US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 5

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

WED 3:00   6.45%   6.53%  3.43%  3.50%  2.23%  2.27%  7.74%   10.10%

WED OPEN   6.60%   6.59%  3.39%  3.49%  2.33%  2.34%  5.63%   10.06%

TUE 3:00   6.71%   6.57%  3.55%  3.51%  2.40%  2.34%  6.61%   10.75%

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%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  121.00 C   97,130     +667   119.50 P  101,423  +1,403

DEC18 10Y NOTE  120.00 C   28,527     +679   110.00 P   50,909    +221

OCT18 5Y NOTE   113.50 C   33,677     +483   112.50 P   46,645  +2,739

DEC18 5Y NOTE   115.00 C   20,090       -1   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.87 C   27,949     +200   105.37 P   16,523    UNCH

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

OCT18 EURODLR    97.62 C   91,908     UNCH    97.12 P  175,503    UNCH

DEC18 EURODLR    97.62 C  510,527  +63,550    97.25 P  656,766  +7,432

OCT19 1Y-MIDC    97.12 C   56,036      -25    96.87 P  161,535    UNCH

OCT20 2Y-MIDC    97.00 C   40,059     +250    97.00 P   41,271    +250

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

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   40,626   +1,901   120.00 P   66,723  +1,043

OCT18 10Y NOTE  120.50 C   55,892   +4,222   120.50 P   23,880    -452

DEC18 10Y NOTE  120.00 C   28,527     +679   120.00 P   31,364    +662

DEC18 10Y NOTE  120.50 C   14,443     +130   120.50 P   18,981    +481

OCT18 5Y NOTE   113.50 C   33,677     +483   113.50 P   15,536    UNCH

OCT18 5Y NOTE   113.75 C   32,743     -240   113.75 P      613    UNCH

DEC18 5Y NOTE   113.50 C    5,682     -116   113.50 P    6,714    UNCH

DEC18 5Y NOTE   113.75 C    1,523     +939   113.75 P      381    UNCH

OCT18 2Y NOTE   105.87 C   27,949     +200   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     UNCH   105.87 P        3    UNCH

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

OCT18 EURODLR    97.37 C   84,505   +1,894    97.37 P  161,317  +2,683

OCT18 EURODLR    97.50 C   71,665   +3,606    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  362,727  +25,378    97.50 P  393,315  -1,251

DEC18 EURODLR    97.62 C  510,527  +63,550    97.62 P  196,673    UNCH

OCT19 1Y-MIDC    97.12 C   56,036      -25    97.12 P   17,074    -260

OCT19 1Y-MIDC    97.25 C   32,134     +200    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   40,059     +250    97.00 P   41,271    +250

OCT20 2Y-MIDC    97.12 C   34,149     +223    97.12 P   11,213    UNCH  

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

OCT21 3Y-MIDC    97.00 C    6,778       +3    97.00 P    9,822    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 0.98 (92,944 PUTS VS. 94,874 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.86 (14,776 PUTS VS. 17,161 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 2.53 (42,367 PUTS VS. 16,728 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 1.62 (12,940 PUTS VS. 7,989 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 11.4 (9,055 PUTS VS. 793 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 1.29 (111 PUTS VS. 86 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.19 (3,501 PUTS VS. 18,615 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 0.47 (74,429 PUTS VS. 159,484 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.73 (6,200 PUTS VS. 8,500 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 19,000 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (0 PUTS VS. 5,000 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

WED 3:00    49.88    53.03    57.97   57.20    69.47     75.53

WED OPEN    50.33    53.32    58.34   57.41    69.47     75.50

TUE 3:00    50.37    53.13    58.32   57.40    69.42     75.47

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

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

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