US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 26

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

WED OPEN   6.72%   6.68%  3.39%  3.57%  2.14%  2.18%   8.06%   9.33%

TUE 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

TUE OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON 3:00    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

MON OPEN    N/A     N/A    N/A    N/A    N/A    N/A     N/A     N/A

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  121.00 C   78,220     -162   118.00 P  123,775 +12,667

DEC18 10Y NOTE  120.50 C   87,870  +30,788   118.00 P   80,778  +4,711

NOV18 5Y NOTE   113.25 C   31,700   +1,903   112.75 P   22,897    -200

DEC18 5Y NOTE   114.00 C   37,901   +2,279   107.25 P  244,618    UNCH

NOV18 2Y NOTE   105.75 C   22,142     UNCH   105.12 P   21,663  -1,050

DEC18 2Y NOTE   105.87 C    5,254     UNCH   104.50 P   10,639     +59

OCT18 EURODLR    97.37 C  140,362   +6,718    97.37 P  192,107  -5,500

DEC18 EURODLR    97.62 C  472,776     UNCH    97.25 P  687,786  -1,396

DEC19 1Y-MIDC    97.25 C  228,882  -24,882    96.75 P  667,104+193,472

DEC20 2Y-MIDC    97.25 C  111,466      -40    96.75 P  344,030 -39,690

DEC21 3Y-MIDC    97.50 C   66,014     UNCH    96.50 P  149,061    +100

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   74,471   +2,804   120.00 P   22,541     +89

NOV18 10Y NOTE  120.50 C   47,955   -1,002   120.50 P    7,112      +1

DEC18 10Y NOTE  120.00 C   49,001   +2,070   120.00 P   31,311     +12

DEC18 10Y NOTE  120.50 C   87,870  +30,788   120.50 P   20,712    UNCH

NOV18 5Y NOTE   113.50 C   23,760     +574   113.50 P    3,114    UNCH

NOV18 5Y NOTE   113.75 C   12,485     -146   113.75 P    1,915    UNCH

DEC18 5Y NOTE   113.50 C   34,889   +4,425   113.50 P    6,621    UNCH

DEC18 5Y NOTE   113.75 C    7,587     +220   113.75 P      393    UNCH

NOV18 2Y NOTE   105.62 C   19,253     +180   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   22,142     UNCH   105.75 P      181    UNCH

DEC18 2Y NOTE   105.62 C      738     +423   105.87 P      322    UNCH

DEC18 2Y NOTE   106.75 C    4,413     UNCH   106.00 P      251    UNCH

OCT18 EURODLR    97.37 C  140,362   +6,718    97.37 P  192,107  -5,500

OCT18 EURODLR    97.50 C  104,386     UNCH    97.50 P    9,650    UNCH 

DEC18 EURODLR    97.50 C  360,733   -1,969    97.50 P  330,649  -1,129

DEC18 EURODLR    97.62 C  472,776     UNCH    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  211,082  +30,403    97.12 P  143,798    UNCH

DEC19 1Y-MIDC    97.25 C  228,882  -24,882    97.25 P   87,812    +510

DEC20 2Y-MIDC    97.00 C  103,003     UNCH    97.00 P  276,552  -3,500

DEC20 2Y-MIDC    97.12 C   48,653     UNCH    97.12 P   42,358    UNCH  

DEC21 3Y-MIDC    96.87 C   30,817   -4,414    96.87 P   38,371  -2,149

DEC21 3Y-MIDC    97.00 C   51,108   +2,040    97.00 P  106,318    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 1.21 (111,733 PUTS VS. 92,080 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.51 (55,051 PUTS VS. 107,762 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.95 (22,381 PUTS VS. 23,532 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.14 (19,574 PUTS VS. 17,111 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 0.47 (9,614 PUTS VS. 20,600 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 7.58 (10,807 PUTS VS. 1,425 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 1.81 (14,501 PUTS VS. 8,020 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 5.95 (84,011 PUTS VS. 14,120 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 0.82 (157,304 PUTS VS. 192,244 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 5.80 (126,500 PUTS VS. 21,800 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.37 (8,000 PUTS VS. 21,700 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 OPEN    44.96   53.46    55.87   57.12     69.14    74.62

TUE 3:00     N/A     N/A      N/A     N/A      N/A       N/A

TUE OPEN     N/A     N/A      N/A     N/A      N/A       N/A

MON 3:00     N/A     N/A      N/A     N/A      N/A       N/A

MON OPEN     N/A     N/A      N/A     N/A      N/A       N/A

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

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