US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 12

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

FRI 3:00   7.74%   7.65%  3.86%  3.81%  2.28%  2.31%    N/A    9.89%

FRI OPEN   7.96%   7.85%  3.75%  3.80%  2.23%  2.33%    N/A    9.56%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  140,664   +8,710   117.50 P  104,864  -2,469

DEC18 10Y NOTE  119.00 C   85,006  +18,681   117.50 P  124,897 +25,127

NOV18 5Y NOTE   112.75 C   37,080   +8,273   112.50 P   23,794     -31

DEC18 5Y NOTE   113.50 C   55,099     +611   107.25 P  249,219    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.00 P   16,527  +1,220

DEC18 2Y NOTE   105.50 C   14,923     +180   104.87 P   12,337    +900

OCT18 EURODLR    97.37 C  139,676     UNCH    97.37 P  187,707    UNCH

DEC18 EURODLR    97.62 C  435,615     UNCH    97.25 P  658,364    +513

DEC19 1Y-MIDC    97.00 C  286,069   +2,782    96.75 P  577,669     +55

DEC20 2Y-MIDC    97.00 C  121,475   -3,569    96.62 P  344,537  -4,626

DEC21 3Y-MIDC    97.50 C   66,274     +100    96.50 P  136,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   87,266   -1,853   120.00 P   20,862     +60

NOV18 10Y NOTE  120.50 C   53,168   -1,203   120.50 P    7,933     +15

DEC18 10Y NOTE  120.00 C   74,010   +5,490   120.00 P   32,773    +580

DEC18 10Y NOTE  120.50 C   52,483   -2,487   120.50 P   19,921    UNCH

NOV18 5Y NOTE   113.50 C   24,683     +203   113.50 P    3,126    UNCH

NOV18 5Y NOTE   113.75 C   12,066     +251   113.75 P    1,913      -2

DEC18 5Y NOTE   113.50 C   55,099     +611   113.50 P    6,731      +2

DEC18 5Y NOTE   113.75 C   19,095       -3   113.75 P      389    UNCH

NOV18 2Y NOTE   105.62 C   20,548     +224   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,041     UNCH   105.75 P      255    UNCH

DEC18 2Y NOTE   105.62 C    4,064   +2,872   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,923     +180   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  139,676     UNCH    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  355,361   +1,375    97.50 P  327,947    UNCH

DEC18 EURODLR    97.62 C  435,615     UNCH    97.62 P  193,083    UNCH

DEC19 1Y-MIDC    97.12 C  164,618  -27,538    97.12 P  113,834    UNCH

DEC19 1Y-MIDC    97.25 C  197,795   -2,873    97.25 P   85,021    UNCH

DEC20 2Y-MIDC    97.00 C  121,475   -3,569    97.00 P  251,074    UNCH

DEC20 2Y-MIDC    97.12 C   66,100   +4,750    97.12 P   42,133    UNCH  

DEC21 3Y-MIDC    96.87 C   45,819   -3,693    96.87 P   36,440    +125

DEC21 3Y-MIDC    97.00 C   54,311   +5,169    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.93 (195,747 PUTS VS. 210,801 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 2.07 (342,629 PUTS VS. 165,700 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.44 (14,507 PUTS VS. 32,671 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.91 (41,614 PUTS VS. 45,936 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 2.27 (4,604 PUTS VS. 2,030 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.32 (2,485 PUTS VS. 7,746 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 80 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.98 (42,667 PUTS VS. 43,694 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.80 (37,200 PUTS VS. 46,450 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.61 (17,750 PUTS VS. 11,000 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.34 (5,250 PUTS VS. 15,500 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

FRI 3:00    45.65   59.62    58.07   60.27    70.66     75.19

FRI OPEN    45.18   60.66    58.39   60.69    70.70     75.33

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

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

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