US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 25

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

3:00       7.16%  6.62%   4.00%  3.54%   2.16%  2.24%  11.56%   10.93%

WED OPEN   7.58%  6.92%   3.89%  3.64%   2.43%  2.25%  11.62%   10.43%

TUE 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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.50 C  108,532   -1,806   118.50 P   92,295  +1,040

SEP18 10Y NOTE  120.00 C  286,026   +2,268   119.00 P  113,637    +725

AUG18 5Y NOTE   114.00 C   63,671      -22   113.25 P   27,018  -5,933

SEP18 5Y NOTE   114.25 C   66,736     -501   106.25 P   91,819    UNCH

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

SEP18 2Y NOTE   106.12 C   56,550   +9,995   105.37 P   33,420    UNCH

AUG18 EURODLR    97.62 C   45,211     -709    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  332,211       -6    97.37 P  512,785  -1,071

SEP19 1Y-MIDC    97.37 C  214,458   -1,327    97.12 P  428,913    +500

SEP20 2Y-MIDC    97.37 C  235,850     -250    97.00 P  353,015  +3,100

SEP21 3Y-MIDC    97.37 C   56,394     UNCH    96.75 P   48,344    -912

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   64,969   -5,799   120.00 P   42,813  -5,246

AUG18 10Y NOTE  120.50 C  108,532   -1,806   120.50 P    9,625    UNCH

SEP18 10Y NOTE  120.00 C  286,026   +2,268   120.00 P   60,842    -705

SEP18 10Y NOTE  120.50 C   86,684   +6,355   120.50 P   22,816      +4 

AUG18 5Y NOTE   113.50 C   31,402     UNCH   113.50 P   20,962      -1

AUG18 5Y NOTE   113.75 C   31,375     +153   113.75 P    4,347      -2

SEP18 5Y NOTE   113.50 C   38,038   +2,791   113.50 P   31,379    +334

SEP18 5Y NOTE   113.75 C   13,427   -1,158   113.75 P   18,580    UNCH

AUG18 2Y NOTE   106.00 C    8,636     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   49,878  +11,500   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   56,550   +9,995   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,780     UNCH    97.50 P   98,895    +500

AUG18 EURODLR    97.62 C   45,211     -709    97.62 P    6,329    +250

SEP18 EURODLR    97.75 C  291,934   +3,400    97.75 P  220,188    UNCH

SEP18 EURODLR    97.87 C  128,116     +250    97.87 P  150,433    UNCH

SEP19 1Y-MIDC    97.12 C  148,179  +10,150    97.12 P  428,913    +500

SEP19 1Y-MIDC    97.25 C  165,699     +350    97.25 P  103,631    UNCH

SEP20 2Y-MIDC    97.00 C   88,106   -7,234    97.00 P  353,015  +3,100

SEP20 2Y-MIDC    97.12 C   93,448     -275    97.12 P   71,402    -203

SEP21 3Y-MIDC    96.87 C   10,125     +250    96.87 P   32,995  +5,700

SEP21 3Y-MIDC    97.00 C   29,332     UNCH    97.00 P   42,656    -750

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.43 (82,866 PUTS VS. 58,149 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.54 (81,619 PUTS VS. 53,118  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 2.08 (25,594 PUTS VS. 12,303 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.62 (28,124 PUTS VS. 45,546 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.00 (1,520 PUTS VS. 0 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.30 (6,502 PUTS VS. 21,560 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.81 (975 PUTS VS. 1,200 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.98 (67,023 PUTS VS. 68,724 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.64 (14,500 PUTS VS. 22,500 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 0.92 (24,150 PUTS VS. 26,150 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 5.47 (16,400 PUTS VS. 3,000 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         47.28    53.99    56.89    58.38    68.61    74.09        

WED OPEN     48.07    55.95    57.63    59.09    68.76    74.19

TUE 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

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

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