US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 26

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

THU OPEN   7.69%  6.78%   4.01%  3.59%   2.70%  2.23%  10.88%    9.82%

WED 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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.50 C  108,865     +333   118.50 P   92,366     +71

SEP18 10Y NOTE  120.00 C  286,893     +867   119.00 P  113,291    -346

AUG18 5Y NOTE   114.00 C   64,012     +341   113.25 P   27,687     -66

SEP18 5Y NOTE   114.25 C   66,732       -4   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   64,214   +7,664   105.50 P   36,227  +4,500

AUG18 EURODLR    97.62 C   46,186     +975    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  340,126   +7,971    97.37 P  520,001  +7,216

SEP19 1Y-MIDC    97.37 C  214,658     +200    97.12 P  428,913    +500

SEP20 2Y-MIDC    97.37 C  235,850     UNCH    97.00 P  353,215    +200

SEP21 3Y-MIDC    97.37 C   56,394     UNCH    96.75 P   58,044  +9,700

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   68,085   +3,116   120.00 P   41,216  -1,596

AUG18 10Y NOTE  120.50 C  108,865     +333   120.50 P    9,675     +50

SEP18 10Y NOTE  120.00 C  286,893     +867   120.00 P   61,305    +463

SEP18 10Y NOTE  120.50 C   88,015   +1,331   120.50 P   22,832     +16 

AUG18 5Y NOTE   113.50 C   30,965     -437   113.50 P   20,657    -305

AUG18 5Y NOTE   113.75 C   30,630     -745   113.75 P    4,349      +2

SEP18 5Y NOTE   113.50 C   39,308   +1,270   113.50 P   31,394     +15

SEP18 5Y NOTE   113.75 C   13,259     -168   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   55,878   +6,000   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   64,214   +7,664   106.12 P       16    UNCH

AUG18 EURODLR    97.50 C   15,280     -500    97.50 P  100,895  +2,000

AUG18 EURODLR    97.62 C   46,186     +975    97.62 P    6,329    UNCH

SEP18 EURODLR    97.75 C  293,934   +2,000    97.75 P  220,188    UNCH

SEP18 EURODLR    97.87 C  128,241     +125    97.87 P  150,433    UNCH

SEP19 1Y-MIDC    97.12 C  153,288   +5,109    97.12 P  428,537    -376

SEP19 1Y-MIDC    97.25 C  187,821  +22,122    97.25 P  103,631    UNCH

SEP20 2Y-MIDC    97.00 C   88,731     +625    97.00 P  353,215    +200

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

SEP21 3Y-MIDC    96.87 C   10,125     UNCH    96.87 P   32,749    -246

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

     PUT/CALL RATIO FOR VOLUME CLEARED:

     AUG18 10Y NOTE PUT/CALL RATIO  -- 1.66 (78,819 PUTS VS. 47,574 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.47 (79,811 PUTS VS. 54,346  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 1.47 (27,567 PUTS VS. 18,711 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.15 (24,625 PUTS VS. 21,367 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 134 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.11 (4,722 PUTS VS. 44,394 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.84 (2,550 PUTS VS. 3,050 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.65 (19,000 PUTS VS. 29,409 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.05 (1,250 PUTS VS. 26,750 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 21.5 (17,200 PUTS VS. 800 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 1.56 (16,400 PUTS VS. 10,500 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

THU OPEN     47.52    54.33    57.05    58.42    68.65    74.22

WED 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

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

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