US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 12

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

THU 1500  10.73%  9.10%   5.73%  4.62%   4.02%  3.10%    N/A    31.18%

1200      10.69%  9.07%   5.60%  4.63%   3.92%  3.07%    N/A    31.60%

1030      10.40%  8.96%   5.44%  4.56%   3.75%  3.04%    N/A    30.70%

THU OPEN  10.35%  9.00%   5.35%  4.53%   3.86%  3.02%    N/A    31.77%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   84,344   +2,790   129.00 P  116,283   +2,693

DEC19 10Y NOTE  134.00 C   58,188   +4,730   116.00 P   50,915     UNCH

OCT19 5Y NOTE   120.50 C   31,785     UNCH   119.00 P  111,890     +234

DEC19 5Y NOTE   120.00 C   20,180     +177   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    4,053     +203   107.50 P   26,668   -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  558,273   -7,130

OCT19 EURODLR    98.50 C  564,323       +2    98.00 P  144,890   +1,411

SEP20 1Y-MIDC    98.12 C  139,427     UNCH    98.25 P  186,156  -18,700

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   27,597   +1,938   130.00 P   90,212   -3,434

OCT19 10Y NOTE  130.50 C   31,218   +3,172   130.50 P   52,622     +643

DEC19 10Y NOTE  130.00 C   11,544     +806   130.00 P   34,400     -924

DEC19 10Y NOTE  130.50 C   12,050   +1,490   130.50 P   22,725     UNCH

OCT19 5Y NOTE   119.00 C    8,556   +1,491   119.00 P  111,890     +234

OCT19 5Y NOTE   119.25 C    9,436   +1,179   119.25 P   33,024  -12,355

DEC19 5Y NOTE   119.00 C    7,956     UNCH   119.00 P    6,184     -386

DEC19 5Y NOTE   119.25 C   12,780     UNCH   119.25 P    7,031     UNCH

OCT19 2Y NOTE   107.50 C      413     UNCH   107.50 P   26,668   -2,500

OCT19 2Y NOTE   107.62 C    1,403     UNCH   107.62 P   11,170     +100

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

DEC19 2Y NOTE   107.62 C      192      +92   107.62 P      473      +43

SEP19 EURODLR    97.87 C  485,743     +427    97.87 P  558,273   -7,130

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

OCT19 EURODLR    98.00 C  114,143     UNCH    98.00 P  144,890   +1,411

OCT19 EURODLR    98.12 C   74,212     -250    98.12 P  106,706     -750

SEP20 1Y-MIDC    98.50 C   60,852   -2,464    98.50 P  157,917   -7,316

SEP20 1Y-MIDC    98.62 C   79,003   -4,288    98.62 P   56,893   -1,225

SEP21 2Y-MIDC    98.62 C   18,975   -3,740    98.62 P   24,050   -4,375

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

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   22,289     +462

SEP22 3Y-MIDC    98.62 C   12,182     UNCH    98.62 P   15,001     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.89 (193,240 PUTS VS. 102,158 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.05 (67,900 PUTS VS. 64,551 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.02 (50,990 PUTS VS. 16,805 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 4.45 (16,512 PUTS VS. 3,765 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 13.7 (13,712 PUTS VS. 1,032 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.07 (1,365 PUTS VS. 16,367 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 6.35 (19,724 PUTS VS. 3,100 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.51 (15,232 PUTS VS. 29,702 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 3.35 (47,040 PUTS VS. 14,833 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 2.62 (21,857 PUTS VS. 8,121 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 2.06 (3,100 PUTS VS. 1,499 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    80.01    76.74    76.82    74.61    65.64     65.03

1200        79.70    75.28    76.48    74.19    65.71     65.25

1030        78.97    74.93    76.64    74.37    66.54     65.91

Thu Open    80.01    76.49    77.69    74.93    66.82     65.91

Wed 1500    80.51    80.00    77.59    75.55    67.28     66.40

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

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

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