US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 31

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

            USU    USV     TYU    TYV     FVU    FVV     EDQ     EDU

MON 3:00   7.83%  7.78%   3.73%  3.81%   2.02%  2.34%   18.50%  15.35%

1:45       7.83%  7.78%   3.73%  3.81%   2.02%  2.34%   18.50%  15.35%

12:30      7.92%  7.94%   3.68%  3.89%   2.05%  2.40%   18.50%  15.70%

10:45      7.86%  8.10%   3.76%  3.85%   2.02%  2.42%   17.51%  15.31%

9:30       7.93%  7.85%   3.72%  3.93%   2.06%  2.13%   16.90%  14.25%

MON OPEN   7.89%  7.50%   3.79%  3.80%   2.07%  2.32%   15.32%  15.66%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  127.00 C  169,120     +211   111.00 P  165,472    UNCH

OCT17 10Y NOTE  127.50 C   23,252     +762   123.50 P   19,485    +121

SEP17 5Y NOTE   118.25 C   37,002   +5,253   109.25 P  252,442    UNCH

OCT17 5Y NOTE   118.50 C   10,074      +49   117.00 P   18,459    +522

AUG17 EURODLR    98.62 C   99,858     UNCH    98.50 P  144,360    UNCH

SEP17 EURODLR    98.75 C  317,724   +1,904    98.37 P  750,865    UNCH

SEP18 1Y-MIDC    98.50 C  138,242     UNCH    98.12 P  318,338  +1,000

SEP19 2Y-MIDC    98.75 C  133,187     UNCH    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    97.62 C   35,946     UNCH    97.50 P   48,787     +35

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP17 10Y NOTE  125.50 C   57,569      -95   125.50 P   58,364  +1,075

SEP17 10Y NOTE  126.00 C   64,937     +430   126.00 P   50,434    -110

OCT17 10Y NOTE  125.50 C   13,142   +2,772   125.50 P    9,867  +1,387

OCT17 10Y NOTE  126.00 C    8,371   +1,101   126.00 P    4,943    +162

SEP17 5Y NOTE   117.75 C    5,878      +75   117.75 P   13,057  +1,426

SEP17 5Y NOTE   118.00 C   20,323     +258   118.00 P   16,054  +1,052

OCT17 5Y NOTE   117.75 C    2,436      -40   117.75 P    5,790    +151

OCT17 5Y NOTE   118.00 C    1,052      +10   118.00 P      548    UNCH

AUG17 EURODLR    98.62 C   99,858     UNCH    98.62 P   96,350 +12,769

AUG17 EURODLR    98.75 C   69,656     UNCH    98.75 P    3,484    UNCH

SEP17 EURODLR    98.62 C  245,993   +6,128    98.62 P  238,924  +7,490

SEP17 EURODLR    98.75 C  317,724   +1,904    98.75 P  109,454    UNCH

SEP18 1Y-MIDC    98.37 C  114,834     -551    98.37 P   66,424  +1,936

SEP18 1Y-MIDC    98.50 C  138,242     UNCH    98.50 P   14,612    UNCH

SEP19 2Y-MIDC    98.00 C   63,921     UNCH    98.00 P   97,303    UNCH

SEP19 2Y-MIDC    98.12 C  105,740     UNCH    98.12 P   65,805    -950

SEP20 3Y-MIDC    97.75 C   26,615     UNCH    97.75 P   27,148  -1,000

SEP20 3Y-MIDC    97.87 C   29,778     -414    97.87 P   24,921    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

SEP17 10Y NOTE PUT/CALL RATIO -- 0.68 (81,859 PUTS VS. 120,121 CALLS)

OCT17 10Y NOTE PUT/CALL RATIO -- 0.69 (12,455 PUTS VS. 17,942 CALLS)

SEP17 5Y NOTE PUT/CALL RATIO  -- 0.76 (17,760 PUTS VS. 23,068 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 0.67 (2,158 PUTS VS. 3,197 CALLS)

AUG17 EURODLRS PUT/CALL RATIO -- 0.00 (41,409 PUTS VS. 0 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.61 (26,068 PUTS VS. 42,302 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 3.00 (7,500 PUTS VS. 2,500 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 3.31 (10,600 PUTS VS. 3,250 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 0.24 (800 PUTS VS. 3,350 CALLS)

(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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

Mon 3:00     39.01    57.93    55.56    60.60    73.93    78.94

1:45         39.01    57.93    55.56    60.60    73.93    78.94

12:30        39.01    57.93    55.56    60.60    73.94    78.94

10:45        39.01    58.05    55.70    60.75    73.92    78.94

9:30         39.01    57.97    55.70    60.75    73.99    78.97

Mon Open     39.01    57.85    55.63    60.67    74.30    79.56

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

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