US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 10

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

WED 3:00   8.50%   8.44%  4.14%  4.09%  2.51%  2.50%  18.79%   9.96%

WED OPEN   7.84%   8.18%  3.78%  3.91%  2.17%  2.34%  23.20%   9.18%

TUE 3:00   8.21%   8.18%  3.92%  3.93%  2.31%  2.37%  16.52%   9.29%

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

FRI 3:00   8.44%   8.14%  4.01%  3.91%  2.36%  2.43%  10.73%   9.38%

FRI OPEN   8.23%   7.74%  3.99%  3.78%  2.39%  2.39%  10.53%   9.50%

THU 3:00   8.53%   7.92%  4.12%  3.90%  2.50%  2.42%  14.07%  10.00%

THU OPEN   8.46%   7.78%  4.24%  3.93%  2.44%  2.39%   9.88%   9.71%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  119,499  +13,057   117.00 P  119,850  -9,427

DEC18 10Y NOTE  120.00 C   66,238   +1,690   117.50 P  100,165  +1,066

NOV18 5Y NOTE   113.25 C   34,410     UNCH   112.50 P   23,827    +528

DEC18 5Y NOTE   113.50 C   52,492     +371   107.25 P  249,219    +560

NOV18 2Y NOTE   105.75 C   28,031     UNCH   105.00 P   15,307    UNCH

DEC18 2Y NOTE   105.50 C    6,096   +1,250   104.87 P   11,436    +750

OCT18 EURODLR    97.37 C  136,934     UNCH    97.37 P  187,707    UNCH

DEC18 EURODLR    97.62 C  421,855  -18,878    97.25 P  666,227  -6,635

DEC19 1Y-MIDC    97.00 C  229,833   +1,500    96.75 P  572,069  +6,200

DEC20 2Y-MIDC    97.25 C  111,386   +1,039    96.62 P  348,819  +1,125

DEC21 3Y-MIDC    97.50 C   65,814     UNCH    96.50 P  128,281  +3,927

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   86,603   -1,041   120.00 P   20,800      -2

NOV18 10Y NOTE  120.50 C   54,854   -1,616   120.50 P    7,903    UNCH

DEC18 10Y NOTE  120.00 C   66,238   +1,690   120.00 P   32,073      +4

DEC18 10Y NOTE  120.50 C   57,052     -633   120.50 P   20,357    -107

NOV18 5Y NOTE   113.50 C   24,585     +191   113.50 P    3,124      +6

NOV18 5Y NOTE   113.75 C   11,550      +81   113.75 P    1,915    UNCH

DEC18 5Y NOTE   113.50 C   52,492     +371   113.50 P    6,391    +113

DEC18 5Y NOTE   113.75 C   19,089     +385   113.75 P      389    UNCH

NOV18 2Y NOTE   105.62 C   20,069     UNCH   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,031     UNCH   105.75 P      181    UNCH

DEC18 2Y NOTE   105.62 C      816     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C    4,637     UNCH   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  136,934     UNCH    97.37 P  187,707    UNCH

OCT18 EURODLR    97.50 C  100,786   -3,600    97.50 P    6,250    UNCH 

DEC18 EURODLR    97.50 C  342,785   -4,615    97.50 P  327,947    UNCH

DEC18 EURODLR    97.62 C  421,855  -18,878    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  193,060     +980    97.12 P  114,334  -1,150

DEC19 1Y-MIDC    97.25 C  220,067     -500    97.25 P   85,021    UNCH

DEC20 2Y-MIDC    97.00 C  104,452     UNCH    97.00 P  251,074  +1,000

DEC20 2Y-MIDC    97.12 C   59,810     UNCH    97.12 P   42,133    UNCH  

DEC21 3Y-MIDC    96.87 C   43,712     UNCH    96.87 P   36,507    -750

DEC21 3Y-MIDC    97.00 C   50,366   +1,500    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.72 (103,439 PUTS VS. 143,806 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.67 (130,119 PUTS VS. 77,749 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 1.08 (17,871 PUTS VS. 16,544 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.58 (71,689 PUTS VS. 45,332 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.03 (5 PUTS VS. 170 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.61 (4,107 PUTS VS. 6,715 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 5,000 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.58 (28,919 PUTS VS. 49,669 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 2.31 (46,150 PUTS VS. 19,950 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.87 (2,150 PUTS VS. 1,150 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.15 (9,750 PUTS VS. 8,500 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    44.67   59.78    58.84   60.74    70.65     75.26

WED OPEN    44.35   59.18    58.35   60.07    70.54     75.16

TUE 3:00    44.55   61.55    58.50   60.29    70.46     75.10

TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A

MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A 

MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A

FRI 3:00    44.18   58.01    58.09   59.98    70.61     75.43

FRI OPEN    44.64   58.24    58.07   59.84    70.56     75.30

THU 3:00    44.50   57.74    57.62   59.42    70.41     75.39

THU OPEN    44.65   60.25    57.74   59.54    70.60     75.49

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

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