US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 13

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

FRI OPEN  10.90%  9.23%   5.61%  4.65%   3.85%  3.08%    N/A    31.60%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   84,479     +135   129.00 P  123,623   +7,140

DEC19 10Y NOTE  134.00 C   58,285      +97   116.00 P   50,915     UNCH

OCT19 5Y NOTE   120.50 C   31,785     UNCH   119.00 P  101,348  -10,542

DEC19 5Y NOTE   120.00 C   20,330     +150   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    4,053     UNCH   107.50 P   26,668     UNCH

DEC19 2Y NOTE   111.37 C    5,437      +96   105.75 P    5,400     UNCH

SEP19 EURODLR    98.25 C  547,599     UNCH    97.87 P  558,273     UNCH

OCT19 EURODLR    98.25 C  542,748     -877    98.00 P  144,993     +103

SEP20 1Y-MIDC    98.12 C  139,427     UNCH    98.25 P  177,956   -8,200

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   31,298   +3,701   130.00 P   71,144  -19,249

OCT19 10Y NOTE  130.50 C   31,154      -64   130.50 P   52,378     -242

DEC19 10Y NOTE  130.00 C   13,702   +2,158   130.00 P   36,016   +1,616

DEC19 10Y NOTE  130.50 C   12,461     +411   130.50 P   22,743      +18

OCT19 5Y NOTE   119.00 C   11,796   +3,240   119.00 P  101,348  -10,542

OCT19 5Y NOTE   119.25 C   12,334   +2,898   119.25 P   32,454     -570

DEC19 5Y NOTE   119.00 C    8,065     +109   119.00 P    6,497     +313

DEC19 5Y NOTE   119.25 C   12,780     UNCH   119.25 P    7,036       +5

OCT19 2Y NOTE   107.50 C      414       +1   107.50 P   26,668     UNCH

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

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

DEC19 2Y NOTE   107.62 C      292     +100   107.62 P      473     UNCH

SEP19 EURODLR    97.87 C  485,402     UNCH    97.87 P  558,273     UNCH

SEP19 EURODLR    98.00 C  333,209     -500    98.00 P  187,419     +100

OCT19 EURODLR    98.00 C  115,167   +1,024    98.00 P  144,993     +103

OCT19 EURODLR    98.12 C   84,189   +9,977    98.12 P  102,818   -3,888

SEP20 1Y-MIDC    98.50 C   63,818   +2,966    98.50 P  139,820  -18,097

SEP20 1Y-MIDC    98.62 C   83,110   +4,107    98.62 P   54,441   -2,452

SEP21 2Y-MIDC    98.62 C   20,584   +1,609    98.62 P   23,434     -616

SEP21 2Y-MIDC    98.75 C   24,137   -2,500    98.75 P   17,645     UNCH

SEP22 3Y-MIDC    98.50 C   47,516     -411    98.50 P   21,039   -1,250

SEP22 3Y-MIDC    98.62 C   12,459     +277    98.62 P   14,901     -100

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 3.02 (433,817 PUTS VS. 143,249 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 2.17 (152,792 PUTS VS. 70,255 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.02 (112,690 PUTS VS. 37,338 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.13 (10,197 PUTS VS. 8,991 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.47 (1,991 PUTS VS. 4,074 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.25 (123 PUTS VS. 481 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.75 (7,053 PUTS VS. 4,002 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.08 (41,908 PUTS VS. 494,384 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.68 (103,083 PUTS VS. 61,373 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.03 (12,951 PUTS VS. 12,551 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 12.6 (13,962 PUTS VS. 1,150 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

Fri Open    79.53    77.62    76.74    74.58    65.18     64.50

Thu 1500    80.01    76.74    76.82    74.61    65.64     65.03

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

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

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