US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 30

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

THU 3:00   6.20%   6.42%  3.22%  3.42%  2.19%  2.31%  6.01%   11.16%

THU OPEN   6.23%   6.41%  3.30%  3.47%  2.24%  2.26%  7.36%   11.80%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   94,849   +5,566   119.50 P   84,001  +1,984

DEC18 10Y NOTE  127.00 C   27,622     UNCH   110.00 P   50,376    UNCH

OCT18 5Y NOTE   113.50 C   33,314   +3,511   112.50 P   39,232  +2,973

DEC18 5Y NOTE   115.00 C   20,090     UNCH   107.25 P  244,618  +9,530

OCT18 2Y NOTE   105.87 C   25,749   -9,678   105.37 P   16,080  +1,379

DEC18 2Y NOTE   105.87 C    3,772     +768   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    UNCH

OCT19 1Y-MIDC    97.12 C   47,337     -930    96.87 P  159,335      +2

OCT20 2Y-MIDC    97.00 C   34,061      -50    96.87 P   41,097  +6,696

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

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,785     +159   120.00 P   56,411    -896

OCT18 10Y NOTE  120.50 C   51,902     +146   120.50 P   25,145    -387

DEC18 10Y NOTE  120.00 C   21,412   +1,835   120.00 P   24,059  +1,876

DEC18 10Y NOTE  120.50 C   14,285      -55   120.50 P   18,486    UNCH

OCT18 5Y NOTE   113.50 C   33,314   +3,511   113.50 P   15,476     -54

OCT18 5Y NOTE   113.75 C   31,379     +300   113.75 P      122      +3

DEC18 5Y NOTE   113.50 C    5,681       -2   113.50 P    6,530    -138

DEC18 5Y NOTE   113.75 C      464       +1   113.75 P      381      -1

OCT18 2Y NOTE   105.87 C   25,749   -9,678   105.87 P        0    UNCH

OCT18 2Y NOTE   106.00 C   13,036   +5,324   106.00 P        0    UNCH

DEC18 2Y NOTE   105.87 C    3,772     +768   105.87 P        3    UNCH

DEC18 2Y NOTE   106.00 C      762       +2   106.00 P        2    UNCH

SEP18 EURODLR    97.50 C  142,281     +100    97.50 P  472,480  -3,100

SEP18 EURODLR    97.62 C  336,756     UNCH    97.62 P  220,343    -234

OCT18 EURODLR    97.37 C   81,111     +100    97.37 P  159,135 +30,429

OCT18 EURODLR    97.50 C   68,634     UNCH    97.50 P    9,850  +2,000  

OCT19 1Y-MIDC    97.12 C   47,337     -930    97.12 P   16,934  -1,488

OCT19 1Y-MIDC    97.25 C   31,530   +2,004    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   34,061      -50    97.00 P   29,421  +2,574

OCT20 2Y-MIDC    97.12 C   33,976     UNCH    97.12 P    7,363  +1,915  

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

OCT21 3Y-MIDC    97.00 C    6,775   +2,269    97.00 P    9,822  +2,001

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.94 (68,686 PUTS VS. 73,265 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.63 (44,716 PUTS VS. 27,475 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 1.43 (22,475 PUTS VS. 15,676 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 21.8 (43,577 PUTS VS. 2,000 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.03 (1,389 PUTS VS. 47,895 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 2.59 (12,779 PUTS VS. 4,926 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 22.3 (10,481 PUTS VS. 470 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 426  (42,612 PUTS VS. 100 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.60 (4,530 PUTS VS. 7,600 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 1.93 (27,450 PUTS VS. 14,250 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (3,000 PUTS VS. 3,000 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

THU 3:00    50.32    52.96    57.89   57.13    69.02     74.99

THU OPEN    50.32    53.02    57.77   57.07    69.09     75.00

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

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

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