US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 18

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

            USV    USZ     TYV    TYZ     FVV    FVZ     EDV     EDZ

TUE 1500  13.84%  9.76%   7.59%  5.03%   5.00%  3.29%   34.75%  30.88%

TUE OPEN  14.09%  9.88%   7.45%  5.07%   5.00%  3.31%   34.40%  31.40%

Mon 1500  14.13%  9.97%   7.25%  5.08%   4.82%  3.32%   33.90%  30.50%

MON OPEN  14.63%  9.90%   7.35%  5.01%   5.05%  3.32%   33.60%  30.75%

FRI 1500  12.18%  9.71%   6.26%  4.98%   4.25%  3.23%   31.17%   N/A

FRI OPEN  10.90%  9.23%   5.61%  4.65%   3.85%  3.08%   31.60%   N/A

THU 1500  10.73%  9.10%   5.73%  4.62%   4.02%  3.10%   31.18%   N/A

THU OPEN  10.35%  9.00%   5.35%  4.53%   3.86%  3.02%   31.77%   N/A

WED 1500  10.75%  9.15%   5.50%  4.65%   3.83%  3.08%   31.38%   N/A

WED OPEN  11.40%  9.25%   5.72%  4.71%   4.01%  3.13%   33.75%   N/A

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  132.00 C   84,337       -1   129.00 P   99,952   -7,728

DEC19 10Y NOTE  134.00 C   58,981     +355   116.00 P   51,002      +21

OCT19 5Y NOTE   120.50 C   31,785     UNCH   119.00 P   86,137       -1

DEC19 5Y NOTE   119.50 C   49,926  +25,141   109.00 P   48,347     UNCH

OCT19 2Y NOTE   107.62 C   10,854   +8,960   107.50 P   25,168   -1,500

DEC19 2Y NOTE   108.12 C    8,638   +3,201   105.75 P    5,400     UNCH

OCT19 EURODLR    98.25 C  491,631  -17,187    98.00 P  135,488     -850

DEC19 EURODLR    98.25 C  510,772  +17,072    97.25 P1,054,139     +300

DEC20 1Y-MIDC    98.87 C  176,188   +7,950    98.00 P  207,489   -7,498

DEC21 2Y-MIDC    98.50 C   86,589     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   56,018     UNCH    97.37 P   64,958     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

OCT19 10Y NOTE  129.00 C   25,016     -230   129.00 P   99,952   -7,728

OCT19 10Y NOTE  129.50 C   33,317  +11,902   129.50 P   66,028     +845

DEC19 10Y NOTE  129.00 C   10,629     -233   129.00 P   36,313     +600

DEC19 10Y NOTE  129.50 C   13,150   +2,081   129.50 P   41,892   +1,115

OCT19 5Y NOTE   118.25 C    5,342      +19   118.25 P   31,420   -3,833

OCT19 5Y NOTE   118.50 C   10,410   +1,831   118.50 P   49,480   -1,846

DEC19 5Y NOTE   118.25 C      200     UNCH   118.25 P   18,707  +14,501

DEC19 5Y NOTE   118.50 C    1,860     UNCH   118.50 P   11,962     -469

OCT19 2Y NOTE   107.50 C      452      -43   107.50 P   25,168   -1,500

OCT19 2Y NOTE   107.62 C   10,854   +8,960   107.62 P   11,193      +24

DEC19 2Y NOTE   107.50 C      574      +48   107.50 P    1,432     +400

DEC19 2Y NOTE   107.62 C      192     UNCH   107.62 P      467     UNCH

OCT19 EURODLR    98.00 C  127,041   +5,620    98.00 P  135,488     -850

OCT19 EURODLR    98.12 C   98,403   +9,021    98.12 P   97,363     UNCH

DEC19 EURODLR    97.87 C  377,095     +148    97.87 P  335,467     -435

DEC19 EURODLR    98.00 C  303,273  +16,605    98.00 P  337,530   +5,495

DEC20 1Y-MIDC    98.37 C  108,517     UNCH    98.37 P  156,923   +2,000

DEC20 1Y-MIDC    98.50 C  111,738   -1,760    98.50 P   57,733   +1,735

DEC21 2Y-MIDC    98.37 C   51,398     UNCH    98.37 P   19,833     UNCH

DEC21 2Y-MIDC    98.50 C   86,589     UNCH    98.50 P   31,795     UNCH

DEC22 3Y-MIDC    98.37 C   14,222     UNCH    98.37 P    4,027     -330

DEC22 3Y-MIDC    98.50 C   34,175     UNCH    98.50 P   17,000     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

OCT19 10Y NOTE PUT/CALL RATIO   -- 1.44 (173,446 PUTS VS. 120,949 CALLS)

DEC19 10Y NOTE PUT/CALL RATIO   -- 2.48 (112,833 PUTS VS. 45,192 CALLS)

OCT19 5Y NOTE PUT/CALL RATIO    -- 1.34 (82,018 PUTS VS. 61,700 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 1.33 (28,320 PUTS VS. 21,347 CALLS)

OCT19 2Y NOTE PUT/CALL RATIO    -- 0.61 (14,306 PUTS VS. 23,321 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 0.31 (2,751 PUTS VS. 8,620 CALLS)

OCT19 EURODLRS PUT/CALL RATIO   -- 0.16 (38,749 PUTS VS. 226,062 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.41 (142,176 PUTS VS. 341,070 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 0.82 (50,010 PUTS VS. 61,280 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 1928 (1,928 PUTS VS. 1 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (0 PUTS VS. 3,000 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

Tue 1500    79.87    88.51    81.84    80.52    66.14     64.41

Tue Open    79.95    89.15    82.29    80.71    65.98     64.48

Mon 1500    80.62    89.43    82.46    80.47    66.08     64.48

Mon Open    80.92    87.16    81.54    79.45    65.75     64.25

Fri 1500    80.06    83.89    80.58    78.53    65.66     64.35

Fri Open    79.53    77.62    76.74    74.58    65.18     64.50

Thu 1500    80.01    76.74    76.82    74.61    65.64     65.03

Thu Open    80.01    76.49    77.69    74.93    66.82     65.91

Wed 1500    80.51    80.00    77.59    75.55    67.28     66.40

Wed Open    81.12    81.91    77.95    75.85    67.67     66.68

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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