US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 28

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

TUE 3:00   6.33%   6.51%  3.28%  3.50%  2.13%  2.27%  5.70%   11.91%

TUE OPEN   5.98%   6.35%  3.16%  3.42%  2.07%  2.22%  7.63%   12.24%

MON 3:00   6.08%   6.47%  3.25%  3.50%  2.17%  2.25%  7.27%   11.81%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   89,799   -1,289   119.00 P   83,629    -713

DEC18 10Y NOTE  128.50 C   27,266     UNCH   110.00 P   50,202 +14,468

OCT18 5Y NOTE   113.75 C   31,029     +133   112.50 P   36,094     +54

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

OCT18 2Y NOTE   105.87 C   39,447     UNCH   105.50 P   14,126  +7,788

DEC18 2Y NOTE   105.75 C    3,274     +250   105.00 P    9,000  +6,000

SEP18 EURODLR    97.62 C  336,756     +543    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   47,949     -667    96.87 P  159,333    UNCH

OCT20 2Y-MIDC    97.12 C   33,776     UNCH    96.87 P   35,869    UNCH

OCT21 3Y-MIDC    97.25 C   16,194     UNCH    97.12 P    9,934    +600

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,792      +41   120.00 P   56,605    +862

OCT18 10Y NOTE  120.50 C   55,107   -3,521   120.50 P   25,769    +728

DEC18 10Y NOTE  120.00 C   15,594     UNCH   120.00 P   17,871    +719

DEC18 10Y NOTE  120.50 C   14,444   +1,047   120.50 P   18,487    +307

OCT18 5Y NOTE   113.50 C   28,125      +76   113.50 P   16,184     -32

OCT18 5Y NOTE   113.75 C   31,029     +133   113.75 P      105    UNCH

DEC18 5Y NOTE   113.50 C    5,683     UNCH   113.50 P    6,668      -2

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

OCT18 2Y NOTE   105.87 C   39,447     UNCH   105.87 P        0    UNCH

OCT18 2Y NOTE   106.00 C    7,312   +2,602   106.00 P        0    UNCH

DEC18 2Y NOTE   105.87 C    3,004       +1   105.87 P        3    UNCH

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

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

SEP18 EURODLR    97.62 C  336,756     +543    97.62 P  218,079  +1,650

OCT18 EURODLR    97.37 C   81,011   +3,000    97.37 P  127,498  +2,750

OCT18 EURODLR    97.50 C   68,634     -100    97.50 P    7,850    UNCH

OCT19 1Y-MIDC    97.12 C   47,949     -667    97.12 P   18,422  +3,119

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

OCT20 2Y-MIDC    97.00 C   33,780     -115    97.00 P   26,016    -315

OCT20 2Y-MIDC    97.12 C   33,776     UNCH    97.12 P    5,448    UNCH

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  -- 0.82 (65,238 PUTS VS. 79,633 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.50 (36,047 PUTS VS. 23,995 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.97 (7,479 PUTS VS. 7,726 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 24.6 (23,387 PUTS VS. 952 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.99 (12,021 PUTS VS. 12,194 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 5.53 (4,692 PUTS VS. 848 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 3.73 (7,451 PUTS VS. 2,000 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.61 (3,550 PUTS VS. 5,800 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.00 (1,000 PUTS VS. 0 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (1,000 PUTS VS. 0 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (350 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

TUE 3:00    50.83    52.59    58.29   57.33    69.18     75.24

TUE OPEN    50.64    51.60    57.89   56.94    69.01     75.10

MON 3:00    50.74    51.36    57.99   56.98    69.02     75.18

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     

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

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