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

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

            USV     USX    TYV    TYX    FVV    FVX     EDV     EDZ

WED 3:00   5.95%   5.95%  3.11%  3.17%  1.97%  2.05%   8.94%   10.55%

WED OPEN   6.31%   6.17%  3.05%  3.29%  2.05%  2.10%   9.51%   10.53%

TUE 3:00   6.35%   6.23%  3.17%  3.30%  2.05%  2.11%   9.62%   10.55%

TUE OPEN   6.23%   6.27%  3.33%  3.27%  2.13%  2.15%   8.07%   10.92%

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   87,103   -4,615   119.00 P  106,328 +10,272

DEC18 10Y NOTE  121.00 C   28,942  +11,679   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   51,158     +901   113.00 P   38,477  -5,762

DEC18 5Y NOTE   116.00 C   20,759     +111   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.62 C   28,553  +10,867   105.37 P   29,672 +16,152

DEC18 2Y NOTE   105.87 C    5,253       +2   105.00 P   12,000    UNCH

OCT18 EURODLR    97.37 C  138,785     +250    97.37 P  194,539    -600

DEC18 EURODLR    97.62 C  549,542   -1,985    97.25 P  671,280    +998

OCT19 1Y-MIDC    97.12 C   68,474   -3,915    96.87 P  164,474  +1,004

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

OCT21 3Y-MIDC    97.25 C   22,194     UNCH    97.00 P   21,875  +5,053

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   58,691  +14,644   120.00 P   50,455  -3,651

OCT18 10Y NOTE  120.50 C   61,057     -130   120.50 P   23,543     -93

DEC18 10Y NOTE  120.00 C   30,098     +245   120.00 P   34,106    -187

DEC18 10Y NOTE  120.50 C   18,441   +2,619   120.50 P   19,968    +414

OCT18 5Y NOTE   113.50 C   51,158     +901   113.50 P   16,742     -26

OCT18 5Y NOTE   113.75 C   33,463     -152   113.75 P      611    UNCH

DEC18 5Y NOTE   113.50 C    7,706   +1,544   113.50 P    6,652    UNCH

DEC18 5Y NOTE   113.75 C    4,142      +16   113.75 P      385    UNCH

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    5,253       +2   105.87 P        3    UNCH

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

OCT18 EURODLR    97.37 C  138,785     +250    97.37 P  194,539    -600

OCT18 EURODLR    97.50 C   88,846      +20    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  377,466   -1,000    97.50 P  362,003  -7,975

DEC18 EURODLR    97.62 C  549,542   -1,985    97.62 P  193,673    UNCH

OCT19 1Y-MIDC    97.12 C   68,474   -3,915    97.12 P   18,859    +728

OCT19 1Y-MIDC    97.25 C   27,496   -7,755    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   48,690     UNCH    97.00 P   51,915    -417

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    7,712     -68

OCT21 3Y-MIDC    97.00 C   18,787   +5,000    97.00 P   21,875  +5,053

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.78 (163,111 PUTS VS. 91,551 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.91 (37,263 PUTS VS. 41,132 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 1.12 (28,991 PUTS VS. 25,994 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.03 (15,911 PUTS VS. 15,479 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.34 (22,233 PUTS VS. 65,599 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 10.1 (3,097 PUTS VS. 306 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 10.3 (12,574 PUTS VS. 1,220 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 4.62 (30,972 PUTS VS. 6,701 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.56 (30,092 PUTS VS. 53,300 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,000 PUTS VS. 0 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (5,000 PUTS VS. 5,000 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

WED 3:00    46.53    51.63    56.10   56.28    69.05     75.36

WED OPEN    47.16    52.24    56.77   56.94    69.32     75.46

TUE 3:00    47.22    51.99    57.09   56.97    69.21     75.46

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$]