US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 27

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDQ      EDU

FRI 3:00    N/A   6.54%   6.25%  3.38%    N/A   2.19%  12.07%    9.55% 

FRI OPEN    N/A   6.67%   7.10%  3.50%   3.95%  2.20%  10.84%    9.53%

THU 3:00   7.84%  6.81%   4.16%  3.54%   2.68%  2.25%  10.58%    9.88%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.50 C  108,627      -99   118.50 P   91,136  -1,230

SEP18 10Y NOTE  120.00 C  289,528   +2,635   119.00 P  117,278  +3,987

AUG18 5Y NOTE   114.00 C   64,012     UNCH   112.50 P   28,494    +807

SEP18 5Y NOTE   114.25 C   66,732     UNCH   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     UNCH   105.50 P   38,227  +2,000

AUG18 EURODLR    97.62 C   48,936   +2,750    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  348,806   +8,680    97.37 P  534,524 +14,523

SEP19 1Y-MIDC    97.37 C  214,658     UNCH    97.12 P  428,437    -100

SEP20 2Y-MIDC    97.37 C  235,500     -250    97.00 P  353,215    UNCH

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

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

AUG18 10Y NOTE  120.00 C   67,839     -246   120.00 P   38,833  -2,383

AUG18 10Y NOTE  120.50 C  108,627      -99   120.50 P    9,265    -410

SEP18 10Y NOTE  120.00 C  289,528   +2,635   120.00 P   60,936    -369

SEP18 10Y NOTE  120.50 C   93,667   +5,652   120.50 P   24,227  +1,395 

AUG18 5Y NOTE   113.50 C   30,965     UNCH   113.50 P   20,657    UNCH

AUG18 5Y NOTE   113.75 C   31,034     +404   113.75 P    4,349    UNCH

SEP18 5Y NOTE   113.50 C   40,334   +1,026   113.50 P   31,516    +122

SEP18 5Y NOTE   113.75 C   13,006     -253   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   55,884     UNCH   106.00 P    2,940    UNCH

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

AUG18 EURODLR    97.50 C   14,780     -500    97.50 P  103,645  +2,750

AUG18 EURODLR    97.62 C   48,936   +2,750    97.62 P    6,329    UNCH

SEP18 EURODLR    97.75 C  307,560  +13,626    97.75 P  220,388    +200

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

SEP19 1Y-MIDC    97.12 C  154,866   +1,578    97.12 P  428,437    -100

SEP19 1Y-MIDC    97.25 C  191,571   +3,750    97.25 P  103,631    UNCH

SEP20 2Y-MIDC    97.00 C   88,921     +190    97.00 P  353,215    UNCH

SEP20 2Y-MIDC    97.12 C   92,948     -500    97.12 P   70,902    -500

SEP21 3Y-MIDC    96.87 C   10,472     +347    96.87 P   32,489    -260

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 (96,651 PUTS VS. 73,932 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.47 (118,864 PUTS VS. 72,129  CALLS)

AUG18 5Y NOTE PUT/CALL RATIO   -- 1.47 (18,073 PUTS VS. 13,133 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.15 (11,606 PUTS VS. 9,522 CALLS)

AUG18 2Y NOTE PUT/CALL RATIO   -- 0.00 (1,370 PUTS VS. 0 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.11 (5,031 PUTS VS. 12,025 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.84 (2,750 PUTS VS. 3,750 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.65 (47,134 PUTS VS. 80,650 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.05 (47,150 PUTS VS. 950 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 21.5 (34,650 PUTS VS. 22,650 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 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

FRI 3:00     46.57    54.21    56.30    57.96    68.66    74.26

FRI OPEN     47.31    54.43    56.83    58.40    68.72    74.28

THU 3:00     47.47    54.45    57.04    58.46    68.71    74.27

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

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

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