US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 27

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

MON OPEN   6.25%   6.60%  3.32%  3.60%  2.16%  2.30%  7.64%   12.76%

FRI 3:00   5.96%    N/A   3.16%   N/A   2.12%   N/A   6.78%   12.30%

FRI OPEN   6.18%    N/A   3.37%   N/A   2.26%   N/A   7.92%   11.51%

THU 3:00   6.15%    N/A   3.29%   N/A   2.21%   N/A   7.04%   11.98%

THU OPEN   6.43%    N/A   3.45%   N/A   2.26%   N/A   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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   91,088   +8,978   119.00 P   84,342 +10,603

DEC18 10Y NOTE  128.50 C   27,266     UNCH   109.50 P   37,979    UNCH

OCT18 5Y NOTE   113.75 C   30,896     +216   112.50 P   36,040  +1,847

DEC18 5Y NOTE   115.00 C   20,090     UNCH   107.25 P  223,389 +13,106

OCT18 2Y NOTE   105.80 C   39,447  +18,867   105.50 P   14,126  +7,788

DEC18 2Y NOTE   107.75 C    3,083     +718   105.00 P    9,000  +6,000

SEP18 EURODLR    97.62 C  336,213     UNCH    97.37 P  529,519    UNCH

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

OCT19 1Y-MIDC    97.12 C   48,616       +1    96.87 P  159,333 +20,001

OCT20 2Y-MIDC    97.12 C   33,895     UNCH    96.87 P   35,869    UNCH

OCT21 3Y-MIDC    97.25 C   16,194     UNCH    97.12 P    9,334  +5,859

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,751   +1,279   120.00 P   55,743  +7,439

OCT18 10Y NOTE  120.50 C   58,638   +1,476   120.50 P   25,041  +5,341

DEC18 10Y NOTE  120.00 C   15,594     +539   120.00 P   17,152  +2,120

DEC18 10Y NOTE  120.50 C   13,397   +5,482   120.50 P   18,180  +5,598

OCT18 5Y NOTE   113.50 C   28,049   +4,512   113.50 P   16,216  +1,663

OCT18 5Y NOTE   113.75 C   30,896     +216   113.75 P      105     +50

DEC18 5Y NOTE   113.50 C    5,683     +523   113.50 P    6,670    +994

DEC18 5Y NOTE   113.75 C      463     UNCH   113.75 P      382    +117

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

OCT18 2Y NOTE   106.12 C   21,949   +3,961   106.12 P        0    UNCH

DEC18 2Y NOTE   106.00 C      760     UNCH   106.00 P        2    UNCH

DEC18 2Y NOTE   106.12 C      468     +465   106.12 P        0    UNCH

SEP18 EURODLR    97.50 C  142,191     UNCH    97.50 P  475,580    UNCH

SEP18 EURODLR    97.62 C  336,213     UNCH    97.62 P  216,429  +4,210

OCT18 EURODLR    97.37 C   78,011     -250    97.37 P  124,748    +126

OCT18 EURODLR    97.50 C   68,734     UNCH    97.50 P    7,850    UNCH

OCT19 1Y-MIDC    97.12 C   48,616       +1    97.12 P   15,303    -250

OCT19 1Y-MIDC    97.25 C   29,390     -853    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   33,895     UNCH    97.00 P   26,331    +884

OCT20 2Y-MIDC    97.12 C   33,776   +1,776    97.12 P    5,448  +1,654

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    6,634    UNCH

OCT21 3Y-MIDC    97.00 C    3,062     UNCH    97.00 P    5,746    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.70 (107,864 PUTS VS. 153,979 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.40 (47,605 PUTS VS. 33,969 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.78 (39,344 PUTS VS. 50,317 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.86 (17,565 PUTS VS. 6,131 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.13 (8,094 PUTS VS. 63,323 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.63 (8,443 PUTS VS. 5,186 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 0.00 (41,019 PUTS VS. 2 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 1.00 (251 PUTS VS. 250 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 26.0 (6,507 PUTS VS. 250 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.67 (1,000 PUTS VS. 1,500 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.41 (350 PUTS VS. 850 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

MON OPEN    50.71    51.15    57.99   57.18    69.01     75.20

FRI 3:00    50.23    50.70    57.48   56.74    69.19     75.22

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$]