US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 3

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

FRI 1500  10.20%  9.73%   5.04%  4.89%   3.37%  3.17%   23.38%  39.15%

FRI OPEN  10.10%  9.63%   4.97%  4.81%   3.30%  3.12%   20.86%  39.28%

THU 1500  10.48%  9.76%   5.13%  4.91%   3.40%  3.22%   21.10%  40.10%

THU OPEN  10.56%  9.81%   5.12%  4.95%   3.37%  3.20%   22.25%  43.40%

WED 1500  11.22%  10.03%  5.30%  4.98%   3.51%  3.24%   23.39%  43.90%

WED OPEN  11.57%  10.09%  5.53%  5.06%   3.66%  3.29%   24.70%  44.95%

TUE 1500  10.80%  9.74%   5.29%  4.93%   3.57%  3.26%   24.25%  43.40%

TUE OPEN  10.63%  9.65%   5.34%  4.93%   3.62%  3.27%   24.50%  43.17%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   95,981     +130   129.00 P  169,340  +54,825

DEC19 10Y NOTE  134.00 C   41,173     +827   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   27,255      +32   119.00 P  102,905     UNCH

DEC19 5Y NOTE   120.50 C   20,900     UNCH   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.50 C    3,285     UNCH   107.50 P   31,668     UNCH

DEC19 2Y NOTE   111.37 C    5,753     UNCH   105.75 P    5,400     UNCH

SEP19 EURODLR    98.25 C  555,349     UNCH    97.87 P  636,732   +5,542

OCT19 EURODLR    98.50 C  568,347      -83    97.87 P  141,322   +3,900

SEP20 1Y-MIDC    98.12 C  139,910     UNCH    98.25 P  209,006     UNCH

SEP21 2Y-MIDC    98.12 C   93,660   -3,038    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  121,696   -3,463    98.00 P   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  131.50 C   53,148   -3,694   131.50 P   35,051   -2,189

OCT19 10Y NOTE  132.00 C   95,981     +130   132.00 P   14,696     +322

DEC19 10Y NOTE  131.50 C   16,636   -1,642   131.50 P   11,133      +28

DEC19 10Y NOTE  132.00 C   23,798     +732   132.00 P    9,572      -42

OCT19 5Y NOTE   119.75 C   16,953     +469   119.75 P   12,873     +126

OCT19 5Y NOTE   120.00 C   23,367   +1,288   120.00 P    8,811     UNCH

DEC19 5Y NOTE   119.75 C   16,286     +431   119.75 P   16,353     +695

DEC19 5Y NOTE   120.00 C   11,696      -56   120.00 P    6,356      -50

OCT19 2Y NOTE   108.00 C    1,760       +4   108.00 P    2,283      +40

OCT19 2Y NOTE   108.12 C    1,000      -28   108.12 P      605     UNCH

DEC19 2Y NOTE   108.00 C    1,611     UNCH   108.00 P      599       +5

DEC19 2Y NOTE   108.12 C      878      +23   108.12 P      600      +23

SEP19 EURODLR    98.00 C  354,687  -11,529    98.00 P  214,608   +2,550

SEP19 EURODLR    98.12 C  319,655  -17,717    98.12 P   21,041     +786

OCT19 EURODLR    98.00 C  110,092     UNCH    98.00 P  141,322   +3,900

OCT19 EURODLR    98.12 C   39,914   -4,502    98.12 P   63,043   +3,850

SEP20 1Y-MIDC    98.50 C   72,861   -9,264    98.50 P  162,366     UNCH

SEP20 1Y-MIDC    98.62 C   86,478   -4,737    98.62 P   49,278     -382

SEP21 2Y-MIDC    98.62 C   22,946     UNCH    98.62 P   26,851     UNCH

SEP21 2Y-MIDC    98.75 C   31,249     UNCH    98.75 P   17,725     +625

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   21,010     UNCH

SEP22 3Y-MIDC    98.62 C   11,400     UNCH    98.62 P   15,065     -446

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 4.69 (350,612 PUTS VS. 74,590 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.12 (45,092 PUTS VS. 40,154 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.69 (10,780 PUTS VS. 6,393 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 3.35 (6,703 PUTS VS. 2,012 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.09 (302 PUTS VS. 3,295 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.76 (160 PUTS VS. 210 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.27 (24,500 PUTS VS. 90,732 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.81 (26,522 PUTS VS. 32,676 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.15 (8,705 PUTS VS. 57,279 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 4.75 (2,375 PUTS VS. 500 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (1,233 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

Fri 1500    81.24    85.52    80.68    80.31    69.80     67.21

Fri Open    82.25    85.64    80.54    79.86    69.38     66.69

Thu 1500    82.83    86.48    82.26    80.23    69.38     66.73

Thu Open    84.43    88.75    83.22    81.64    69.92     67.39

Wed 1500    83.90    88.46    82.67    81.03    69.66     66.86

Wed Open    83.63    87.64    82.45    80.12    68.92     66.59

Tue 1500    84.05    90.32    82.72    80.38    68.46     66.30

Tue Open    84.04    89.08    81.93    79.62    67.41     65.91

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

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