US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR AUG 31

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

FRI 3:00   6.19%   6.47%  3.27%  3.51%  2.21%  2.28%  5.78%   11.97%

FRI OPEN   6.30%   6.48%  3.38%  3.54%  2.22%  2.31%  6.52%   11.26%     

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   97,588   +2,739   119.50 P   99,051 +15,050

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

OCT18 5Y NOTE   113.50 C   34,453   +1,111   112.50 P   38,672    -560

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

OCT18 2Y NOTE   105.87 C   25,749     UNCH   105.37 P   16,280    +200

DEC18 2Y NOTE   105.87 C    3,772     UNCH   105.00 P    9,000    UNCH

SEP18 EURODLR    97.62 C  336,756     UNCH    97.37 P  529,608     +89

OCT18 EURODLR    97.62 C   91,308     +351    97.12 P  175,378    UNCH

OCT19 1Y-MIDC    97.12 C   51,561   +4,224    96.87 P  159,335    UNCH

OCT20 2Y-MIDC    97.00 C   39,245   +5,184    97.00 P  40,574  +11,153

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   38,912     +127   120.00 P   65,628  +9,217

OCT18 10Y NOTE  120.50 C   50,630   -1,272   120.50 P   24,811    -334

DEC18 10Y NOTE  120.00 C   27,547   +6,135   120.00 P   30,456  +6,397

DEC18 10Y NOTE  120.50 C   14,336      +51   120.50 P   18,487      +1

OCT18 5Y NOTE   113.50 C   34,453   +1,111   113.50 P   15,431     -45

OCT18 5Y NOTE   113.75 C   32,782   +1,703   113.75 P      123      +1

DEC18 5Y NOTE   113.50 C    5,681     UNCH   113.50 P    6,530    UNCH

DEC18 5Y NOTE   113.75 C      584     +120   113.75 P      381    UNCH

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

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

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

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

SEP18 EURODLR    97.50 C  142,281     UNCH    97.50 P  471,340  -1,140

SEP18 EURODLR    97.62 C  335,406   -1,350    97.62 P  223,123  +2,780

OCT18 EURODLR    97.37 C   81,611     +500    97.37 P  158,635    -500

OCT18 EURODLR    97.50 C   68,384     -250    97.50 P    9,850    UNCH  

OCT19 1Y-MIDC    97.12 C   51,561   +4,224    97.12 P   17,334    +400

OCT19 1Y-MIDC    97.25 C   31,934     +404    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   39,245   +5,184    97.00 P   40,574 +11,153

OCT20 2Y-MIDC    97.12 C   33,926      -50    97.12 P   11,113  +3,750  

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

OCT21 3Y-MIDC    97.00 C    6,775     UNCH    97.00 P    9,822    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.74 (104,586 PUTS VS. 142,180 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.00 (22,151 PUTS VS. 22,217 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.63 (10,992 PUTS VS. 17,421 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.66 (3,831 PUTS VS. 5,847 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 1.47 (5,946 PUTS VS. 4,047 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 3.71 (2,147 PUTS VS. 579 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 1.90 (12,600 PUTS VS. 6,630 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.66 (3,051 PUTS VS. 4,651 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.49 (2,700 PUTS VS. 5,500 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 2.33 (16,200 PUTS VS. 6,950 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 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

FRI 3:00    50.26    53.28    58.03   57.15    69.07     75.13

FRI OPEN    50.27    53.44    58.06   57.19    69.03     75.01

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

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

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