US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR SEP 7

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

            USV     USX    TYV    TYX    FVV    FVX    EDU     EDV

FRI OPEN   6.50%   6.51%  3.25%  3.42%  2.21%  2.26%  5.38%    9.96%

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   93,219     -645   119.50 P   95,262  -3,137

DEC18 10Y NOTE  120.00 C   28,950     +469   110.00 P   50,909    UNCH

OCT18 5Y NOTE   113.50 C   49,268  +13,082   113.25 P   36,792    +507

DEC18 5Y NOTE   115.00 C   20,589     +499   107.25 P  244,618    UNCH

OCT18 2Y NOTE   105.87 C   18,177   -9,427   105.37 P   11,923    UNCH

DEC18 2Y NOTE   105.87 C    4,951     +179   105.00 P   12,000    UNCH

OCT18 EURODLR    97.37 C  137,682   +5,484    97.37 P  191,261    +542

DEC18 EURODLR    97.62 C  557,627  +30,700    97.25 P  678,088  -5,513

OCT19 1Y-MIDC    97.12 C   73,269   +9,453    96.87 P  162,835  +1,500

OCT20 2Y-MIDC    97.00 C   46,145   +3,650    97.00 P   49,741  +3,545

OCT21 3Y-MIDC    97.25 C   22,194     UNCH    97.00 P   16,822  +3,800

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

OCT18 10Y NOTE  120.00 C   39,653   +1,152   120.00 P   61,487  -4,727

OCT18 10Y NOTE  120.50 C   58,513   +1,196   120.50 P   23,881      -8

DEC18 10Y NOTE  120.00 C   28,950     +469   120.00 P   33,300  +1,851

DEC18 10Y NOTE  120.50 C   14,796     +344   120.50 P   19,815     +85

OCT18 5Y NOTE   113.50 C   49,268  +13,082   113.50 P   15,493     -43

OCT18 5Y NOTE   113.75 C   32,826     -707   113.75 P      613    UNCH

DEC18 5Y NOTE   113.50 C    5,675      +13   113.50 P    6,652    UNCH

DEC18 5Y NOTE   113.75 C    2,157     +634   113.75 P      379      -2

OCT18 2Y NOTE   105.87 C   18,177   -9,427   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    4,951     +179   105.87 P        3    UNCH

DEC18 2Y NOTE   106.00 C      991     +152   106.00 P        2    UNCH

OCT18 EURODLR    97.37 C  137,682   +5,484    97.37 P  191,261    +542

OCT18 EURODLR    97.50 C   84,876   -2,854    97.50 P    9,850    UNCH 

DEC18 EURODLR    97.50 C  372,827     -910    97.50 P  387,208  -5,807

DEC18 EURODLR    97.62 C  557,627  +30,700    97.62 P  196,673    UNCH

OCT19 1Y-MIDC    97.12 C   73,269   +9,453    97.12 P   16,499    UNCH

OCT19 1Y-MIDC    97.25 C   42,496   +3,550    97.25 P        0    UNCH

OCT20 2Y-MIDC    97.00 C   46,145   +3,650    97.00 P   49,741  +3,545

OCT20 2Y-MIDC    97.12 C   37,679     +750    97.12 P   12,017    +804  

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

OCT21 3Y-MIDC    97.00 C   13,681   +3,740    97.00 P   16,822  +3,800

     PUT/CALL RATIO FOR VOLUME CLEARED:

OCT18 10Y NOTE PUT/CALL RATIO  -- 1.19 (143,386 PUTS VS. 120,324 CALLS)

DEC18 10Y NOTE PUT/CALL RATIO  -- 0.76 (17,079 PUTS VS. 22,329 CALLS)

OCT18 5Y NOTE PUT/CALL RATIO   -- 0.94 (43,508 PUTS VS. 46,410 CALLS)

DEC18 5Y NOTE PUT/CALL RATIO   -- 2.60 (24,299 PUTS VS. 9,334 CALLS)

OCT18 2Y NOTE PUT/CALL RATIO   -- 0.12 (1,560 PUTS VS. 12,955 CALLS)

DEC18 2Y NOTE PUT/CALL RATIO   -- 0.39 (223 PUTS VS. 573 CALLS)

OCT18 EURODLRS PUT/CALL RATIO  -- 0.24 (6,925 PUTS VS. 28,424 CALLS)

DEC18 EURODLRS PUT/CALL RATIO  -- 1.67 (174,733 PUTS VS. 104,851 CALLS)

OCT19 1Y-MIDCRVE PUT/CALL RATIO-- 0.87 (24,607 PUTS VS. 28,300 CALLS)

OCT20 2Y-MIDCRVE PUT/CALL RATIO-- 1.08 (3,250 PUTS VS. 3,000 CALLS)

OCT21 3Y-MIDCRVE PUT/CALL RATIO-- 1.00 (2,000 PUTS VS. 2,000 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

FRI OPEN    48.89    51.75    57.65   57.03    69.33     75.50

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$]