US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 10

Sep Eurodollar futures & options expire Friday

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

1345      10.63%  9.15%   5.27%  4.63%   3.71%  3.06%    N/A    33.67%

1200      10.50%  9.12%   5.19%  4.59%   3.67%  3.02%    N/A    37.45%

0930      10.40%  9.05%   5.14%  4.58%   3.60%  3.01%    N/A    38.05%

TUE OPEN  10.20%  8.98%   5.09%  4.58%   3.51%  3.00%    N/A    38.21%

MON 1500  10.01%  9.03%   5.07%  4.54%   3.45%  2.98%    N/A    37.80%

MON OPEN  10.16%  9.08%   5.15%  4.62%   3.52%  3.01%    N/A    38.96%

THU 1500  10.03%  9.24%   5.22%  4.75%   3.45%  3.08%   22.88%  42.70%

THU OPEN  10.13%  9.29%   5.33%  4.81%   3.59%  3.12%   22.60%  42.30%

WED 1500  10.22%  9.38%   5.32%  4.80%   3.56%  3.15%   26.75%  43.17%

WED OPEN  10.55%  9.65%   5.35%  4.90%   3.62%  3.20%   27.15%  41.47%

TUE 1500  10.81%  9.80%   5.40%  4.92%   3.68%  3.23%   27.80%  41.28%

TUE OPEN  11.20%  10.06%  5.59%  5.05%   3.71%  3.27%   20.70%  41.00%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   82,685   -3,775   129.00 P  108,139     -115

DEC19 10Y NOTE  134.00 C   50,836  +10,323   116.00 P   50,915     UNCH

OCT19 5Y NOTE   120.50 C   32,312   +5,902   119.00 P  114,618  +16,195

DEC19 5Y NOTE   120.00 C   20,003   +8,609   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    3,933     +138   107.50 P   31,668     UNCH

DEC19 2Y NOTE   111.37 C    5,811     UNCH   105.75 P    5,400     UNCH

SEP19 EURODLR    98.25 C  547,599     UNCH    97.87 P  573,104   +7,004

OCT19 EURODLR    98.50 C  568,719   +2,897    98.00 P  143,761   +2,597

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  209,006     UNCH

SEP21 2Y-MIDC    98.12 C   83,005     -600    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  115,152     -350    98.00 P   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  131.50 C   48,125   -3,756   131.50 P   38,810   -2,278

OCT19 10Y NOTE  132.00 C   82,685   -3,775   132.00 P   19,097     -502

DEC19 10Y NOTE  131.50 C   15,752   -2,118   131.50 P   14,533     -204

DEC19 10Y NOTE  132.00 C   23,967     -656   132.00 P   16,340      -29

OCT19 5Y NOTE   119.50 C    5,400     -123   119.50 P   40,669     +291

OCT19 5Y NOTE   119.75 C   16,042     -288   119.75 P   13,434     -144

DEC19 5Y NOTE   119.50 C   10,104   +1,962   119.50 P    3,656   +1,861

DEC19 5Y NOTE   119.75 C   17,925     +591   119.75 P   17,040     +166

OCT19 2Y NOTE   107.88 C      177     -182   107.88 P      578     UNCH

OCT19 2Y NOTE   108.00 C    1,722       -6   108.00 P        1     UNCH

DEC19 2Y NOTE   107.88 C      210     +195   107.88 P      278     +124

DEC19 2Y NOTE   108.00 C    1,690       +2   108.00 P      705       +2

SEP19 EURODLR    98.00 C  335,158     +367    98.00 P  187,319     UNCH

SEP19 EURODLR    98.12 C  286,841     UNCH    98.12 P   19,040     UNCH

OCT19 EURODLR    98.00 C  114,043   +2,951    98.00 P  143,761   +2,597

OCT19 EURODLR    98.12 C   75,397   +9,734    98.12 P  108,532   -3,350

SEP20 1Y-MIDC    98.50 C   65,458   -2,695    98.50 P  165,768     -200

SEP20 1Y-MIDC    98.62 C   87,210     -355    98.62 P   62,925   -3,975

SEP21 2Y-MIDC    98.62 C   22,946     UNCH    98.62 P   26,479   -1,000

SEP21 2Y-MIDC    98.75 C   26,637   -2,862    98.75 P   17,420     -750

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   22,035     UNCH

SEP22 3Y-MIDC    98.62 C   11,382      -18    98.62 P   15,177   -1,834

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.08 (113,459 PUTS VS. 104,453 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.99 (34,194 PUTS VS. 34,371 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.58 (86,004 PUTS VS. 24,883 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.59 (13,289 PUTS VS. 22,206 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 4.75 (4,752 PUTS VS. 1,024 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.05 (272 PUTS VS. 4,703 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 3.35 (43,650 PUTS VS. 13,000 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.18 (23,912 PUTS VS. 126,624 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.63 (26,625 PUTS VS. 10,100 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.64 (5,750 PUTS VS. 8,815 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.50 (11,500 PUTS VS. 4,600 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

1345        80.65    79.37    76.81    75.16    67.43     66.54

1200        80.45    79.70    76.87    75.13    67.43     66.55

0930        80.37    80.10    76.75    75.05    67.38     66.49

Tue Open    80.23    80.45    76.74    74.95    67.33     66.44

Mon 1500    79.94    80.81    77.15    75.15    67.61     66.62

Mon Open    80.31    79.95    77.02    74.91    68.12     66.93

Thu 1500    80.83    80.45    76.60    74.80    68.73     66.93

Thu Open    80.60    84.90    78.47    78.07    69.90     67.95

Wed 1500    80.70    86.21    78.82    78.57    70.12     67.97

Wed Open    82.25    87.55    79.88    79.90    70.33     67.91

Tue 1500    83.51    88.74    80.69    80.49    70.65     68.11

Tue Open    81.19    87.76    80.19    79.71    69.77     67.41

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

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