US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 27

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

THU OPEN   6.21%   6.34%  3.15%  3.34%  1.94%  2.07%  11.54%   9.75%

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  119.00 C   83,411  +24,942   118.00 P  121,178  -2,597

DEC18 10Y NOTE  120.50 C   92,628   +4,758   118.00 P   81,293    +515

NOV18 5Y NOTE   113.25 C   31,739      +39   112.75 P   22,805     -92

DEC18 5Y NOTE   114.00 C   38,301     +400   107.25 P  244,618    UNCH

NOV18 2Y NOTE   105.75 C   22,137       -5   105.12 P   16,763  -4,900

DEC18 2Y NOTE   106.75 C    6,243   +1,830   105.25 P   11,030  +1,897

OCT18 EURODLR    97.37 C  140,362     UNCH    97.37 P  192,107  -5,500

DEC18 EURODLR    97.62 C  468,434   -4,342    97.25 P  669,987 -17,799

DEC19 1Y-MIDC    97.25 C  221,385   -7,497    96.75 P  638,933 -28,171

DEC20 2Y-MIDC    97.25 C  112,016     +550    96.75 P  341,505  -2,525

DEC21 3Y-MIDC    97.50 C   66,014     UNCH    96.50 P  139,061    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   76,999   +2,528   120.00 P   22,540      -1

NOV18 10Y NOTE  120.50 C   48,364     +409   120.50 P    7,259    +147

DEC18 10Y NOTE  120.00 C   49,061      +60   120.00 P   31,311    UNCH

DEC18 10Y NOTE  120.50 C   92,628   +4,758   120.50 P   20,712    UNCH

NOV18 5Y NOTE   113.50 C   23,766       +6   113.50 P    3,114    UNCH

NOV18 5Y NOTE   113.75 C   11,751     -734   113.75 P    1,913      -2

DEC18 5Y NOTE   113.50 C   35,118     +229   113.50 P    6,639     +18

DEC18 5Y NOTE   113.75 C    7,547      -40   113.75 P      393    UNCH

NOV18 2Y NOTE   105.62 C   20,053     +800   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   22,137       -5   105.75 P      181    UNCH

DEC18 2Y NOTE   105.62 C      738     UNCH   105.62 P      322    UNCH

DEC18 2Y NOTE   106.75 C    6,243   +1,830   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  140,362     UNCH    97.37 P  190,707  -1,400

OCT18 EURODLR    97.50 C  104,636     +250    97.50 P    9,650    UNCH 

DEC18 EURODLR    97.50 C  359,763     -970    97.50 P  330,649    UNCH

DEC18 EURODLR    97.62 C  468,434   -4,342    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  217,382   +6,300    97.12 P  143,798    UNCH

DEC19 1Y-MIDC    97.25 C  221,385   -7,497    97.25 P   87,329    -483

DEC20 2Y-MIDC    97.00 C  101,092   -1,911    97.00 P  273,052  -3,500

DEC20 2Y-MIDC    97.12 C   51,482   +2,829    97.12 P   42,358    UNCH  

DEC21 3Y-MIDC    96.87 C   30,817     UNCH    96.87 P   38,121    -250

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

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 0.58 (127,708 PUTS VS. 221,122 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.44 (69,847 PUTS VS. 48,581 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 0.81 (10,467 PUTS VS. 12,981 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.50 (7,479 PUTS VS. 15,108 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 1.94 (6,459 PUTS VS. 3,321 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.72 (4,505 PUTS VS. 6,299 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 15.0 (11,251 PUTS VS. 751 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 2.82 (97,422 PUTS VS. 34,550 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 1.44 (110,250 PUTS VS. 76,542 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 6.05 (29,950 PUTS VS. 4,950 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,500 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    43.92   51.25    54.78   55.90    68.81     74.43

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$]