US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 6

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

THU 3:00   6.58%   6.58%  3.33%  3.44%  2.28%  2.28%  9.39%   11.42%

THU OPEN   6.57%   6.52%  3.36%  3.40%  2.24%  2.27%  6.45%    9.05%

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   93,864     -566   119.50 P   98,399  -3,024

DEC18 10Y NOTE  120.00 C   28,481      -46   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   36,186   +2,509   112.50 P   46,333    -312

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

OCT18 2Y NOTE   105.87 C   27,604     -345   105.37 P   16,523    UNCH

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

OCT18 EURODLR    97.37 C  132,198  +47,693    97.37 P  190,719 +29,402

DEC18 EURODLR    97.62 C  526,927  +16,400    97.25 P  656,766  +7,432

OCT19 1Y-MIDC    97.12 C   63,816   +7,780    96.87 P  161,335    -200

OCT20 2Y-MIDC    97.00 C   42,495   +2,436    97.00 P   46,196  +4,925

OCT21 3Y-MIDC    97.25 C   22,194     UNCH    97.00 P   13,022  +3,200

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   38,501   -1,987   120.00 P   66,214    -509

OCT18 10Y NOTE  120.50 C   57,317   +2,061   120.50 P   23,889      +9

DEC18 10Y NOTE  120.00 C   28,481      -46   120.00 P   31,449     +85

DEC18 10Y NOTE  120.50 C   14,452       +9   120.50 P   19,730    +749

OCT18 5Y NOTE   113.50 C   36,186   +2,509   113.50 P   15,536    UNCH

OCT18 5Y NOTE   113.75 C   33,533     +790   113.75 P      613    UNCH

DEC18 5Y NOTE   113.50 C    5,662      -20   113.50 P    6,652     -62

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

OCT18 2Y NOTE   105.87 C   27,604     -345   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  132,198  +47,693    97.37 P  190,719 +29,402

OCT18 EURODLR    97.50 C   87,730  +16,065    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  373,737  +11,010    97.50 P  393,015    -300

DEC18 EURODLR    97.62 C  526,927  +16,400    97.62 P  196,673    UNCH

OCT19 1Y-MIDC    97.12 C   63,816   +7,780    97.12 P   16,499    -575

OCT19 1Y-MIDC    97.25 C   38,946   +6,812    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   42,495   +2,436    97.00 P   46,196  +4,925

OCT20 2Y-MIDC    97.12 C   36,929   +2,780    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    9,941   +3,163    97.00 P   13,022  +3,200

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.12 (62,267 PUTS VS. 55,723 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 1.24 (17,535 PUTS VS. 14,169 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.35 (7,879 PUTS VS. 22,648 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.31 (26,744 PUTS VS. 11,562 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 1.82 (10,807 PUTS VS. 5,945 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.39 (132 PUTS VS. 341 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.29 (43,125 PUTS VS. 150,278 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 2.13 (84,041 PUTS VS. 39,515 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.35 (8,000 PUTS VS. 22,820 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 0.54 (5,200 PUTS VS. 9,700 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (3,200 PUTS VS. 3,200 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 3:00    48.99    51.66    57.69   57.01    69.35     75.55

THU OPEN    49.79    52.15    57.88   57.16    69.50     75.56

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$]