US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 24

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

            USU     USV    TYU    TYV    FVU    FVV     EDU     EDV

FRI OPEN   12.92%  6.18%  6.83%  3.37%  4.73%  2.26%   7.92%   11.51%

THU 3:00   7.35%   6.15%  3.61%  3.29%  2.92%  2.21%   7.04%   11.98%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP18 10Y NOTE  120.00 C  117,973     -546   119.00 P  128,954    +703

OCT18 10Y NOTE  121.00 C   82,110   +4,275   119.00 P   73,739  +5,438

SEP18 5Y NOTE   114.25 C   56,671     -302   106.25 P   91,819    UNCH

OCT18 5Y NOTE   113.75 C   30,680      +78   112.50 P   34,193     -45

SEP18 2Y NOTE   106.00 C   43,005     UNCH   105.75 P   17,975    +300

OCT18 2Y NOTE   106.00 C    4,710     UNCH   105.50 P    6,338  +4,167

SEP18 EURODLR    97.62 C  336,213   -2,607    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  191,996   -4,000    97.12 P  372,259  -7,316

SEP20 2Y-MIDC    97.37 C  225,617   -4,000    97.00 P  333,728    +900

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  117,973     -546   120.00 P   68,206    -176

SEP18 10Y NOTE  120.50 C   81,271   -6,333   120.50 P   29,800  +4,330

OCT18 10Y NOTE  120.00 C   37,472     +975   120.00 P   48,304  +7,275

OCT18 10Y NOTE  120.50 C   57,162   +1,770   120.50 P   19,700  +3,636

SEP18 5Y NOTE   113.50 C   51,412     +145   113.50 P   29,097     -22

SEP18 5Y NOTE   113.75 C   19,483   -3,394   113.75 P   10,671    -690

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     UNCH   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   17,988  +15,388   106.12 P        0    UNCH

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

SEP18 EURODLR    97.62 C  336,213   -2,607    97.62 P  219,234      +5

OCT18 EURODLR    97.37 C   78,261     -550    97.37 P  124,622    UNCH

OCT18 EURODLR    97.50 C   68,734   -1,200    97.50 P    7,850    UNCH

SEP19 1Y-MIDC    97.12 C  170,730   +7,052    97.12 P  372,259  -7,316

SEP19 1Y-MIDC    97.25 C  167,148     +601    97.25 P  103,781    UNCH

SEP20 2Y-MIDC    97.00 C   93,867     UNCH    97.00 P  333,728    +900

SEP20 2Y-MIDC    97.12 C   94,385   +1,305    97.12 P   68,058    +828

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

SEP21 3Y-MIDC    97.00 C   28,520     -200    97.00 P   45,955    -900

     PUT/CALL RATIO FOR VOLUME CLEARED:

SEP18 10Y NOTE PUT/CALL RATIO  -- 0.66 (56,735 PUTS VS. 86,011 CALLS)

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.17 (86,230 PUTS VS. 73,821 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 0.65 (15,446 PUTS VS. 23,868 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 1.10 (17,312 PUTS VS. 15,691 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 8.75 (2,300 PUTS VS. 263 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.15 (5,296 PUTS VS. 35,224 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 3.30 (32,150 PUTS VS. 9,750 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 5.00 (12,000 PUTS VS. 2,400 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 1.17 (55,400 PUTS VS. 47,550 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 3.55 (12,250 PUTS VS. 3,450 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.88 (1,500 PUTS VS. 1,700 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 OPEN    51.07    51.30    57.86   57.22    69.34     75.28

THU 3:00    51.42    52.11    58.56   57.97    69.58     75.30

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 

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

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