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

1345        N/A   7.15%    N/A   4.10%    N/A   2.87%   23.21%  21.26%

1130      10.16%  7.14%   5.73%  4.06%   3.70%  2.85%   23.85%  21.18%

THU OPEN   9.72%  7.19%   5.25%  4.11%   3.46%  2.83%   24.25%  22.00%

WED 1500   8.88%  7.14%   4.73%  4.05%   3.14%  2.79%   24.33%  22.12%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  102,518       -2

SEP19 10Y NOTE  131.00 C   89,505  +12,505   126.50 P  144,727   -2,718

AUG19 5Y NOTE   118.00 C   87,691     +229   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   41,854   +1,611   116.75 P   82,864      +47

AUG19 2Y NOTE   107.62 C    7,876      -50   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  644,066     -250    97.87 P  289,924   -1,186

SEP19 EURODLR    98.25 C  719,817   -4,800    97.50 P  556,120     +700

SEP20 1Y-MIDC    98.12 C  141,403   +1,500    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     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   46,127   -8,517   127.00 P   71,837   -6,401

AUG19 10Y NOTE  127.50 C   43,448   -4,944   127.50 P   31,509   -2,530

SEP19 10Y NOTE  127.00 C   48,232      +95   127.00 P   68,564   -6,663

SEP19 10Y NOTE  127.50 C   42,547   +1,293   127.50 P   48,197     -507

AUG19 5Y NOTE   117.50 C   16,798       -7   117.50 P   62,224   +6,000

AUG19 5Y NOTE   117.75 C   80,846   +1,723   117.75 P   53,199     +662

SEP19 5Y NOTE   117.50 C   19,301       +1   117.50 P   74,470     UNCH

SEP19 5Y NOTE   117.75 C   30,019     -233   117.75 P   46,571     +765

AUG19 2Y NOTE   107.25 C    3,956      -50   107.25 P    9,907     UNCH

AUG19 2Y NOTE   107.38 C    5,886   +1,268   107.38 P    9,058     UNCH

SEP19 2Y NOTE   107.25 C    4,295     UNCH   107.25 P    5,957   +2,667

SEP19 2Y NOTE   107.38 C    8,095     -192   107.38 P   14,210     -192

AUG19 EURODLR    97.87 C  266,539   +1,944    97.87 P  289,924   -1,186

AUG19 EURODLR    98.00 C  317,515  +21,809    98.00 P   81,805     +753

SEP19 EURODLR    97.87 C  488,179     UNCH    97.87 P  249,479   -5,300

SEP19 EURODLR    98.00 C  398,618   +1,600    98.00 P   59,666     UNCH

SEP20 1Y-MIDC    98.25 C   90,269     UNCH    98.25 P   53,222       +1

SEP20 1Y-MIDC    98.37 C   92,273   -1,961    98.37 P   47,942   +1,867

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   73,790   +1,484    98.25 P   16,666     +450

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   -- 1.14 (65,858 PUTS VS. 57,463 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 0.96 (82,979 PUTS VS. 85,368 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.53 (24,987 PUTS VS. 46,706 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 8.20 (43,509 PUTS VS. 5,375 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 0.00 (0 PUTS VS. 2,250 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 43.6 (12,751 PUTS VS. 292 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.25 (24,216 PUTS VS. 96,760 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.15 (21,201 PUTS VS. 35,952 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 5.21 (26,615 PUTS VS. 5,150 CALLS)

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

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.00 (1,550 PUTS VS. 1,550 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

1345        68.39    61.02    66.49    61.60    62.78     64.90

1130        68.29    61.25    66.62    61.71    62.81     64.91

Thu Open    68.93    60.81    67.05    62.12    62.92     64.98

Wed 1500    69.20    60.69    67.17    61.78    62.83     65.05

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

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

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