US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 29

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

WED 3:00   6.12%   6.40%  3.19%  3.41%  2.13%  2.24%  5.47%   11.65%

WED OPEN   6.37%   6.53%  3.36%  3.52%  2.20%  2.28%  5.81%   12.65%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   89,283     -516   119.00 P   84,301    +672

DEC18 10Y NOTE  128.50 C   27,266     UNCH   110.00 P   50,376    +174

OCT18 5Y NOTE   113.75 C   31,079      +50   112.50 P   36,259    +165

DEC18 5Y NOTE   115.00 C   20,090     UNCH   107.25 P  235,071 +11,682

OCT18 2Y NOTE   105.87 C   35,427   -4,020   105.37 P   14,701  +9,103

DEC18 2Y NOTE   105.75 C    3,274     UNCH   105.00 P    9,000    UNCH

SEP18 EURODLR    97.62 C  336,756     UNCH    97.37 P  529,519    UNCH

OCT18 EURODLR    97.62 C   90,957     UNCH    97.12 P  175,378  -2,000

OCT19 1Y-MIDC    97.12 C   48,267     +318    96.87 P  159,333    UNCH

OCT20 2Y-MIDC    97.00 C   34,111     +331    96.87 P   34,401  -1,468

OCT21 3Y-MIDC    97.25 C   16,194     UNCH    97.12 P   10,536    +602

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,626     -166   120.00 P   57,307    +702

OCT18 10Y NOTE  120.50 C   51,756   -3,351   120.50 P   25,532    -237

DEC18 10Y NOTE  120.00 C   19,577   +3,983   120.00 P   22,183  +4,312

DEC18 10Y NOTE  120.50 C   14,340     -104   120.50 P   18,486      -1

OCT18 5Y NOTE   113.50 C   29,803   +1,678   113.50 P   16,053    -131

OCT18 5Y NOTE   113.75 C   31,079      +50   113.75 P      119     +14

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

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

OCT18 2Y NOTE   105.87 C   35,427   -4,020   105.87 P        0    UNCH

OCT18 2Y NOTE   106.00 C    7,712     +400   106.00 P        0    UNCH

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

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

SEP18 EURODLR    97.50 C  142,181      -10    97.50 P  475,580    UNCH

SEP18 EURODLR    97.62 C  336,756     UNCH    97.62 P  220,577  +2,498

OCT18 EURODLR    97.37 C   81,011     UNCH    97.37 P  128,706  +1,208

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

OCT19 1Y-MIDC    97.12 C   48,267     +318    97.12 P   18,422    UNCH

OCT19 1Y-MIDC    97.25 C   29,526     +136    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   34,111     +331    97.00 P   26,847    +831

OCT20 2Y-MIDC    97.12 C   33,976     +200    97.12 P    5,448    UNCH

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    7,905  +1,271

OCT21 3Y-MIDC    97.00 C    4,506   +1,444    97.00 P    7,821  +2,075

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.09 (108,425 PUTS VS. 99,700 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.21 (35,039 PUTS VS. 28,953 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.78 (18,757 PUTS VS. 24,065 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 10.1 (106,605 PUTS VS. 10,600 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 1.05 (11,266 PUTS VS. 10,685 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 13.5 (6,743 PUTS VS. 500 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 845  (8,450 PUTS VS. 10 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 111  (22,200 PUTS VS. 200 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 2.39 (4,300 PUTS VS. 1,800 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.50 (1,000 PUTS VS. 2,000 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.18 (350 PUTS VS. 2,000 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

WED 3:00    50.56    52.78    58.28   57.21    69.35     75.26

WED OPEN    50.89    53.40    58.43   57.58    69.19     75.26

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

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

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