US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 14

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDU     EDV

12:00      7.47%  7.46%   4.02%  3.94%   2.47%  2.32%    N/A    17.22%

10:15      7.09%  7.40%   3.98%  3.97%   2.48%  2.31%    N/A    17.46%

9:00       7.07%  7.51%   3.98%  3.97%   2.54%  2.36%    N/A    17.99%

THU OPEN   7.46%  7.51%   4.17%  3.97%   2.49%  2.35%    N/A    17.52%

WED 3:00   7.46%  7.53%   4.10%  3.95%   2.34%  2.32%    N/A    17.25%

WED OPEN   7.40%  7.41%   4.06%  3.93%   2.57%  2.37%    N/A    16.51%

TUE 3:00   7.38%  7.41%   3.78%  3.95%   2.45%  2.32%    N/A    16.85%

TUE OPEN   7.47%  7.49%   4.05%  3.94%   2.41%  2.35%    N/A    16.50%

MON 3:00   7.74%  7.70%   4.18%  4.02%   2.52%  2.35%    N/A    17.45%

MON OPEN   7.88%  7.87%   4.19%  4.03%   2.34%  2.38%    N/A    16.02%

FRI 3:00   8.46%  8.04%   4.40%  4.16%   2.59%  2.48%   21.33%  16.21%

FRI OPEN   8.41%  8.16%   4.35%  4.12%   2.40%  2.44%   23.45%  17.62%

THU 3:00   8.26%  8.12%   4.36%  4.12%   2.44%  2.41%   20.13%  17.50%

THU OPEN   8.11%  7.94%   4.20%  4.15%   2.36%  2.39%   16.00%  15.97%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   90,720   -1,389   126.00 P   71,188  +1,504

DEC17 10Y NOTE  129.00 C   91,932     -288   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   35,446     +712   118.00 P   28,371    -637

DEC17 5Y NOTE   118.25 C   12,218      -18   112.25 P  101,550    UNCH

SEP17 EURODLR    98.75 C  335,345     UNCH    98.37 P  746,921    UNCH

OCT17 EURODLR    98.62 C  116,755     UNCH    98.50 P  155,885  +2,250

SEP18 1Y-MIDC    98.37 C   98,693   -3,711    98.12 P  213,382  +2,000

SEP19 2Y-MIDC    98.75 C  136,631     UNCH    97.12 P  192,279    UNCH

SEP20 3Y-MIDC    98.00 C   41,931     UNCH    97.62 P   56,664    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   90,720   -1,389   127.00 P   32,683    -734

OCT17 10Y NOTE  127.50 C   85,272   +1,777   127.50 P   14,271    -544

DEC17 10Y NOTE  127.00 C   24,760     +178   127.00 P   22,030     +48

DEC17 10Y NOTE  127.50 C   24,068     +247   127.50 P   12,413    UNCH

OCT17 5Y NOTE   118.25 C    9,626     -547   118.25 P   24,708  -1,382

OCT17 5Y NOTE   118.50 C   14,152     +833   118.50 P   12,247    -207

DEC17 5Y NOTE   118.25 C   12,218      -18   118.25 P   16,861      -5

DEC17 5Y NOTE   118.50 C    6,564     +826   118.50 P   15,561     +75

SEP17 EURODLR    98.62 C  252,473     UNCH    98.62 P  261,417  -3,453

SEP17 EURODLR    98.75 C  335,345     UNCH    98.75 P  107,287    UNCH

OCT17 EURODLR    98.50 C   37,442     +250    98.50 P  155,885  +2,250

OCT17 EURODLR    98.62 C  116,755     UNCH    98.62 P   26,288    UNCH

SEP18 1Y-MIDC    98.37 C   98,693   -3,711    98.37 P   88,820  +1,039

SEP18 1Y-MIDC    98.50 C   60,846   -9,650    98.50 P   14,855    UNCH

SEP19 2Y-MIDC    98.00 C   62,838     UNCH    98.00 P  109,990     +54

SEP19 2Y-MIDC    98.12 C  116,573     UNCH    98.12 P   92,631  +1,766  

SEP20 3Y-MIDC    97.75 C   27,133     UNCH    97.75 P   34,884    UNCH

SEP20 3Y-MIDC    97.87 C   22,685     UNCH    97.87 P   31,372    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 0.78 (96,911 PUTS VS. 123,219 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 1.05 (30,095 PUTS VS. 28,441 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 1.00 (24,676 PUTS VS. 22,256 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 0.57 (15,216 PUTS VS. 26,650 CALLS)

SEP17 EURODLRS PUT/CALL RATIO -- 0.17 (5,000 PUTS VS. 29,249 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 7.00 (14,000 PUTS VS. 3,500 CALLS)

SEP18 1Y-MIDCRVE PUT/CALL RATIO -- 0.24 (5,170 PUTS VS. 20,775 CALLS)

SEP19 2Y-MIDCRVE PUT/CALL RATIO -- 0.11 (3,500 PUTS VS. 31,910 CALLS)

SEP20 3Y-MIDCRVE PUT/CALL RATIO -- 12.8 (10,230 PUTS VS. 800 CALLS)

(VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED 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

12:00        39.36    58.12    56.53    61.53    72.95    78.23

10:15        39.37    58.53    56.64    61.75    73.00    78.23

9:00         39.29    58.90    56.38    61.75    73.07    78.25

Thu Open     39.29    58.79    56.38    61.75    73.07    78.25

Wed 3:00     39.00    59.48    56.03    61.48    73.13    78.26

Wed Open     38.95    59.68    56.13    61.74    73.42    78.45

Tue 3:00     39.06    59.79    56.12    61.99    73.27    78.58

Tue Open     38.86    59.63    56.19    62.21    73.52    78.76

Mon 3:00     39.26    59.89    56.59    63.01    73.67    78.90

Mon Open     39.70    61.39    57.66    64.00    74.32    79.18

Fri 3:00     39.86    61.73    57.95    64.37    74.34    79.16

Fri Open     40.12    62.27    58.29    64.48    74.68    79.20

Thu 3:00     39.92    61.11    57.62    63.82    74.62    79.17

Thu Open     40.03    60.37    57.44    63.79    74.54    79.16

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

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