US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 4

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

WED 1500  10.22%  9.38%   5.32%  4.80%   3.56%  3.15%   26.75%  43.17%

1300      10.38%  9.50%   5.28%  4.85%   3.57%  3.19%   25.45%  42.85%

1045      10.55%  9.58%   5.40%  4.90%   3.64%  3.20%   25.59%  41.37%

0900      10.47%  9.57%   5.32%  4.87%   3.60%  3.19%   26.65%  41.55%

WED OPEN  10.55%  9.65%   5.35%  4.90%   3.62%  3.20%   27.15%  41.47%

TUE 1500  10.81%  9.80%   5.40%  4.92%   3.68%  3.23%   27.80%  41.28%

TUE OPEN  11.20%  10.06%  5.59%  5.05%   3.71%  3.27%   20.70%  41.00%

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   92,892   -3,089   129.00 P  160,270   -9,070

DEC19 10Y NOTE  134.00 C   39,276   -1,879   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   26,270     -985   119.00 P  103,991   +1,086

DEC19 5Y NOTE   120.50 C   22,402   +1,502   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    3,350     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  555,599     +250    97.87 P  582,765  -53,967

OCT19 EURODLR    98.50 C  568,939     +502    98.00 P  132,466   -8,856

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

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

SEP22 3Y-MIDC    98.00 C  120,520   -1,449    98.00 P   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  131.50 C   53,572     +425   131.50 P   37,242   +2,192

OCT19 10Y NOTE  132.00 C   92,892   -3,089   132.00 P   15,206     +510

DEC19 10Y NOTE  131.50 C   16,090     -546   131.50 P   14,795   +3,662

DEC19 10Y NOTE  132.00 C   25,551   +1,753   132.00 P   15,866   +6,294

OCT19 5Y NOTE   119.75 C   16,443     -510   119.75 P   11,298   -1,575

OCT19 5Y NOTE   120.00 C   23,285      -82   120.00 P    9,054     +243

DEC19 5Y NOTE   119.75 C   16,286     UNCH   119.75 P   16,353     UNCH

DEC19 5Y NOTE   120.00 C   12,107     +411   120.00 P    7,967   +1,611

OCT19 2Y NOTE   108.00 C    1,895     +135   108.00 P    3,094     +811

OCT19 2Y NOTE   108.12 C    1,084      +84   108.12 P      605     UNCH

DEC19 2Y NOTE   108.00 C    1,610       -1   108.00 P      699     +100

DEC19 2Y NOTE   108.12 C      898      +20   108.12 P      600     UNCH

SEP19 EURODLR    98.00 C  350,273   -4,414    98.00 P  200,623  -13,985

SEP19 EURODLR    98.12 C  279,323  -40,332    98.12 P   21,041     UNCH

OCT19 EURODLR    98.00 C  110,092     UNCH    98.00 P  132,466   -8,856

OCT19 EURODLR    98.12 C   42,414   +2,500    98.12 P   79,978  +16,935

SEP20 1Y-MIDC    98.50 C   72,860       -1    98.50 P  162,366     UNCH

SEP20 1Y-MIDC    98.62 C   86,478     UNCH    98.62 P   53,047   +3,769

SEP21 2Y-MIDC    98.62 C   22,946     UNCH    98.62 P   26,551     -300

SEP21 2Y-MIDC    98.75 C   31,249     UNCH    98.75 P   17,463     -262

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     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.56 (218,042 PUTS VS. 139,373 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 0.58 (42,679 PUTS VS. 72,949 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.21 (66,482 PUTS VS. 30,011 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.15 (14,790 PUTS VS. 12,745 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 7.46 (11,253 PUTS VS. 1,512 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.38 (547 PUTS VS. 1,422 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 1.23 (206,491 PUTS VS. 167,613 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 1.26 (82,345 PUTS VS. 65,225 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 7.18 (7,940 PUTS VS. 1,140 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 1.48 (3,708 PUTS VS. 2,550 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 1.22 (8,809 PUTS VS. 7,180 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

Wed 1500    80.70    86.21    78.82    78.57    70.12     67.97

1300        81.79    87.61    80.02    79.32    70.27     67.70

1045        81.99    87.79    80.07    79.12    70.17     67.57

0900        82.00    87.48    79.13    79.13    70.07     67.70

Wed Open    82.25    87.55    79.88    79.90    70.33     67.91

Tue 1500    83.51    88.74    80.69    80.49    70.65     68.11

Tue Open    81.19    87.76    80.19    79.71    69.77     67.41

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

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

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