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

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

            USV     USX    TYV    TYX    FVV    FVX     EDV     EDZ

MON 3:00   6.26%   6.41%  3.17%  3.31%  2.16%  2.23%   9.09%   10.40%

MON OPEN   6.56%   6.52%  3.42%  3.44%  2.17%  2.25%   9.47%   10.85%

FRI 3:00   6.35%   6.55%  3.22%  3.35%  2.23%  2.30%   9.91%    N/A

FRI OPEN   6.50%   6.51%  3.25%  3.42%  2.21%  2.26%   9.96%    N/A

THU 3:00   6.58%   6.58%  3.33%  3.44%  2.28%  2.28%  11.42%    N/A 

THU OPEN   6.57%   6.52%  3.36%  3.40%  2.24%  2.27%   9.05%    N/A

WED 3:00   6.45%   6.53%  3.43%  3.50%  2.23%  2.27%  10.10%    N/A

WED OPEN   6.60%   6.59%  3.39%  3.49%  2.33%  2.34%  10.06%    N/A

TUE 3:00   6.71%   6.57%  3.55%  3.51%  2.40%  2.34%  10.75%    N/A

TUE OPEN   6.54%   6.59%  3.42%  3.54%  2.32%  2.31%  11.43%    N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   92,270     -949   119.50 P   96,031    +769

DEC18 10Y NOTE  120.00 C   29,805     +855   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   51,018   +1,750   113.00 P   45,682 +13,493

DEC18 5Y NOTE   115.00 C   20,589     UNCH   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.62 C   20,070   +8,860   105.37 P   12,420    +497

DEC18 2Y NOTE   105.87 C    4,951     UNCH   105.00 P   12,000    UNCH

OCT18 EURODLR    97.37 C  138,535     +853    97.37 P  195,139  +3,878

DEC18 EURODLR    97.62 C  551,527   -6,100    97.25 P  676,750  -1,338

OCT19 1Y-MIDC    97.12 C   72,389     -880    96.87 P  162,977    +142

OCT20 2Y-MIDC    97.00 C   48,687   +2,542    97.00 P   49,741  +3,545

OCT21 3Y-MIDC    97.25 C   22,194     UNCH    97.00 P   16,822    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   41,328   +1,675   120.00 P   56,062  -5,425

OCT18 10Y NOTE  120.50 C   61,167   +2,654   120.50 P   23,688    -193

DEC18 10Y NOTE  120.00 C   29,805     +855   120.00 P   34,054    +754

DEC18 10Y NOTE  120.50 C   14,764      -32   120.50 P   19,554    -261

OCT18 5Y NOTE   113.50 C   51,018   +1,750   113.50 P   16,768  +1,275

OCT18 5Y NOTE   113.75 C   33,864   +1,038   113.75 P      611      -2

DEC18 5Y NOTE   113.50 C    5,556     -119   113.50 P    6,652    UNCH

DEC18 5Y NOTE   113.75 C    3,816   +1,659   113.75 P      383      +4

OCT18 2Y NOTE   105.87 C   11,266   -6,911   105.87 P        0    UNCH

OCT18 2Y NOTE   106.00 C   15,037   +2,001   106.00 P        0    UNCH

DEC18 2Y NOTE   105.87 C    4,951     UNCH   105.87 P        3    UNCH

DEC18 2Y NOTE   106.00 C      991     UNCH   106.00 P        2    UNCH

OCT18 EURODLR    97.37 C  138,535     +853    97.37 P  195,139  +3,878

OCT18 EURODLR    97.50 C   88,826   +3,950    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  376,467   +3,640    97.50 P  388,325  +1,117

DEC18 EURODLR    97.62 C  551,527   -6,100    97.62 P  193,673  -3,000

OCT19 1Y-MIDC    97.12 C   72,389     -880    97.12 P   18,131  +1,632

OCT19 1Y-MIDC    97.25 C   35,251   -7,245    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   48,687   +2,542    97.00 P   52,332  +2,591

OCT20 2Y-MIDC    97.12 C   38,742   +1,063    97.12 P   12,017    UNCH  

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    7,780    -125

OCT21 3Y-MIDC    97.00 C   13,681     UNCH    97.00 P   16,822    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.83 (120,130 PUTS VS. 144,924 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.92 (28,752 PUTS VS. 14,941 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.99 (32,210 PUTS VS. 32,689 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.39 (13,803 PUTS VS. 9,900 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.29 (6,324 PUTS VS. 21,701 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 2.45 (2,513 PUTS VS. 1,025 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.25 (5,775 PUTS VS. 22,952 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.77 (51,886 PUTS VS. 67,776 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.28 (26,350 PUTS VS. 93,850 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.38 (3,175 PUTS VS. 8,375 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (375 PUTS VS. 375 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

MON 3:00    47.95    52.27    57.16   56.86    69.42     75.58

MON OPEN    48.18    52.73    57.87   57.30    69.52     75.67

FRI 3:00    48.23    52.04    57.82   57.30    69.45     75.67

FRI OPEN    48.89    51.75    57.65   57.03    69.33     75.50

THU 3:00    48.99    51.66    57.69   57.01    69.35     75.55

THU OPEN    49.79    52.15    57.88   57.16    69.50     75.56

WED 3:00    49.88    53.03    57.97   57.20    69.47     75.53

WED OPEN    50.33    53.32    58.34   57.41    69.47     75.50

TUE 3:00    50.37    53.13    58.32   57.40    69.42     75.47

TUE OPEN    50.24    53.17    58.07   57.12    69.22     75.26

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

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