US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 16

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDX     EDZ

TUE OPEN   7.51%   7.37%  3.64%  3.59%  2.06%  2.17%   9.91%   9.16%

MON 3:00   7.34%   7.25%  3.63%  3.58%  1.97%  2.14%   8.45%   9.98%

MON 11:30  7.41%   7.35%  3.68%  3.56%  2.06%  2.19%   8.85%  10.29%

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%    N/A    9.82%

THU OPEN   8.61%   8.27%  4.14%  4.01%  2.40%  2.46%    N/A   10.10%

WED 3:00   8.50%   8.44%  4.14%  4.09%  2.51%  2.50%    N/A    9.96%

WED OPEN   7.84%   8.18%  3.78%  3.91%  2.17%  2.34%    N/A    9.18%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.00 C  136,021      +64   117.00 P  107,619    +219

DEC18 10Y NOTE  119.00 C   84,712   +1,532   116.50 P  128,430 +12,300

NOV18 5Y NOTE   112.75 C   35,229      +16   112.50 P   24,009    UNCH

DEC18 5Y NOTE   112.75 C   56,398     -512   107.25 P  249,219    UNCH

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

DEC18 2Y NOTE   105.75 C   14,943     UNCH   104.87 P   13,167    +830

NOV18 EURODLR    97.37 C  101,162     +140    97.37 P   93,297    UNCH

DEC18 EURODLR    97.62 C  469,783  +46,668    97.25 P  654,376  -1,089

DEC19 1Y-MIDC    97.00 C  288,437   +3,712    96.75 P  577,667      -2

DEC20 2Y-MIDC    97.00 C  135,992     +450    96.62 P  344,537    UNCH

DEC21 3Y-MIDC    97.50 C   66,097     UNCH    96.50 P  136,354    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   86,823      +55   120.00 P   20,860    UNCH

NOV18 10Y NOTE  120.50 C   54,528   +1,162   120.50 P    7,917      -6

DEC18 10Y NOTE  120.00 C   75,742     -187   120.00 P   33,599    +382

DEC18 10Y NOTE  120.50 C   54,529   -1,500   120.50 P   19,921    UNCH

NOV18 5Y NOTE   113.50 C   24,868     UNCH   113.50 P    3,125    UNCH

NOV18 5Y NOTE   113.75 C   11,915     +104   113.75 P    1,913    UNCH

DEC18 5Y NOTE   113.50 C   55,299      +40   113.50 P    6,633     -98

DEC18 5Y NOTE   113.75 C   19,277       -2   113.75 P      389    UNCH

NOV18 2Y NOTE   105.62 C   19,784     UNCH   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    4,630       -5   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C   14,943     UNCH   106.75 P      251    UNCH

NOV18 EURODLR    97.37 C  101,162     +140    97.37 P   93,297    UNCH

NOV18 EURODLR    97.50 C   90,756     UNCH    97.50 P    3,625    UNCH 

DEC18 EURODLR    97.50 C  393,372  +35,511    97.50 P  334,532    +260

DEC18 EURODLR    97.62 C  469,783  +46,668    97.62 P  193,083    UNCH

DEC19 1Y-MIDC    97.12 C  142,573  -20,245    97.12 P  111,765    UNCH

DEC19 1Y-MIDC    97.25 C  198,194     +399    97.25 P   85,010    UNCH

DEC20 2Y-MIDC    97.00 C  135,992     +450    97.00 P  252,246  +1,172

DEC20 2Y-MIDC    97.12 C   65,491     UNCH    97.12 P   42,633    +500  

DEC21 3Y-MIDC    96.87 C   50,352   +2,000    96.87 P   37,240    UNCH

DEC21 3Y-MIDC    97.00 C   53,791     UNCH    97.00 P  100,665    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.43 (49,606 PUTS VS. 115,247 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.90 (67,923 PUTS VS. 75,709 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.13 (1,417 PUTS VS. 10,764 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.58 (9,559 PUTS VS. 16,571 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.94 (609 PUTS VS. 648 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 33.5 (3,681 PUTS VS. 110 CALLS)

NOV18 EURODLRS PUT/CALL RATIO  -- 103  (14,375 PUTS VS. 140 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.30 (58,981 PUTS VS. 195,177 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.10 (6,600 PUTS VS. 64,415 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 1.87 (14,000 PUTS VS. 7,500 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (6,900 PUTS VS. 6,900 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 OPEN    44.48   57.13    56.56   59.21    70.77     75.52

MON 3:00    44.74   57.33    56.93   59.39    70.66     75.40

MON 11:30   44.89   57.58    57.24   59.56    70.68     75.43

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

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

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