US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 16

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

MON OPEN  14.63%  9.90%   7.35%  5.01%   5.05%  3.32%   33.60%  30.75%

FRI 1500  12.18%  9.71%   6.26%  4.98%   4.25%  3.23%   31.17%   N/A

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

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

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

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

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   84,375      -47   129.00 P  107,154  -16,569

DEC19 10Y NOTE  134.00 C   59,397   +1,112   127.00 P   87,802  +32,028

OCT19 5Y NOTE   120.50 C   31,785     UNCH   119.00 P   91,456   -9,892

DEC19 5Y NOTE   120.00 C   20,346      +16   109.00 P   48,252     UNCH

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

DEC19 2Y NOTE   108.50 C    6,898   +2,020   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  511,943  -30,805    98.00 P  137,152   -7,841

DEC19 EURODLR    98.25 C  475,085  +37,569    97.25 P1,056,839     UNCH

DEC20 1Y-MIDC    98.87 C  153,473   +1,797    98.00 P  213,027   -6,920

DEC21 2Y-MIDC    98.50 C   86,589     +624    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   56,018     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  129.00 C   22,361  +10,407   129.00 P  107,154  -16,569

OCT19 10Y NOTE  129.50 C   18,425   +5,747   129.50 P   65,513  -13,888

DEC19 10Y NOTE  129.00 C    5,065   +2,807   129.00 P   32,735   +2,078

DEC19 10Y NOTE  129.50 C   12,256     +647   129.50 P   40,990   -1,672

OCT19 5Y NOTE   118.25 C    3,862   -1,518   118.25 P   36,663   -1,203

OCT19 5Y NOTE   118.50 C    6,746   +5,359   118.50 P   51,475      +87

DEC19 5Y NOTE   118.25 C      199      +62   118.25 P    4,206      -22

DEC19 5Y NOTE   118.50 C    1,908      -46   118.50 P   12,431     +814

OCT19 2Y NOTE   107.50 C      462      +48   107.50 P   26,668     UNCH

OCT19 2Y NOTE   107.62 C    1,404       +1   107.62 P   11,169       -1

DEC19 2Y NOTE   107.50 C      519     UNCH   107.50 P    1,024       -5

DEC19 2Y NOTE   107.62 C      192     UNCH   107.62 P      467       -6

OCT19 EURODLR    98.00 C  127,892  +12,725    98.00 P  137,152   -7,841

OCT19 EURODLR    98.12 C   82,095   -2,094    98.12 P   99,418   -3,400

DEC19 EURODLR    97.87 C  377,312     +309    97.87 P  338,216   -1,603

DEC19 EURODLR    98.00 C  278,647   -9,047    98.00 P  332,021   +4,498

DEC20 1Y-MIDC    98.37 C   44,751       +5    98.37 P  143,564   -2,477

DEC20 1Y-MIDC    98.50 C   31,498     UNCH    98.50 P   55,998     +776

DEC21 2Y-MIDC    98.37 C   51,398  -48,705    98.37 P   19,833     -200

DEC21 2Y-MIDC    98.50 C   86,589     +624    98.50 P   31,795   +1,523

DEC22 3Y-MIDC    98.37 C   10,956     UNCH    98.37 P    4,357     UNCH

DEC22 3Y-MIDC    98.50 C   34,175     UNCH    98.50 P   17,000     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 3.26 (522,038 PUTS VS. 160,776 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.33 (132,697 PUTS VS. 99,051 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 3.91 (156,551 PUTS VS. 40,057 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 3.48 (39,717 PUTS VS. 11,436 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 6.21 (9,315 PUTS VS. 1,538 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.12 (9,336 PUTS VS. 8,358 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.43 (90,062 PUTS VS. 207,244 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.08 (75,792 PUTS VS. 936,868 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 2.07 (108,530 PUTS VS. 52,500 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 0.01 (3,007 PUTS VS. 201,950 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (3,836 PUTS VS. 0 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

Mon Open    80.92    87.16    81.54    79.45    65.75     64.25

Fri 1500    80.06    83.89    80.58    78.53    65.66     64.35

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$]