US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 19

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

            USV    USZ     TYV    TYZ     FVV    TUZ     EDV     EDZ

TUE OPEN   8.58%  7.24%   4.76%  3.86%   3.04%  2.28%   16.51%  17.98%

MON 3:00   7.81%  7.36%   4.55%  3.92%   2.92%  2.32%   16.13%  18.45%

MON OPEN   7.67%  7.37%   4.16%  3.86%   2.52%  2.25%   16.82%  18.95%

FRI 3:00   6.40%  7.29%   3.45%  3.81%   2.06%  2.22%   16.30%   N/A

FRI OPEN   7.52%  7.45%   4.06%  3.91%   2.40%  2.29%   15.80%   N/A

THU 3:00   7.35%  7.47%   3.94%  3.90%   2.42%  2.27%   16.50%   N/A

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

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

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

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

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

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   91,619   +2,394   126.00 P   70,167  -1,539

DEC17 10Y NOTE  129.00 C   92,003      +21   114.00 P   95,075    UNCH

OCT17 5Y NOTE   119.00 C   34,528      -42   118.00 P   36,961  +8,137

DEC17 5Y NOTE   118.25 C   11,677     -566   112.25 P  101,550    UNCH

OCT17 EURODLR    98.62 C  119,606   +2,486    98.50 P  145,697 -29,913

DEC17 EURODLR    98.75 C  717,187  +11,000    98.37 P1,050,156  -2,669

DEC18 1Y-MIDC    98.50 C  153,011   -2,000    98.12 P  453,646 +15,862

DEC19 2Y-MIDC    98.50 C  151,915     -741    97.75 P  218,305     -96

DEC20 3Y-MIDC    97.87 C   54,297     UNCH    96.75 P  100,952    UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT17 10Y NOTE  127.00 C   91,619   +2,394   127.00 P   26,067  -3,815

OCT17 10Y NOTE  127.50 C   87,280   -4,405   127.50 P   14,144    -703

DEC17 10Y NOTE  127.00 C   24,794     +111   127.00 P   21,953    UNCH

DEC17 10Y NOTE  127.50 C   24,946     +608   127.50 P   12,415    UNCH

OCT17 5Y NOTE   118.25 C   15,441   +6,310   118.25 P   16,108  -4,881

OCT17 5Y NOTE   118.50 C   15,654     -265   118.50 P   11,176    -281

DEC17 5Y NOTE   118.25 C   11,677     -566   118.25 P   16,338    +350

DEC17 5Y NOTE   118.50 C    7,945      -70   118.50 P   15,586    UNCH

OCT17 EURODLR    98.50 C   36,191     UNCH    98.50 P  145,697 -29,913

OCT17 EURODLR    98.62 C  119,606   +2,486    98.62 P   26,288    UNCH

DEC17 EURODLR    98.50 C  318,299  +26,560    98.50 P  606,899    -701

DEC17 EURODLR    98.62 C  418,313  +16,613    98.62 P  213,578     -94

DEC18 1Y-MIDC    98.25 C   78,504     +810    98.25 P  223,284 -11,122

DEC18 1Y-MIDC    98.37 C  118,065     +900    98.37 P   89,551    UNCH

DEC19 2Y-MIDC    98.00 C   63,810     UNCH    98.00 P  157,011  -1,650

DEC19 2Y-MIDC    98.12 C   42,527     +250    98.12 P   72,875    UNCH  

DEC20 3Y-MIDC    97.87 C   54,297     UNCH    97.87 P   40,152    +251

DEC20 3Y-MIDC    98.00 C   44,390     UNCH    98.00 P   19,755    UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT17 10Y NOTE PUT/CALL RATIO -- 1.20 (107,504 PUTS VS. 89,354 CALLS)

DEC17 10Y NOTE PUT/CALL RATIO -- 5.53 (91,822 PUTS VS. 16,601 CALLS)

OCT17 5Y NOTE PUT/CALL RATIO  -- 2.64 (52,647 PUTS VS. 19,969 CALLS)

DEC17 5Y NOTE PUT/CALL RATIO  -- 2.88 (7,823 PUTS VS. 2,760 CALLS)

OCT17 EURODLRS PUT/CALL RATIO -- 1.07 (35,465 PUTS VS. 33,005 CALLS)

DEC17 EURODLRS PUT/CALL RATIO -- 0.52 (62,865 PUTS VS. 118,714 CALLS)

DEC18 1Y-MIDCRVE PUT/CALL RATIO -- 10.8 (83,720 PUTS VS. 7,750 CALLS)

DEC19 2Y-MIDCRVE PUT/CALL RATIO -- 0.27 (16,750 PUTS VS. 60,540 CALLS)

DEC20 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 0 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

Tue Open     40.38    57.53    56.24    60.68    72.56    77.36

Mon 3:00     40.14    57.49    56.43    60.90    72.61    77.94

Mon Open     39.75    56.58    56.48    61.08    72.75    77.92

Fri 3:00     39.73    56.27    56.47    61.18    72.70    77.84

Fri Open     39.68    57.66    56.69    61.58    72.80    78.02

Thu 3:00     39.64    57.36    56.61    61.52    72.86    78.00

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

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

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