTE   118.00 C   87,462  +12,852   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   40,243   +5,971   116.75 P   82,817     +450

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     UNCH

AUG19 EURODLR    98.25 C  644,316     UNCH    97.87 P  291,110     -269

SEP19 EURODLR    98.25 C  724,617     UNCH    97.50 P  555,420   +1,125

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   51,207   +1,000

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   57,036     +722   127.00 P   80,630   -2,365

AUG19 10Y NOTE  127.50 C   48,392   -7,363   127.50 P   34,039   -8,009

SEP19 10Y NOTE  127.00 C   48,134      +53   127.00 P   75,227   +4,993

SEP19 10Y NOTE  127.50 C   41,254      -35   127.50 P   48,704     +407

AUG19 5Y NOTE   117.50 C   16,805      -11   117.50 P   56,224  +20,726

AUG19 5Y NOTE   117.75 C   79,123  +13,400   117.75 P   52,537   +1,799

SEP19 5Y NOTE   117.50 C   19,300       -2   117.50 P   74,470   +4,097

SEP19 5Y NOTE   117.75 C   30,232   +6,356   117.75 P   45,806   +2,055

AUG19 2Y NOTE   107.25 C    4,006     UNCH   107.25 P    9,907     -204

AUG19 2Y NOTE   107.38 C    4,618   +1,024   107.38 P    9,058   -1,102

SEP19 2Y NOTE   107.25 C    4,295     UNCH   107.25 P    3,290      +99

SEP19 2Y NOTE   107.38 C    8,287      -27   107.38 P   14,402      -28

AUG19 EURODLR    97.87 C  264,595     -550    97.87 P  291,110     -269

AUG19 EURODLR    98.00 C  295,706   -2,394    98.00 P   81,052     +834

SEP19 EURODLR    97.87 C  488,179   +1,251    97.87 P  254,779  -19,985

SEP19 EURODLR    98.00 C  397,018     +289    98.00 P   59,666   -2,275

SEP20 1Y-MIDC    98.25 C   90,269     UNCH    98.25 P   53,221     -500

SEP20 1Y-MIDC    98.37 C   94,234     -180    98.37 P   46,075     -200

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

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

SEP22 3Y-MIDC    98.25 C   72,306     UNCH    98.25 P   16,216     UNCH

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   -- 1.77 (108,826 PUTS VS. 61,154 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.02 (87,867 PUTS VS. 85,713 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.01 (46,937 PUTS VS. 46,600 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.69 (34,278 PUTS VS. 49,912 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.77 (2,414 PUTS VS. 3,148 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 0.13 (1,112 PUTS VS. 8,404 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.60 (82,542 PUTS VS. 137,536 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 3.41 (102,989 PUTS VS. 30,390 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.00 (4,405 PUTS VS. 4,405 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 750 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (2,146 PUTS VS. 2,146 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

1245        69.09    60.68    67.06    61.61    62.80     65.02

1100        69.36    60.36    66.85    61.42    62.73     64.90

0930        69.11    60.36    66.73    61.32    62.65     64.85

Wed Open    68.48    60.39    66.52    61.32    62.74     64.89

Tue 1500    68.85    62.10    66.47    61.38    62.73     64.85

Tue Open    69.31    62.45    66.76    61.76    62.59     64.67

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

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

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