US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 4

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

TUE OPEN   6.54%   6.59%  3.42%  3.54%  2.32%  2.31%  7.44%   11.43%

FRI 3:00   6.19%   6.47%  3.27%  3.51%  2.21%  2.28%  5.78%   11.97%

FRI OPEN   6.30%   6.48%  3.38%  3.54%  2.22%  2.31%  6.52%   11.26%     

THU 3:00   6.20%   6.42%  3.22%  3.42%  2.19%  2.31%  6.01%   11.16%

THU OPEN   6.23%   6.41%  3.30%  3.47%  2.24%  2.26%  7.36%   11.80%

WED 3:00   6.12%   6.40%  3.19%  3.41%  2.13%  2.24%  5.47%   11.65%

WED OPEN   6.37%   6.53%  3.36%  3.52%  2.20%  2.28%  5.81%   12.65%

TUE 3:00   6.33%   6.51%  3.28%  3.50%  2.13%  2.27%  5.70%   11.91%

TUE OPEN   5.98%   6.35%  3.16%  3.42%  2.07%  2.22%  7.63%   12.24%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   95,599   -1,989   119.50 P   98,020  -1,031

DEC18 10Y NOTE  120.00 C   27,848     +301   110.00 P   50,688    +312

OCT18 5Y NOTE   113.75 C   32,983     +201   112.50 P   41,073  +2,401

DEC18 5Y NOTE   115.00 C   20,091       +1   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.87 C   27,749   +2,000   105.37 P   16,523    +243

DEC18 2Y NOTE   105.87 C    4,772   +1,000   105.00 P   12,000    UNCH

SEP18 EURODLR    97.62 C  334,156   -1,250    97.37 P  529,608    UNCH

OCT18 EURODLR    97.62 C   91,908     +600    97.12 P  175,378    UNCH

OCT19 1Y-MIDC    97.12 C   54,061   +2,500    96.87 P  161,535  +2,200

OCT20 2Y-MIDC    97.00 C   39,245   +5,184    97.00 P   40,574 +11,153

OCT21 3Y-MIDC    97.25 C   22,194   +6,000    97.12 P   11,236    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,725     -187   120.00 P   65,559     -69

OCT18 10Y NOTE  120.50 C   50,778     +148   120.50 P   24,332    -479

DEC18 10Y NOTE  120.00 C   27,848     +301   120.00 P   30,702    +246

DEC18 10Y NOTE  120.50 C   14,313      -23   120.50 P   18,490      +3

OCT18 5Y NOTE   113.50 C   32,394   -2,059   113.50 P   15,536    +105

OCT18 5Y NOTE   113.75 C   32,983     +201   113.75 P      613    +490

DEC18 5Y NOTE   113.50 C    6,714     +184   113.50 P    6,530    UNCH

DEC18 5Y NOTE   113.75 C      381     UNCH   113.75 P      381    UNCH

OCT18 2Y NOTE   105.87 C   27,749   +2,000   105.87 P        0    UNCH

OCT18 2Y NOTE   106.00 C   13,036     UNCH   106.00 P        0    UNCH

DEC18 2Y NOTE   105.87 C    4,772   +1,000   105.87 P        3    UNCH

DEC18 2Y NOTE   106.00 C      762     UNCH   106.00 P        2    UNCH

SEP18 EURODLR    97.50 C  142,281     UNCH    97.50 P  471,340    UNCH

SEP18 EURODLR    97.62 C  334,156   -1,250    97.62 P  228,623  +5,500

OCT18 EURODLR    97.37 C   82,611   +1,000    97.37 P  158,634      -1

OCT18 EURODLR    97.50 C   68,059     -325    97.50 P    9,850    UNCH  

OCT19 1Y-MIDC    97.12 C   54,061   +2,500    97.12 P   17,334    UNCH

OCT19 1Y-MIDC    97.25 C   31,934     UNCH    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   39,809     +564    97.00 P   41,021    +447

OCT20 2Y-MIDC    97.12 C   33,926     UNCH    97.12 P   11,213    +100  

OCT21 3Y-MIDC    96.87 C    1,500     UNCH    96.87 P    7,905    UNCH

OCT21 3Y-MIDC    97.00 C    6,775     UNCH    97.00 P    9,822    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.98 (80,527 PUTS VS. 82,040 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 4.52 (25,769 PUTS VS. 5,700 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 2.04 (23,718 PUTS VS. 11,654 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 0.62 (3,913 PUTS VS. 6,347 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 1.40 (14,521 PUTS VS. 10,355 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.50 (3,002 PUTS VS. 2,000 CALLS)

SEP18 EURODLRS PUT/CALL RATIO  -- 6.09 (24,350 PUTS VS. 4,001 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.02 (301 PUTS VS. 19,325 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.55 (3,300 PUTS VS. 6,000 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.03 (500 PUTS VS. 20,000 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 25,500 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 OPEN    50.24    53.17    58.07   57.12    69.22     75.26

FRI 3:00    50.26    53.28    58.03   57.15    69.07     75.13

FRI OPEN    50.27    53.44    58.06   57.19    69.03     75.01

THU 3:00    50.32    52.96    57.89   57.13    69.02     74.99

THU OPEN    50.32    53.02    57.77   57.07    69.09     75.00

WED 3:00    50.56    52.78    58.28   57.21    69.35     75.26

WED OPEN    50.89    53.40    58.43   57.58    69.19     75.26

TUE 3:00    50.83    52.59    58.29   57.33    69.18     75.24

TUE OPEN    50.64    51.60    57.89   56.94    69.01     75.10

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

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