US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 13

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

            USV     USX    TYV    TYX    FVV    FVX     EDV     EDZ

THU OPEN   6.34%   6.03%  3.27%  3.25%  2.05%  2.07%   9.05%   10.35%

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

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  122.00 C   89,727     UNCH   119.00 P  108,664  +2,336

DEC18 10Y NOTE  121.00 C   37,938   +8,996   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   51,096      -62   113.00 P   37,735    -742

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

OCT18 2Y NOTE   105.62 C   35,999   +7,446   105.25 P   41,650 +38,935

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

OCT18 EURODLR    97.37 C  138,636     -149    97.37 P  191,389  -3,150

DEC18 EURODLR    97.62 C  547,792   -1,750    97.25 P  691,618 +20,338

OCT19 1Y-MIDC    97.12 C   69,674   +1,200    96.87 P  164,474  +1,004

OCT20 2Y-MIDC    97.00 C   48,363     -327    97.00 P   51,915    UNCH

OCT21 3Y-MIDC    97.25 C   22,174     UNCH    97.00 P   21,875    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   58,543     -133   120.00 P   49,722    -733

OCT18 10Y NOTE  120.50 C   58,890   -2,167   120.50 P   23,496     -47

DEC18 10Y NOTE  120.00 C   30,558     +460   120.00 P   34,262    +156

DEC18 10Y NOTE  120.50 C   18,781     +340   120.50 P   19,968    UNCH

OCT18 5Y NOTE   113.50 C   51,096      -62   113.50 P   16,742    UNCH

OCT18 5Y NOTE   113.75 C   33,713     +250   113.75 P      611    UNCH

DEC18 5Y NOTE   113.50 C   13,486   +5,780   113.50 P    6,652    UNCH

DEC18 5Y NOTE   113.75 C    4,142     UNCH   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     UNCH   105.87 P        3    UNCH

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

OCT18 EURODLR    97.37 C  138,636     -149    97.37 P  191,389  -3,150

OCT18 EURODLR    97.50 C   88,346     -500    97.50 P    9,650    -100 

DEC18 EURODLR    97.50 C  375,966   -1,500    97.50 P  361,937     -66

DEC18 EURODLR    97.62 C  547,792   -1,750    97.62 P  193,673    UNCH

OCT19 1Y-MIDC    97.12 C   69,674   +1,200    97.12 P   18,859    UNCH

OCT19 1Y-MIDC    97.25 C   28,290     +794    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   48,363     -327    97.00 P   51,915    UNCH

OCT20 2Y-MIDC    97.12 C   38,939     +197    97.12 P   12,017    UNCH  

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    7,712    UNCH

OCT21 3Y-MIDC    97.00 C   18,787     UNCH    97.00 P   21,875    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.34 (100,304 PUTS VS. 74,686 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.77 (36,679 PUTS VS. 47,911 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 1.09 (12,538 PUTS VS. 11,475 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.34 (8,406 PUTS VS. 24,404 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 3.22 (49,640 PUTS VS. 15,401 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 305  (305 PUTS VS. 1 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 2.60 (6,503 PUTS VS. 2,504 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.81 (56,852 PUTS VS. 70,342 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 1.39 (11,850 PUTS VS. 8,550 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 1.17 (3,500 PUTS VS. 3,000 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 0 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    46.12    50.83    55.77   55.95    68.90     75.20

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

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

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