US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 17

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

TUE 1500  13.84%  9.76%   7.59%  5.03%   5.00%  3.29%   34.75%  30.88%

1300      13.83%  9.81%   7.44%  5.05%   5.13%  3.32%   35.05%  31.10%

1100      13.85%  9.83%   7.37%  5.09%   5.04%  3.33%   34.65%  30.47%

0900      13.98%  9.90%   7.42%  5.10%   5.04%  3.32%   34.73%  31.19%

TUE OPEN  14.09%  9.88%   7.45%  5.07%   5.00%  3.31%   34.40%  31.40%

Mon 1500  14.13%  9.97%   7.25%  5.08%   4.82%  3.32%   33.90%  30.50%

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   84,338      -37   129.00 P  107,680     +626

DEC19 10Y NOTE  134.00 C   58,626     -771   127.00 P   63,873  -23,929

OCT19 5Y NOTE   120.50 C   31,785     UNCH   119.00 P   86,138   -5,318

DEC19 5Y NOTE   119.50 C   24,785  +11,589   109.00 P   48,347      +95

OCT19 2Y NOTE   108.00 C    4,301     +750   107.50 P   26,668     UNCH

DEC19 2Y NOTE   108.50 C    6,891       -7   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  508,818   -3,125    98.00 P  136,338     -814

DEC19 EURODLR    98.25 C  493,700  +18,615    97.25 P1,053,839   -3,000

DEC20 1Y-MIDC    98.87 C  168,238  +14,765    98.00 P  214,987   +1,960

DEC21 2Y-MIDC    98.50 C   86,589     UNCH    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   25,246   +2,885   129.00 P  107,680     +626

OCT19 10Y NOTE  129.50 C   21,415   +2,990   129.50 P   65,183     -338

DEC19 10Y NOTE  129.00 C   10,862   +5,797   129.00 P   35,713   +2,978

DEC19 10Y NOTE  129.50 C   11,069     +813   129.50 P   40,777      +87

OCT19 5Y NOTE   118.25 C    5,323   +1,461   118.25 P   35,253   -1,410

OCT19 5Y NOTE   118.50 C    8,759   +1,833   118.50 P   51,326     -149

DEC19 5Y NOTE   118.25 C      200       +1   118.25 P    4,206     UNCH

DEC19 5Y NOTE   118.50 C    1,860      -48   118.50 P   12,431     UNCH

OCT19 2Y NOTE   107.50 C      495      +33   107.50 P   26,668     UNCH

OCT19 2Y NOTE   107.62 C    1,894     +490   107.62 P   11,169     UNCH

DEC19 2Y NOTE   107.50 C      526       +7   107.50 P    1,032       +8

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

OCT19 EURODLR    98.00 C  121,421   -6,471    98.00 P  136,338     -814

OCT19 EURODLR    98.12 C   89,382   +7,287    98.12 P   97,363     -552

DEC19 EURODLR    97.87 C  376,947     -365    97.87 P  336,102   -2,114

DEC19 EURODLR    98.00 C  286,668   +8,021    98.00 P  332,035      +14

DEC20 1Y-MIDC    98.37 C  108,517   -3,215    98.37 P  154,923  +11,359

DEC20 1Y-MIDC    98.50 C  113,498   -1,318    98.50 P   55,998     UNCH

DEC21 2Y-MIDC    98.37 C   51,398     UNCH    98.37 P   19,833     UNCH

DEC21 2Y-MIDC    98.50 C   86,589     UNCH    98.50 P   31,795     UNCH

DEC22 3Y-MIDC    98.37 C   14,222   +3,222    98.37 P    4,027     -330

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   -- 2.90 (221,313 PUTS VS. 76,981 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.36 (88,397 PUTS VS. 64,653 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.23 (57,082 PUTS VS. 46,987 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 0.31 (7,903 PUTS VS. 25,212 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 5.20 (15,650 PUTS VS. 3,054 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.68 (1,389 PUTS VS. 1,919 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.04 (19,754 PUTS VS. 385,852 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.20 (115,183 PUTS VS. 557,992 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.70 (44,303 PUTS VS. 62,150 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 34.3 (10,300 PUTS VS. 300 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.12 (1,200 PUTS VS. 10,000 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

Tue 1500    79.87    88.51    81.84    80.52    66.14     64.41

1300        80.01    88.77    82.41    80.68    66.17     64.40

1100        80.44    88.82    82.45    80.69    66.16     64.58

0900        80.18    88.86    82.39    80.57    66.04     64.52

Tue Open    79.95    89.15    82.29    80.71    65.98     64.48

Mon 1500    80.62    89.43    82.46    80.47    66.08     64.48

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

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

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