US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 28

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

            USX     USZ    TYX    TYZ    FVX    FVZ     EDV     EDZ

FRI 3:00   6.26%   6.35%  3.09%  3.31%  1.92%  2.05%   8.97%   9.89%

FRI OPEN   6.40%   6.53%  3.26%  3.41%  2.00%  2.11%   8.21%   9.75%

THU 3:00   6.38%   6.40%  3.17%  3.31%  1.97%  2.05%   9.95%   9.76%

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  119.50 C   85,772   +8,701   118.00 P  119,311  -1,867

DEC18 10Y NOTE  120.50 C   94,348   +1,720   118.00 P   83,307  +2,014

NOV18 5Y NOTE   113.25 C   31,843     +104   112.75 P   22,772     -33

DEC18 5Y NOTE   114.00 C   40,801   +2,500   107.25 P  244,618    UNCH

NOV18 2Y NOTE   105.75 C   22,137     UNCH   105.12 P   16,763    UNCH

DEC18 2Y NOTE   106.75 C    6,243     UNCH   105.25 P   11,030    UNCH

OCT18 EURODLR    97.37 C  137,012   -3,350    97.37 P  192,107  -5,500

DEC18 EURODLR    97.62 C  468,434     UNCH    97.25 P  669,090    -897

DEC19 1Y-MIDC    97.25 C  220,085   -1,300    96.75 P  642,630  +3,697

DEC20 2Y-MIDC    97.25 C  112,353     +337    96.75 P  337,247  -4,258

DEC21 3Y-MIDC    97.50 C   66,114     +100    96.50 P  138,648    -413

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

NOV18 10Y NOTE  120.00 C   80,234   +3,235   120.00 P   22,540    UNCH

NOV18 10Y NOTE  120.50 C   49,982   +1,618   120.50 P    7,212    +253

DEC18 10Y NOTE  120.00 C   49,357     +296   120.00 P   31,844    +533

DEC18 10Y NOTE  120.50 C   94,348   +1,720   120.50 P   20,712    UNCH

NOV18 5Y NOTE   113.50 C   23,816      +50   113.50 P    3,115      +1

NOV18 5Y NOTE   113.75 C   11,783      +32   113.75 P    1,913    UNCH

DEC18 5Y NOTE   113.50 C   35,961     +843   113.50 P    6,785    +146

DEC18 5Y NOTE   113.75 C    7,551       +4   113.75 P      393    UNCH

NOV18 2Y NOTE   105.62 C   20,052       -1   105.62 P      108    UNCH

NOV18 2Y NOTE   105.75 C   22,137     UNCH   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     UNCH   106.75 P      251    UNCH

OCT18 EURODLR    97.37 C  137,012   -3,350    97.37 P  190,707    UNCH

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

DEC18 EURODLR    97.50 C  359,263     -500    97.50 P  330,649    UNCH

DEC18 EURODLR    97.62 C  468,434     UNCH    97.62 P  193,683    UNCH

DEC19 1Y-MIDC    97.12 C  219,932   -2,550    97.12 P  143,798    UNCH

DEC19 1Y-MIDC    97.25 C  220,085   -1,300    97.25 P   87,329    UNCH

DEC20 2Y-MIDC    97.00 C  101,814     +722    97.00 P  273,052    UNCH

DEC20 2Y-MIDC    97.12 C   63,610  +12,128    97.12 P   42,358    UNCH  

DEC21 3Y-MIDC    96.87 C   34,838   +4,021    96.87 P   40,787  +2,666

DEC21 3Y-MIDC    97.00 C   51,108     UNCH    97.00 P  106,750    +432

     PUT/CALL RATIO FOR VOLUME CLEARED:

NOV18 10Y NOTE PUT/CALL RATIO  -- 1.38 (110,442 PUTS VS. 80,236 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.40 (33,469 PUTS VS. 23,866 CALLS)

NOV18 5Y NOTE PUT/CALL RATIO   -- 1.49 (26,641 PUTS VS. 17,915 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.51 (16,813 PUTS VS. 11,116 CALLS)

NOV18 2Y NOTE PUT/CALL RATIO   -- 2.68 (557 PUTS VS. 208 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.20 (1,216 PUTS VS. 1,016 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.00 (0 PUTS VS. 4,500 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 2.76 (59,590 PUTS VS. 21,582 CALLS)

DEC19 1Y-MIDCRVE PUT/CALL RATIO-- 4.17 (110,250 PUTS VS. 26,425 CALLS)

DEC20 2Y-MIDCRVE PUT/CALL RATIO-- 15.9 (78,826 PUTS VS. 4,950 CALLS)

DEC21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (3,450 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

FRI 3:00    43.25   49.63    53.95   55.23    68.36     74.29

FRI OPEN    43.37   49.57    53.89   55.16    68.52     74.29

THU 3:00    43.61   50.00    54.19   55.33    68.62     74.36

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$]