US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 11

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

THU 3:00   7.94%   7.99%  3.98%  3.88%  2.35%  2.39%  31.05%   9.82%

THU OPEN   8.61%   8.27%  4.14%  4.01%  2.40%  2.46%  27.47%  10.10%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  131,954  +12,470   117.00 P  109,347 -10,503

DEC18 10Y NOTE  118.50 C   71,034  +29,081   116.50 P  100,436 +54,196

NOV18 5Y NOTE   113.25 C   33,974     -436   112.50 P   23,825      -2

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

NOV18 2Y NOTE   105.75 C   28,041      +10   105.00 P   15,307    UNCH

DEC18 2Y NOTE   105.50 C   14,743  +10,106   104.87 P   11,437      +1

OCT18 EURODLR    97.37 C  139,676   +2,742    97.37 P  187,707    UNCH

DEC18 EURODLR    97.62 C  435,615  +13,760    97.25 P  657,851  -8,376

DEC19 1Y-MIDC    97.00 C  286,787  +56,954    96.75 P  577,614  +5,545

DEC20 2Y-MIDC    97.00 C  125,044  +20,592    96.62 P  349,163    +344

DEC21 3Y-MIDC    97.50 C   66,174     +360    96.50 P  136,354  +8,073

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   89,119   +2,679   120.00 P   20,802      +2

NOV18 10Y NOTE  120.50 C   54,371     -483   120.50 P    7,918     +15

DEC18 10Y NOTE  120.00 C   68,520   +2,282   120.00 P   32,193    +120

DEC18 10Y NOTE  120.50 C   54,970   -2,082   120.50 P   19,921    -436

NOV18 5Y NOTE   113.50 C   24,480     -105   113.50 P    3,126      +2

NOV18 5Y NOTE   113.75 C   11,815     +265   113.75 P    1,915    UNCH

DEC18 5Y NOTE   113.50 C   54,488   +1,996   113.50 P    6,729    +338

DEC18 5Y NOTE   113.75 C   19,098       +9   113.75 P      389    UNCH

NOV18 2Y NOTE   105.62 C   20,324     +255   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,041      +10   105.75 P      255     +74

DEC18 2Y NOTE   105.62 C    1,192     +376   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,743  +10,106   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  139,676   +2,742    97.37 P  187,707    UNCH

OCT18 EURODLR    97.50 C  100,786     UNCH    97.50 P    6,250    UNCH 

DEC18 EURODLR    97.50 C  353,986  +11,201    97.50 P  327,947    UNCH

DEC18 EURODLR    97.62 C  435,615  +13,760    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  192,156     -904    97.12 P  113,834    -500

DEC19 1Y-MIDC    97.25 C  220,668  -19,399    97.25 P   85,021    UNCH

DEC20 2Y-MIDC    97.00 C  125,044  +20,592    97.00 P  251,074    UNCH

DEC20 2Y-MIDC    97.12 C   61,350   +1,540    97.12 P   42,133    UNCH  

DEC21 3Y-MIDC    96.87 C   49,512   +5,800    96.87 P   36,315    -192

DEC21 3Y-MIDC    97.00 C   49,142   -1,224    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.88 (208,500 PUTS VS. 237,913 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.24 (224,573 PUTS VS. 181,545 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.40 (13,676 PUTS VS. 34,303 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.70 (39,334 PUTS VS. 56,170 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.38 (1,076 PUTS VS. 2,857 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.76 (28,919 PUTS VS. 16,420 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 6,000 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.48 (42,667 PUTS VS. 89,543 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.07 (12,250 PUTS VS. 172,350 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.09 (33,250 PUTS VS. 30,500 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.57 (5,500 PUTS VS. 3,500 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

THU 3:00    45.56   59.92    58.95   61.13    70.62     75.19

THU OPEN    45.49   61.54    59.66   61.68    70.87     75.31

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

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

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