US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 9

Sep Eurodollar futures & options expire Friday

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDU     EDV

0945      10.20%  9.15%   5.15%  4.62%   3.50%  3.00%    N/A    39.40%

MON OPEN  10.16%  9.08%   5.15%  4.62%   3.52%  3.01%    N/A    38.96%

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

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%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   86,460     -803   129.00 P  108,254     +193

DEC19 10Y NOTE  134.00 C   35,813   +2,680   116.00 P   50,915     UNCH

OCT19 5Y NOTE   120.50 C   26,410   +7,550   119.00 P   98,423   -1,214

DEC19 5Y NOTE   119.75 C   17,334     +346   109.00 P   48,252     UNCH

OCT19 2Y NOTE   108.25 C    3,795     +435   107.50 P   31,668     UNCH

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

SEP19 EURODLR    98.25 C  547,599     UNCH    97.87 P  566,100     +513

OCT19 EURODLR    98.50 C  565,822   +3,500    98.00 P  141,164   +2,744

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

SEP21 2Y-MIDC    98.12 C   83,605  -10,055    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  115,502   -3,768    98.00 P   57,767     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  131.50 C   51,881   -3,752   131.50 P   41,088   -1,587

OCT19 10Y NOTE  132.00 C   86,460     -803   132.00 P   19,599      -42

DEC19 10Y NOTE  131.50 C   17,870      +20   131.50 P   14,737     +331

DEC19 10Y NOTE  132.00 C   24,623      +46   132.00 P   16,369     UNCH

OCT19 5Y NOTE   119.50 C    5,523     +900   119.50 P   40,378   +1,500

OCT19 5Y NOTE   119.75 C   16,330     +218   119.75 P   13,578     -107

DEC19 5Y NOTE   119.50 C    8,142       +1   119.50 P    1,795     UNCH

DEC19 5Y NOTE   119.75 C   17,334     +346   119.75 P   16,874     +383

OCT19 2Y NOTE   107.88 C      359     UNCH   107.88 P      578     UNCH

OCT19 2Y NOTE   108.00 C    1,728      -57   108.00 P        1     UNCH

DEC19 2Y NOTE   107.88 C       15     UNCH   107.88 P      154     UNCH

DEC19 2Y NOTE   108.00 C    1,688       +5   108.00 P      703       +1

SEP19 EURODLR    98.00 C  334,791   -7,826    98.00 P  187,319   -4,000

SEP19 EURODLR    98.12 C  286,841     UNCH    98.12 P   19,040   -3,000

OCT19 EURODLR    98.00 C  110,092     UNCH    98.00 P  141,164   +2,744

OCT19 EURODLR    98.12 C   65,663  +14,751    98.12 P  111,882   +8,861

SEP20 1Y-MIDC    98.50 C   68,153     UNCH    98.50 P  165,968     +609

SEP20 1Y-MIDC    98.62 C   87,565   +1,093    98.62 P   66,900   +6,198

SEP21 2Y-MIDC    98.62 C   22,946     UNCH    98.62 P   27,479     +678

SEP21 2Y-MIDC    98.75 C   29,499     -750    98.75 P   19,470   +3,057

SEP22 3Y-MIDC    98.50 C   47,927     UNCH    98.50 P   22,035     UNCH

SEP22 3Y-MIDC    98.62 C   11,400     UNCH    98.62 P   17,011     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 2.14 (256,183 PUTS VS. 119,680 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.83 (44,229 PUTS VS. 24,533 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 0.62 (24,862 PUTS VS. 40,009 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 5.70 (26,820 PUTS VS. 4,707 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 3.08 (2,777 PUTS VS. 899 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.27 (874 PUTS VS. 3,232 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 2.86 (81,589 PUTS VS. 28,431 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.14 (27,871 PUTS VS. 192,742 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.02 (40,443 PUTS VS. 39,070 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.82 (10,540 PUTS VS. 12,750 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 100 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

0945        80.13    79.99    76.80    74.82    67.97     66.74

Mon Open    80.31    79.95    77.02    74.91    68.12     66.93

Thu 1500    80.83    80.45    76.60    74.80    68.73     66.93

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

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

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