US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 29

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

1030       6.75%  6.81%   3.93%  3.98%   2.81%  2.75%   25.96%  21.20%

MON OPEN   6.58%   N/A    3.82%   N/A    2.67%   N/A    22.06%  21.16%

FRI 1500   6.58%   N/A    3.82%   N/A    2.67%   N/A    22.06%  21.16%

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

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

THU OPEN   7.19%   N/A    4.11%   N/A    2.83%   N/A    24.25%  22.00%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

SEP19 10Y NOTE  130.00 C   92,856   +1,131   126.50 P  163,601  +13,681

OCT19 10Y NOTE  128.00 C   18,368   +6,528   125.00 P   14,189   +5,545

SEP19 5Y NOTE   118.00 C   47,734   +8,503   117.50 P   82,722   +1,578

OCT19 5Y NOTE   120.00 C   18,767  +12,517   111.00 P   20,510     UNCH

SEP19 2Y NOTE   107.38 C    9,587   +1,814   107.00 P   33,713     UNCH

OCT19 2Y NOTE   107.62 C    1,096     UNCH   106.50 P    1,000     UNCH

AUG19 EURODLR    98.25 C  644,566     +500    97.87 P  272,600   -5,573

SEP19 EURODLR    98.25 C  713,938   -5,879    97.50 P  552,610   -2,769

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

SEP19 10Y NOTE  127.00 C   49,455   +2,044   127.00 P   80,201   +2,906

SEP19 10Y NOTE  127.50 C   49,926   +5,645   127.50 P   52,980   +1,640

OCT19 10Y NOTE  127.50 C    5,081     +292   127.50 P    6,465     +317

OCT19 10Y NOTE  128.00 C   18,368   +6,528   128.00 P    4,287     +451

SEP19 5Y NOTE   117.50 C   24,638     +708   117.50 P   82,722   +1,578

SEP19 5Y NOTE   117.75 C   29,052     -824   117.75 P   47,056     +128

OCT19 5Y NOTE   117.75 C      100      +72   117.75 P      613      +85

OCT19 5Y NOTE   118.00 C    7,630   +5,130   118.00 P    7,500   +5,000

SEP19 2Y NOTE   107.25 C    6,089   +1,590   107.25 P    8,292     +208

SEP19 2Y NOTE   107.38 C    9,587   +1,814   107.38 P   13,885     UNCH

OCT19 2Y NOTE   107.38 C        0     UNCH   107.38 P      502     UNCH

OCT19 2Y NOTE   107.50 C      150     +150   107.50 P      358     +350

AUG19 EURODLR    97.87 C  282,165  +20,950    97.87 P  272,600   -5,573

AUG19 EURODLR    98.00 C  305,845      -82    98.00 P   75,302      -50

SEP19 EURODLR    97.87 C  482,123   -6,306    97.87 P  243,700   -3,029

SEP19 EURODLR    98.00 C  406,145   +7,264    98.00 P   59,616      -50

SEP20 1Y-MIDC    98.25 C   90,382     -558    98.25 P   56,697     +544

SEP20 1Y-MIDC    98.37 C   91,330     -300    98.37 P   49,425     UNCH

SEP21 2Y-MIDC    98.25 C   41,553     UNCH    98.25 P   22,041   +2,367

SEP21 2Y-MIDC    98.37 C   55,407     UNCH    98.37 P   19,326     UNCH

SEP22 3Y-MIDC    98.25 C   73,890     +100    98.25 P   16,666     UNCH

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP19 10Y NOTE PUT/CALL RATIO   -- 3.75 (181,177 PUTS VS. 75,040 CALLS)

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.02 (33,346 PUTS VS. 44,343 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 4.03 (105,415 PUTS VS. 49,809 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 0.93 (22,764 PUTS VS. 22,803 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 1.71 (17,998 PUTS VS. 12,617 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 5.23 (666 PUTS VS. 150 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.11 (68,756 PUTS VS. 39,582 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.34 (49,384 PUTS VS. 333,736 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.27 (23,000 PUTS VS. 2,860 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.00 (8,950 PUTS VS. 2,800 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.01 (204 PUTS VS. 200 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

1030        65.56    58.48    63.17    58.49    61.88     64.24

Mon Open    67.21    59.81    64.45    59.21    62.14     64.68

Fri 1500    67.21    59.81    64.45    59.21    62.14     64.68

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

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

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