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

1330        N/A   6.57%    N/A   3.80%    N/A   2.69%   23.40%  21.30%

1200        N/A   6.65%    N/A   3.83%    N/A   2.73%   23.30%  20.80%

1030        N/A   6.96%    N/A   4.06%    N/A   2.83%   23.88%  21.12%

FRI OPEN    N/A   7.11%    N/A   4.12%    N/A   2.89%   24.18%  21.12%

THU 1500    N/A   7.23%    N/A   4.10%    N/A   2.84%   23.90%  20.93%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  102,433      -85

SEP19 10Y NOTE  130.00 C   91,725   +2,706   126.50 P  149,920   +5,193

AUG19 5Y NOTE   118.00 C   87,765      +74   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   41,960     +106   116.75 P   81,272   -1,592

AUG19 2Y NOTE   107.62 C    7,876     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  644,066     UNCH    97.87 P  278,353  -11,571

SEP19 EURODLR    98.25 C  719,817     UNCH    97.50 P  555,379       -1

SEP20 1Y-MIDC    98.12 C  141,403     UNCH    97.75 P  161,624   -3,308

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   41,676   -4,451   127.00 P   70,836   -1,001

AUG19 10Y NOTE  127.50 C   58,089  +14,641   127.50 P   30,911     -598

SEP19 10Y NOTE  127.00 C   47,411     -821   127.00 P   77,295   +8,731

SEP19 10Y NOTE  127.50 C   44,281   +1,734   127.50 P   51,340   +3,143

AUG19 5Y NOTE   117.50 C   14,494   -2,304   117.50 P   56,240   -5,984

AUG19 5Y NOTE   117.75 C   82,430   +1,584   117.75 P   51,946   -1,253

SEP19 5Y NOTE   117.50 C   23,930   +4,629   117.50 P   81,244   +6,774

SEP19 5Y NOTE   117.75 C   29,876     -143   117.75 P   46,928     +357

AUG19 2Y NOTE   107.25 C    4,138     +182   107.25 P    9,550     -357

AUG19 2Y NOTE   107.38 C    5,798      -88   107.38 P    9,058     UNCH

SEP19 2Y NOTE   107.25 C    4,499     +204   107.25 P    8,084   +2,127

SEP19 2Y NOTE   107.38 C    7,773     -322   107.38 P   13,885     -325

AUG19 EURODLR    97.87 C  261,215   -5,324    97.87 P  278,353  -11,571

AUG19 EURODLR    98.00 C  305,927  -11,588    98.00 P   75,352   -6,453

SEP19 EURODLR    97.87 C  488,429     +250    97.87 P  246,729   -2,750

SEP19 EURODLR    98.00 C  398,881     +263    98.00 P   59,666     UNCH

SEP20 1Y-MIDC    98.25 C   90,607     +338    98.25 P   56,153   +2,931

SEP20 1Y-MIDC    98.37 C   91,630     -643    98.37 P   49,425   +1,483

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     UNCH    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   -- 1.02 (156,791 PUTS VS. 152,870 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 3.75 (345,689 PUTS VS. 92,383 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.93 (45,239 PUTS VS. 48,174 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 4.03 (117,001 PUTS VS. 29,328 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 1.71 (2,416 PUTS VS. 1,467 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 5.23 (8,942 PUTS VS. 1,788 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.11 (98,792 PUTS VS. 88,506 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.34 (16,089 PUTS VS. 46,756 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.27 (23,000 PUTS VS. 18,179 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 5,592 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (100 PUTS VS. 0 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

1330        67.03    60.05    65.20    60.22    62.43     64.81

1200        67.31    60.43    65.06    60.43    62.46     64.76

1030        67.13    60.45    65.34    60.62    62.44     64.83

Fri Open    67.19    60.66    65.49    60.67    62.44     64.77

Thu 1500    68.38    61.02    66.47    61.61    62.78     64.92

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

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

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