US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 4

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

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

TUE 3:00   6.59%   6.58%  3.22%  3.37%  2.00%  2.10%   9.53%   9.86%

TUE OPEN   6.58%   6.62%  3.27%  3.29%  2.03%  2.12%   7.87%   9.04%

MON 3:00   6.43%   6.56%  3.19%  3.33%  2.02%  2.10%   8.37%   9.41%

MON OPEN   6.49%   6.54%  3.29%  3.32%  2.07%  2.12%   8.46%   9.52%

FRI 3:00   6.26%   6.35%  3.09%  3.31%  1.92%  2.05%   8.97%   9.89%

FRI OPEN   6.40%   6.53%  3.26%  3.41%  2.00%  2.11%   8.21%   9.75%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  119.50 C   90,420   -3,393   118.00 P  120,091  -2,370

DEC18 10Y NOTE  120.00 C   65,215   +2,235   118.00 P   88,336  +4,664

NOV18 5Y NOTE   113.25 C   35,409     -521   112.50 P   23,350      -2

DEC18 5Y NOTE   114.00 C   42,172   +2,315   107.25 P  244,647     +29

NOV18 2Y NOTE   105.75 C   28,031   +6,248   105.00 P   15,307    UNCH

DEC18 2Y NOTE   105.87 C    8,686   +3,394   105.25 P   12,563  +2,195

OCT18 EURODLR    97.37 C  136,934     +782    97.37 P  187,707    UNCH

DEC18 EURODLR    97.62 C  440,833  -17,383    97.25 P  675,493  +1,459

DEC19 1Y-MIDC    97.12 C  225,755   +1,800    96.75 P  633,846  -2,730

DEC20 2Y-MIDC    97.25 C  110,347     -305    96.62 P  337,765 +38,383

DEC21 3Y-MIDC    97.50 C   65,814     UNCH    96.50 P  127,229 -11,400

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   92,237     -306   120.00 P   22,412    -200

NOV18 10Y NOTE  120.50 C   58,073   +1,382   120.50 P    7,896      +1

DEC18 10Y NOTE  120.00 C   65,215   +2,235   120.00 P   32,587    +567

DEC18 10Y NOTE  120.50 C   63,852   -1,025   120.50 P   20,712    UNCH

NOV18 5Y NOTE   113.50 C   24,396     +355   113.50 P    3,117    UNCH

NOV18 5Y NOTE   113.75 C   10,895       -1   113.75 P    1,914    UNCH

DEC18 5Y NOTE   113.50 C   34,374     -361   113.50 P    6,579    -100

DEC18 5Y NOTE   113.75 C   11,232   +1,747   113.75 P      389      +2

NOV18 2Y NOTE   105.62 C   20,069     -210   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   28,031   +6,248   105.75 P      181    UNCH

DEC18 2Y NOTE   105.62 C    1,006     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C    8,657   +2,406   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  136,934     +782    97.37 P  187,707    UNCH

OCT18 EURODLR    97.50 C  104,386     UNCH    97.50 P    6,250    UNCH 

DEC18 EURODLR    97.50 C  346,887   -3,390    97.50 P  330,421     +25

DEC18 EURODLR    97.62 C  440,833  -17,383    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  225,755   +1,800    97.12 P  143,798    UNCH

DEC19 1Y-MIDC    97.25 C  220,567   +1,500    97.25 P   88,904    UNCH

DEC20 2Y-MIDC    97.00 C  101,436     +744    97.00 P  273,052    UNCH

DEC20 2Y-MIDC    97.12 C   58,234   +2,765    97.12 P   42,233    -125  

DEC21 3Y-MIDC    96.87 C   36,098   -1,050    96.87 P   38,082  +1,250

DEC21 3Y-MIDC    97.00 C   50,606     -225    97.00 P  102,709  -1,475

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 2.66 (325,476 PUTS VS. 122,433 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.83 (149,287 PUTS VS. 81,471 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 2.15 (32,788 PUTS VS. 15,261 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.49 (49,740 PUTS VS. 33,373 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.83 (12,571 PUTS VS. 15,165 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.99 (18,771 PUTS VS. 9,410 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (1 PUTS VS. 2,158 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.03 (61,327 PUTS VS. 59,416 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.08 (42,450 PUTS VS. 39,200 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 17.0 (239,470 PUTS VS. 14,100 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 8.58 (24,450 PUTS VS. 2,850 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 OPEN    44.65   60.25    57.74   59.54    70.60     75.49

TUE 3:00    42.86   50.20    53.45   54.74    68.42     74.30

TUE OPEN    43.10   50.08    53.48   54.76    68.40     74.28

MON 3:00    43.03   49.49    53.33   54.60    68.49     74.36

MON OPEN    43.33   50.19    53.87   55.16    68.49     74.32

FRI 3:00    43.25   49.63    53.95   55.23    68.36     74.29

FRI OPEN    43.37   49.57    53.89   55.16    68.52     74.29

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

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