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

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

            USV     USX    TYV    TYX    FVV    FVX     EDV     EDZ

TUE OPEN   6.23%   6.27%  3.33%  3.27%  2.13%  2.15%   8.07%    9.39%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   91,718     -552   119.00 P   96,056  +4,150

DEC18 10Y NOTE  120.00 C   29,853      +48   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   50,257     -760   113.00 P   44,239  -1,443

DEC18 5Y NOTE   116.00 C   20,648      +77   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.62 C   17,686   -2,384   105.37 P   13,520  +1,100

DEC18 2Y NOTE   105.87 C    5,251     +300   105.00 P   12,000    UNCH

OCT18 EURODLR    97.37 C  138,535     UNCH    97.37 P  195,139    UNCH

DEC18 EURODLR    97.62 C  551,527     UNCH    97.25 P  670,282  -6,390

OCT19 1Y-MIDC    97.12 C   72,389     UNCH    96.87 P  163,470    +493

OCT20 2Y-MIDC    97.00 C   48,690       +3    97.00 P   52,332    UNCH

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   44,047   +2,719   120.00 P   54,106  -2,205

OCT18 10Y NOTE  120.50 C   61,187      +20   120.50 P   23,636     -52

DEC18 10Y NOTE  120.00 C   29,853      +48   120.00 P   34,293    +239

DEC18 10Y NOTE  120.50 C   15,822   +1,058   120.50 P   19,554    UNCH

OCT18 5Y NOTE   113.50 C   50,257     -760   113.50 P   16,768    UNCH

OCT18 5Y NOTE   113.75 C   33,615     -249   113.75 P      611    UNCH

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     UNCH   105.87 P        0    UNCH

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

DEC18 2Y NOTE   105.87 C    5,251     +300   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     UNCH    97.37 P  195,139    UNCH

OCT18 EURODLR    97.50 C   88,826     UNCH    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  378,466   +1,999    97.50 P  369,978 -18,347

DEC18 EURODLR    97.62 C  551,527     UNCH    97.62 P  193,673    UNCH

OCT19 1Y-MIDC    97.12 C   72,389     UNCH    97.12 P   18,131    UNCH

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

OCT20 2Y-MIDC    97.00 C   48,690       +3    97.00 P   52,332    UNCH

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

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

OCT21 3Y-MIDC    97.00 C   13,787     +106    97.00 P   16,822    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.02 (78,362 PUTS VS. 77,112 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.35 (13,505 PUTS VS. 9,975 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 1.69 (18,992 PUTS VS. 11,232 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.29 (6,880 PUTS VS. 3,005 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.24 (1,307 PUTS VS. 5,372 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.00 (600 PUTS VS. 601 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 13.4 (6,700 PUTS VS. 500 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 3.99 (194,764 PUTS VS. 48,753 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 13.0 (3,250 PUTS VS. 250 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 40 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    47.43    51.89    57.16   56.87    69.33     75.41

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

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

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