US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 23

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

            USU     USV    TYU    TYV    FVU    FVV     EDU     EDV

THU OPEN   8.50%   6.43%  4.52%  3.45%  3.10%  2.26%   7.63%   12.62%   

WED 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

WED OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

TUE 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

FRI 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

FRI OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

THU 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A 

THU OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP18 10Y NOTE  121.00 C  128,872   -2,311   119.00 P  128,251     -30

OCT18 10Y NOTE  122.00 C   68,059  +19,464   117.00 P   68,301  +5,428

SEP18 5Y NOTE   114.25 C   56,973     -809   106.25 P   91,819    UNCH

OCT18 5Y NOTE   113.75 C   30,602   +5,719   112.50 P   34,238  +2,345

SEP18 2Y NOTE   106.00 C   43,005   -6,000   105.50 P   17,964    UNCH

OCT18 2Y NOTE   106.00 C    4,710     UNCH   105.50 P    2,171    UNCH

SEP18 EURODLR    97.62 C  338,820     -612    97.37 P  529,519    UNCH

OCT18 EURODLR    97.62 C   90,957     UNCH    97.12 P  177,378    UNCH

SEP19 1Y-MIDC    97.37 C  195,996  -11,548    97.12 P  379,575    +763

SEP20 2Y-MIDC    97.37 C  229,617     UNCH    97.00 P  332,828    UNCH

SEP21 3Y-MIDC    97.37 C   59,544     UNCH    96.75 P   46,874    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP18 10Y NOTE  120.00 C  118,519   -1,641   120.00 P   68,382    -705

SEP18 10Y NOTE  120.50 C   87,604   -8,585   120.50 P   25,470  +2,264

OCT18 10Y NOTE  120.00 C   36,497     -362   120.00 P   41,029  +1,930

OCT18 10Y NOTE  120.50 C   55,392   +2,657   120.50 P   16,064  +3,069

SEP18 5Y NOTE   113.50 C   51,267      -52   113.50 P   29,119  +3,991

SEP18 5Y NOTE   113.75 C   22,877   -3,190   113.75 P   11,361  -2,875

OCT18 5Y NOTE   113.50 C   21,863   -1,442   113.50 P   11,713    +129

OCT18 5Y NOTE   113.75 C   30,602   +5,719   113.75 P       55     +50

SEP18 2Y NOTE   106.00 C   43,005   -6,000   106.00 P    2,939    UNCH

SEP18 2Y NOTE   106.12 C   36,175     UNCH   106.12 P       16    UNCH

OCT18 2Y NOTE   106.00 C    4,710     UNCH   106.00 P        0    UNCH

OCT18 2Y NOTE   106.12 C    2,600     UNCH   106.12 P        0    UNCH

SEP18 EURODLR    97.50 C  142,191     UNCH    97.50 P  476,720    UNCH

SEP18 EURODLR    97.62 C  338,820     -612    97.62 P  219,234      +5

OCT18 EURODLR    97.37 C   78,811     UNCH    97.37 P  124,622    UNCH

OCT18 EURODLR    97.50 C   69,934   -1,025    97.50 P    7,850    UNCH

SEP19 1Y-MIDC    97.12 C  163,678  +27,206    97.12 P  379,575    +763

SEP19 1Y-MIDC    97.25 C  166,547  -29,988    97.25 P  103,781    +125

SEP20 2Y-MIDC    97.00 C   93,867     UNCH    97.00 P  332,828    UNCH

SEP20 2Y-MIDC    97.12 C   93,080   -1,818    97.12 P   67,230    UNCH

SEP21 3Y-MIDC    96.87 C   10,572     UNCH    96.87 P   37,840    UNCH

SEP21 3Y-MIDC    97.00 C   28,720     -926    97.00 P   46,855  -2,286

     PUT/CALL RATIO FOR VOLUME CLEARED:

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.37 (42,211 PUTS VS. 114,134 CALLS)

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.24 (67,980 PUTS VS. 284,847 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.46 (39,763 PUTS VS. 27,248 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 6.00 (72,323 PUTS VS. 12,060 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 0.02 (301 PUTS VS. 13,444 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 2.28 (201 PUTS VS. 88 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.00 (8 PUTS VS. 3,000 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 1.61 (1,650 PUTS VS. 1,025 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.76 (36,365 PUTS VS. 47,550 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 19.1 (65,950 PUTS VS. 3,450 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (1,250 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

THU OPEN    50.82    52.74    58.44   58.22    69.63     75.29

WED 3:00     N/A      N/A      N/A     N/A      N/A       N/A     

WED OPEN     N/A      N/A      N/A     N/A      N/A       N/A     

TUE 3:00     N/A      N/A      N/A     N/A      N/A       N/A     

TUE OPEN     N/A      N/A      N/A     N/A      N/A       N/A     

MON 3:00     N/A      N/A      N/A     N/A      N/A       N/A      

MON OPEN     N/A      N/A      N/A     N/A      N/A       N/A      

FRI 3:00     N/A      N/A      N/A     N/A      N/A       N/A      

FRI OPEN     N/A      N/A      N/A     N/A      N/A       N/A      

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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