US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 5

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

THU 1500  10.03%  9.24%   5.22%  4.75%   3.45%  3.08%   22.88%  42.70%

1230       9.90%  9.20%   5.15%  4.76%   3.44%  3.09%   23.25%  42.40%

1015      10.22%  9.37%   5.41%  4.88%   3.62%  3.14%   23.65%  42.30%

THU OPEN  10.13%  9.29%   5.33%  4.81%   3.59%  3.12%   22.60%  42.30%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   91,398   -1,494   129.00 P  159,519   -2,751

DEC19 10Y NOTE  134.00 C   38,394     -882   116.00 P   50,915     UNCH

OCT19 5Y NOTE   121.00 C   26,271       +1   119.00 P  103,582     -409

DEC19 5Y NOTE   120.50 C   22,400       -2   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    3,360      +10   107.50 P   31,668     UNCH

DEC19 2Y NOTE   111.37 C    5,811      +58   105.75 P    5,400     UNCH

SEP19 EURODLR    98.25 C  548,115   -7,484    97.87 P  575,389   -7,376

OCT19 EURODLR    98.50 C  569,836     +897    98.00 P  133,070     +604

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  119,270   -1,250    98.00 P   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  131.50 C   55,802   +2,230   131.50 P   35,773   -1,469

OCT19 10Y NOTE  132.00 C   91,398   -1,494   132.00 P   19,972   +4,766

DEC19 10Y NOTE  131.50 C   16,069      -21   131.50 P   14,153     -642

DEC19 10Y NOTE  132.00 C   24,648     -903   132.00 P   16,688     +822

OCT19 5Y NOTE   119.75 C   16,348      -95   119.75 P   12,879   +1,581

OCT19 5Y NOTE   120.00 C   23,232      -53   120.00 P    9,154     +100

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

DEC19 5Y NOTE   120.00 C   11,915     -195   120.00 P    7,967     UNCH

OCT19 2Y NOTE   108.00 C    1,895     UNCH   108.00 P    3,294     +200

OCT19 2Y NOTE   108.12 C    1,084     UNCH   108.12 P      578      -27

DEC19 2Y NOTE   108.00 C    1,610     UNCH   108.00 P      700       +1

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

SEP19 EURODLR    98.00 C  347,045   -3,228    98.00 P  190,389  -10,234

SEP19 EURODLR    98.12 C  288,593   +9,270    98.12 P   21,041     UNCH

OCT19 EURODLR    98.00 C  110,092     UNCH    98.00 P  133,070     +604

OCT19 EURODLR    98.12 C   50,662   +8,248    98.12 P   86,477   +6,499

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

SEP20 1Y-MIDC    98.62 C   86,478     UNCH    98.62 P   62,452   +9,405

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

SEP21 2Y-MIDC    98.75 C   31,249     UNCH    98.75 P   17,713     +250

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   -- 1.78 (111,693 PUTS VS. 62,393 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.16 (28,361 PUTS VS. 24,276 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 2.04 (15,308 PUTS VS. 7,549 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.11 (7,413 PUTS VS. 3,508 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 1.52 (2,624 PUTS VS. 1,747 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.00 (1 PUTS VS. 1,709 CALLS)

AUG19 EURODLRS PUT/CALL RATIO   -- 0.43 (70,200 PUTS VS. 160,958 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 0.19 (28,155 PUTS VS. 146,946 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 0.68 (30,651 PUTS VS. 44,461 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.15 (500 PUTS VS. 3,275 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 5,858 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

Thu 1500    80.83    80.45    76.60    74.80    68.73     66.93

1230        80.99    80.14    76.65    75.24    68.23     66.16

1015        81.22    85.15    78.95    78.35    69.97     67.99

Thu Open    80.60    84.90    78.47    78.07    69.90     67.95

Wed 1500    80.70    86.21    78.82    78.57    70.12     67.97

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

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

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