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

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

            USU     USV    TYU    TYV    FVU    FVV     EDQ      EDU

TUE 3:00   6.42%   6.55%  3.44%  3.51%  2.12%  2.10%   11.90%   7.17%     

TUE OPEN   6.37%   6.42%  3.44%  3.45%  2.13%  2.39%    N/A     9.72%

MON 3:00   6.92%   7.01%  3.62%  3.61%  2.28%  2.33%   13.09%   9.84%

MON OPEN   7.01%   7.30%  3.68%  3.75%  2.23%  2.33%   12.20%   8.93% 

FRI 3:00   6.54%    N/A   3.38%   N/A   2.19%   N/A    12.07%   9.55% 

FRI OPEN   6.67%    N/A   3.50%   N/A   2.20%   N/A    10.84%   9.53%

THU 3:00   6.81%    N/A   3.54%   N/A   2.25%   N/A    10.58%   9.88%

THU OPEN   6.78%    N/A   3.59%   N/A   2.23%   N/A    10.88%   9.82%

WED 3:00   6.62%    N/A   3.54%   N/A   2.24%   N/A    11.56%  10.93%

WED OPEN   6.92%    N/A   3.64%   N/A   2.25%   N/A    11.62%  10.43%

TUE 3:00   7.05%    N/A   3.66%   N/A   2.32%   N/A    11.37%   9.98%

TUE OPEN   7.32%    N/A   3.70%   N/A   2.34%   N/A    13.58%  11.45%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP18 10Y NOTE  120.00 C  324,905   +1,974   119.00 P  119,319  +2,011

OCT18 10Y NOTE  121.50 C   35,012  +29,205   117.00 P   19,490  +8,090

SEP18 5Y NOTE   114.25 C   60,043   -2,688   106.25 P   91,819    UNCH

OCT18 5Y NOTE   113.75 C   17,970   +2,750   112.00 P    6,553    UNCH

SEP18 2Y NOTE   106.12 C   64,224      +10   105.50 P   38,227    UNCH

AUG18 2Y NOTE   105.62 C      723     UNCH   105.50 P      700    UNCH

AUG18 EURODLR    97.62 C   48,936   +2,750    97.37 P  132,285    UNCH

SEP18 EURODLR    97.62 C  360,106     UNCH    97.37 P  534,524    UNCH

SEP19 1Y-MIDC    97.37 C  214,858     UNCH    97.12 P  428,451    UNCH

SEP20 2Y-MIDC    97.37 C  235,600     UNCH    97.00 P  353,965    UNCH

SEP21 3Y-MIDC    97.37 C   56,594     UNCH    96.75 P   58,044    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

SEP18 10Y NOTE  120.00 C  324,905   +1,974   120.00 P   62,101  +1,114

SEP18 10Y NOTE  120.50 C  104,538   -1,831   120.50 P   24,227      +1

OCT18 10Y NOTE  120.00 C   19,098   +1,631   120.00 P   16,277    UNCH

OCT18 10Y NOTE  120.50 C   18,477  +11,589   120.50 P    2,364    UNCH

SEP18 5Y NOTE   113.50 C   42,947     +856   113.50 P   31,516    UNCH

SEP18 5Y NOTE   113.75 C   14,801     +591   113.75 P   18,580    UNCH

OCT18 5Y NOTE   113.50 C    1,542      +14   113.50 P        0    UNCH

OCT18 5Y NOTE   113.75 C   17,970   +2,750   113.75 P        1      +1

SEP18 2Y NOTE   106.00 C   55,884     UNCH   106.00 P    2,940    UNCH

SEP18 2Y NOTE   106.12 C   64,224      +10   106.12 P       16    UNCH

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

OCT18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH

AUG18 EURODLR    97.50 C   14,780     UNCH    97.50 P  103,645    UNCH

AUG18 EURODLR    97.62 C   48,936     UNCH    97.62 P    6,329    UNCH

SEP18 EURODLR    97.75 C  305,817     -101    97.75 P  219,988    -200

SEP18 EURODLR    97.87 C  128,241     UNCH    97.87 P  149,123  -1,510

SEP19 1Y-MIDC    97.12 C  153,082     UNCH    97.12 P  428,451    UNCH

SEP19 1Y-MIDC    97.25 C  191,611     UNCH    97.25 P  103,631    UNCH

SEP20 2Y-MIDC    97.00 C   88,880     +300    97.00 P  353,965    UNCH

SEP20 2Y-MIDC    97.12 C   92,948     UNCH    97.12 P   70,902    UNCH

SEP21 3Y-MIDC    96.87 C   10,472     UNCH    96.87 P   33,036    UNCH

SEP21 3Y-MIDC    97.00 C   29,332     UNCH    97.00 P   42,656    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.03 (97,358 PUTS VS. 94,916 CALLS)

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.38 (28,341 PUTS VS. 74,683 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 1.33 (33,970 PUTS VS. 25,530 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.00 (7 PUTS VS. 13,405 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 5.44 (1,430 PUTS VS. 263 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.00 (0 PUTS VS. 0 CALLS)

AUG18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 0 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 93.1 (9,401 PUTS VS. 101 CALLS)

SEP19 1Y-MIDCRVE PUT/CALL RATIO-- 0.00 (7,800 PUTS VS. 0 CALLS)

SEP20 2Y-MIDCRVE PUT/CALL RATIO-- 92.5 (18,500 PUTS VS. 200 CALLS)

SEP21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 300 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     45.10    54.27    55.51    57.39    68.66    74.21

TUE OPEN     46.06    54.57    56.01    57.92    68.66    74.22

MON 3:00     46.81    55.21    56.91    58.70    68.85    74.34

MON OPEN     46.66    54.12    56.33    58.18    68.77    74.38

FRI 3:00     46.57    54.21    56.30    57.96    68.66    74.26

FRI OPEN     47.31    54.43    56.83    58.40    68.72    74.28

THU 3:00     47.47    54.45    57.04    58.46    68.71    74.27

THU OPEN     47.52    54.33    57.05    58.42    68.65    74.22

WED 3:00     47.28    53.99    56.89    58.38    68.61    74.09        

WED OPEN     48.07    55.95    57.63    59.09    68.76    74.19

TUE 3:00     48.11    56.59    57.60    58.95    68.95    74.26

TUE OPEN     48.51    57.30    58.86    59.62    69.04    74.35

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

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