US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 11

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

WED 1500  10.75%  9.15%   5.50%  4.65%   3.83%  3.08%    N/A    31.38%

0945      11.35%  9.44%   5.82%  4.79%   4.10%  3.17%    N/A    34.73%

WED OPEN  11.40%  9.25%   5.72%  4.71%   4.01%  3.13%    N/A    33.75%

TUE 1500  10.95%  9.26%   5.49%  4.70%   3.87%  3.07%    N/A    37.17%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   81,554   -1,131   129.00 P  113,590   +5,451

DEC19 10Y NOTE  134.00 C   53,458   +2,622   116.00 P   50,915     UNCH

OCT19 5Y NOTE   120.50 C   31,785     -527   119.00 P  111,656   -2,962

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

OCT19 2Y NOTE   108.25 C    3,850      -83   107.50 P   29,168   -2,500

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  565,403   -7,701

OCT19 EURODLR    98.50 C  564,321   -4,398    98.00 P  143,479     -282

SEP20 1Y-MIDC    98.12 C  139,427     -483    98.25 P  204,856   -4,150

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

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

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  130.00 C   25,659     +360   130.00 P   93,646   -9,179

OCT19 10Y NOTE  130.50 C   28,046   +4,707   130.50 P   51,979   -1,557

DEC19 10Y NOTE  130.00 C   10,738   +1,517   130.00 P   35,324   +1,306

DEC19 10Y NOTE  130.50 C   10,560      -84   130.50 P   22,725   -3,941

OCT19 5Y NOTE   119.00 C    7,065     -172   119.00 P  111,656   -2,962

OCT19 5Y NOTE   119.25 C    8,257   +4,184   119.25 P   43,379   +1,568

DEC19 5Y NOTE   119.00 C    7,956     +416   119.00 P    6,550       +5

DEC19 5Y NOTE   119.25 C   12,780   +2,041   119.25 P    7,031   +1,543

OCT19 2Y NOTE   107.50 C      413     UNCH   107.50 P   29,168   -2,500

OCT19 2Y NOTE   107.62 C    1,403     UNCH   107.62 P   11,070     +221

DEC19 2Y NOTE   107.50 C      519     UNCH   107.50 P    1,029     UNCH

DEC19 2Y NOTE   107.62 C      100     UNCH   107.62 P      430     UNCH

SEP19 EURODLR    97.87 C  485,316   -3,947    97.87 P  565,403   -7,701

SEP19 EURODLR    98.00 C  334,392     -766    98.00 P  187,319     UNCH

OCT19 EURODLR    98.00 C  114,143     +100    98.00 P  143,479     -282

OCT19 EURODLR    98.12 C   74,462     +565    98.12 P  107,456   -1,076

SEP20 1Y-MIDC    98.50 C   63,316   -2,142    98.50 P  165,233     -535

SEP20 1Y-MIDC    98.62 C   83,291   -3,919    98.62 P   58,118   -4,807

SEP21 2Y-MIDC    98.62 C   22,715     -231    98.62 P   28,425   +1,946

SEP21 2Y-MIDC    98.75 C   26,637     UNCH    98.75 P   17,645     +225

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   21,827     -208

SEP22 3Y-MIDC    98.62 C   12,182     +800    98.62 P   15,001     -176

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.64 (214,626 PUTS VS. 130,778 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.97 (65,654 PUTS VS. 67,587 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.71 (111,424 PUTS VS. 30,138 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.86 (27,184 PUTS VS. 9,578 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 2.30 (6,916 PUTS VS. 3,011 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.10 (460 PUTS VS. 415 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.59 (20,697 PUTS VS. 34,748 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.59 (59,978 PUTS VS. 99,922 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 2.63 (58,351 PUTS VS. 22,763 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.14 (10,753 PUTS VS. 7,473 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.03 (6,113 PUTS VS. 3,038 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

Wed 1500    80.51    80.00    77.59    75.55    67.28     66.40

0945        81.50    82.33    78.48    76.34    67.71     66.59

Wed Open    81.12    81.91    77.95    75.85    67.67     66.68

Tue 1500    80.82    79.56    77.37    75.16    67.65     66.71

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

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

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