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

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

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

THU 1500   7.08%  7.15%   4.44%  4.39%   3.07%  2.98%   31.90%  28.01%

1330       7.12%  7.18%   4.45%  4.38%   3.08%  2.97%   31.85%  27.79%

1200       7.12%  7.17%   4.40%  4.37%   3.10%  2.96%   31.80%  28.08%

1030       7.10%  7.20%   4.43%  4.38%   3.08%  2.95%   31.63%  27.78%

THU OPEN   7.15%  7.15%   4.39%  4.28%   3.08%  2.95%   31.19%  28.68%

WED 1500   7.17%  7.19%   4.44%  4.39%   3.10%  3.00%   33.20%  28.56%

WED OPEN   7.51%  7.60%   4.59%  4.52%   3.21%  3.10%   35.85%  29.60%

TUE 1500   7.52%  7.63%   4.64%  4.54%   3.25%  3.11%   36.36%  29.70%

TUE OPEN   7.41%  7.42%   4.57%  4.41%   3.18%  3.04%   37.77%  31.03%

MON 1500   7.40%  7.36%   4.54%  4.40%   3.20%  3.02%   39.01%  31.10%

MON OPEN   7.09%  7.15%   4.40%  4.27%   3.08%  2.96%   37.60%  29.85%

FRI 1500    N/A   7.15%    N/A   4.23%    N/A   2.94%   34.50%  29.12%

FRI OPEN    N/A   7.17%    N/A   4.19%    N/A   2.85%   31.65%  27.15%

THU 1500   8.82%  7.27%   4.18%  4.33%   3.14%  2.93%   34.42%  27.89%

THU OPEN   9.31%  7.55%   5.59%  4.40%   3.27%  3.01%   35.55%  28.99%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   121.50 P   92,023     +106

SEP19 10Y NOTE  128.00 C   51,419   +1,230   121.00 P  130,215      +22

AUG19 5Y NOTE   119.00 C   81,448   +6,946   113.25 P  127,079     UNCH

SEP19 5Y NOTE   119.00 C   41,719     +118   106.50 P   80,409       +6

AUG19 2Y NOTE   108.00 C    5,107   +2,180   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    8,128     +750   107.00 P   23,060     UNCH

JUL19 EURODLR    98.00 C  218,280   -6,372    97.75 P  190,059   +1,200

SEP19 EURODLR    98.25 C  804,917   +2,669    97.50 P  808,667       -2

SEP20 1Y-MIDC    98.12 C  142,859     UNCH    97.75 P  172,897     UNCH

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  125,307     UNCH    97.50 P   55,580     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.50 C   38,727     +312   127.50 P   30,090     +114

AUG19 10Y NOTE  128.00 C   58,305   +4,088   128.00 P   18,580   +3,002

SEP19 10Y NOTE  127.50 C   22,794     +306   127.50 P   24,003     +474

SEP19 10Y NOTE  128.00 C   51,419   +1,230   128.00 P   16,312   +1,951

AUG19 5Y NOTE   118.00 C   29,102     +736   118.00 P    9,097   +1,915

AUG19 5Y NOTE   118.25 C   16,049     +328   118.25 P    7,875     -120

SEP19 5Y NOTE   118.00 C   16,901     +323   118.00 P    7,785      +81

SEP19 5Y NOTE   118.25 C   12,748   +1,837   118.25 P    9,195   +2,000

AUG19 2Y NOTE   107.50 C    1,425     UNCH   107.50 P    3,239     UNCH

AUG19 2Y NOTE   107.62 C    5,833   +3,836   107.62 P    6,700   +3,925

SEP19 2Y NOTE   107.50 C    2,231     UNCH   107.50 P    5,171     +100

SEP19 2Y NOTE   107.62 C      555     UNCH   107.62 P    1,026     UNCH

JUL19 EURODLR    97.87 C  178,600   -2,966    97.87 P  167,931   +1,032

JUL19 EURODLR    98.00 C  218,280   -6,372    98.00 P   80,541     UNCH

SEP19 EURODLR    97.87 C  513,137       -1    97.87 P  127,047   +1,817

SEP19 EURODLR    98.00 C  387,472  -21,868    98.00 P   43,101   +2,400

SEP20 1Y-MIDC    98.37 C   78,525     UNCH    98.37 P   41,386     UNCH

SEP20 1Y-MIDC    98.50 C  111,694     -951    98.50 P   21,312   +5,550

SEP21 2Y-MIDC    98.37 C   52,614     UNCH    98.37 P   14,429      +10

SEP21 2Y-MIDC    98.50 C   21,700   +1,050    98.50 P   11,185   +3,010

SEP22 3Y-MIDC    98.25 C  106,784   +2,500    98.25 P   13,357     UNCH

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   -- 1.42 (96,880 PUTS VS. 67,951 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 1.25 (58,136 PUTS VS. 46,390 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 1.92 (66,890 PUTS VS. 34,752 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 1.44 (21,372 PUTS VS. 14,719 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 1.87 (17,863 PUTS VS. 9,507 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 5.22 (9,472 PUTS VS. 1,893 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.22 (36,017 PUTS VS. 157,508 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.27 (109,242 PUTS VS. 391,860 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.88 (43,190 PUTS VS. 22,903 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.05 (3,280 PUTS VS. 3,125 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.18 (1,840 PUTS VS. 9,500 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 1500    80.43    65.62    75.17    66.94    62.84     66.00

1330        80.67    65.39    75.21    66.92    62.90     66.11

1200        80.28    65.69    75.11    66.70    62.96     66.15

1030        80.50    65.73    75.32    66.84    63.06     66.21

Thu Open    80.53    66.02    75.48    67.01    63.22     66.25

Wed 1500    82.28    68.40    76.53    67.84    63.43     66.55

Wed Open    85.80    71.32    79.45    69.27    63.61     66.60

Tue 1500    85.79    71.34    79.56    69.29    63.58     66.55

Tue Open    85.35    70.81    77.99    68.10    63.03     66.29

Mon 1500    84.76    70.96    77.69    67.95    63.01     66.35

Mon Open    84.26    69.47    76.47    66.75    62.93     66.31

Fri 1500    83.84    68.47    75.29    66.37    63.25     66.64

Fri Open    82.85    66.11    73.52    65.08    63.21     66.71

Thu 1500    85.19    66.77    76.41    66.43    63.52     66.76

Thu Open    84.52    68.21    75.33    66.27    63.81     66.77

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

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