US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 14

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

            USV     USX    TYV    TYX    FVV    FVX     EDV     EDZ

FRI 3:00   5.92%   6.19%  2.63%  3.16%  1.81%  2.01%   8.14%   10.25%

FRI OPEN   5.96%   6.01%  2.79%  3.14%  1.80%  1.99%   7.88%    9.83%

THU 3:00   5.93%   5.96%  2.80%  3.16%  1.72%  1.95%   7.93%   10.54%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  122.00 C   89,576     UNCH   119.00 P  105,949  -2,715

DEC18 10Y NOTE  121.00 C   38,609     +671   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   49,829   -1,267   113.00 P   31,558  -6,177

DEC18 5Y NOTE   116.00 C   20,769      +10   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.62 C   42,104   +6,105   105.25 P   41,650 +38,935

DEC18 2Y NOTE   105.87 C    5,254       +1   105.00 P   12,000    UNCH

OCT18 EURODLR    97.37 C  138,332     -304    97.37 P  191,380      -9

DEC18 EURODLR    97.62 C  535,292  -12,500    97.25 P  690,692    -926

OCT19 1Y-MIDC    97.12 C   72,670   +2,996    96.87 P  180,274 +13,800

OCT20 2Y-MIDC    97.00 C   48,398      +35    97.00 P   51,815    -100

OCT21 3Y-MIDC    97.25 C   22,174     UNCH    97.00 P   22,551    +676

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   59,299     +756   120.00 P   49,830    +108

OCT18 10Y NOTE  120.50 C   59,864     +974   120.50 P   23,601    +105

DEC18 10Y NOTE  120.00 C   30,966     +408   120.00 P   34,213     -49

DEC18 10Y NOTE  120.50 C   19,931   +1,150   120.50 P   20,326    +358

OCT18 5Y NOTE   113.50 C   49,829   -1,267   113.50 P   16,531    -211

OCT18 5Y NOTE   113.75 C   33,432     -281   113.75 P      611    UNCH

DEC18 5Y NOTE   113.50 C   13,393      -93   113.50 P    6,652    UNCH

DEC18 5Y NOTE   113.75 C    4,182      +39   113.75 P      389      +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    5,254       +1   105.87 P        3    UNCH

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

OCT18 EURODLR    97.37 C  138,332     -304    97.37 P  191,380      -9

OCT18 EURODLR    97.50 C   88,346     UNCH    97.50 P    9,650    UNCH 

DEC18 EURODLR    97.50 C  373,966   -2,000    97.50 P  349,131 -12,806

DEC18 EURODLR    97.62 C  535,292  -12,500    97.62 P  193,673    UNCH

OCT19 1Y-MIDC    97.12 C   72,670   +2,996    97.12 P   18,859    UNCH

OCT19 1Y-MIDC    97.25 C   30,251   +1,961    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   48,398      +35    97.00 P   51,815    -100

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

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    8,164    +452

OCT21 3Y-MIDC    97.00 C   21,220   +2,433    97.00 P   22,551    +676

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.52 (91,463 PUTS VS. 60,168 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.28 (40,813 PUTS VS. 31,781 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 2.01 (59,686 PUTS VS. 29,689 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.62 (31,094 PUTS VS. 11,864 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.63 (7,200 PUTS VS. 11,505 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 5.56 (1,611 PUTS VS. 290 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 15.7 (17,033 PUTS VS. 1,086 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 2.18 (152,899 PUTS VS. 70,192 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 1.16 (37,318 PUTS VS. 32,250 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.66 (2,300 PUTS VS. 3,500 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.68 (2,150 PUTS VS. 3,150 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

FRI 3:00    44.80    50.08    55.66   55.54    68.72     74.93

FRI OPEN    44.77    49.38    55.08   55.04    68.47     74.81

THU 3:00    45.32    49.61    55.48   55.56    68.51     74.84

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

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

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