MNI ASIA MARKETS ANALYSIS - DJIA Record High, Cracks 30,000

US TSY SUMMARY: Risk Appetite Grows

Long-end support after early London Block buys evaporated quickly, Tsys chopped lower through NY session as equities made new highs (DJIA cracked 30,000 for first time, climbed to 30116.51 all-time high). No market react to headline "TRUMP WEIGHING SANCTIONS RELATED TO CRACKDOWN IN HONG KONG: NYT".

• Modest, short term bounce after decent 7Y auction stopped through: $56B 7Y Note drew high yield 0.653% rate (0.600% last month) vs. 0.657% WI; 2.37 bid/cover vs. 2.24 prior.
• Heavy volumes tied to Dec/Mar futures rolls, more than half complete ahead next Monday's first notice.
• Eurodollar futures volume Spike, on more LIBOR retirement positioning? Over -50,000 EDH2 at 99.71-.705. Massive volumes centered in Eurodollar Reds (EDZ1-EDU2) both outright and on spreads recorded this month most likely due to LIBOR transition to the Secured Overnight Financing Rate (SOFR) positioning and risk mitigation.
• The 2-Yr yield is up 0.3bps at 0.1622%, 5-Yr is up 0.8bps at 0.3924%, 10-Yr is up 2.1bps at 0.875%, and 30-Yr is up 4.4bps at 1.5974%.

US TSY: Short Term Rates

• O/N -0.00187 at 0.08013% (-0.00250/wk)
• 1 Month -0.00713 to 0.14300% (-0.00713/wk)
• 3 Month +0.02575 to 0.23225% (+0.02737/wk)
• 6 Month +0.00075 to 0.25450% (+0.00575/wk)
• 1 Year +0.00000 to 0.33563% (-0.00087/wk)

• Daily Effective Fed Funds Rate: 0.08% volume: $62B
• Daily Overnight Bank Funding Rate: 0.08%, volume: $201B

• Secured Overnight Financing Rate (SOFR): 0.05%, $913B
• Broad General Collateral Rate (BGCR): 0.04%, $343B
• Tri-Party General Collateral Rate (TGCR): 0.04%, $315B
• (rate, volume levels reflect prior session)

• TIPS 1Y-7.5Y, $2.399B accepted vs. $4.407B submission
• Next scheduled purchase:
• Mon 11/30 1010-1030ET: Tsys 20Y-30Y, appr $1.750B
• Mon 11/30 Next forward schedule release at 1500ET

EURODOLLAR/TREASURY OPTIONS: Summary

Eurodollar Options:

• +3,000 short Sep 96/Green Sep 93put strip, 8.5
• +3,000 Blue Jun 92 puts, 9.0
• +2,500 long Green Dec'22 95 puts, 6.0 vs 99.65/0.25%
• -5,000 Blue Mar 93 puts, 7.25 vs. 99.455/0.10%
• -2,000 Red Dec 97 straddles, 9.0
• buyer Blue Jan 93/95 straddle strip at 28.5
• Overnight trade recap:
• 50,000 Dec/Mar 100 call spds, cab
• Mar 100 calls straight-up at cab

• +10,000 TYG 144.5 calls, 1
• 11,300 TYG 127.5 puts, 1/64
• Overnight trade
• +5,000 TYH 132 puts, 4
• 3,600 USG 171/178 call over risk reversals, 0.0

EGBs-GILTS CASH CLOSE: Can't Resist Soaring Equities

• French and German business confidence data were slightly weaker than expected, reflecting November lockdown woes, but this did not have a lasting impact. Speakers including ECB's Lagarde also did not move the needle.
• ECB's Lane and de Cos speak after the European close Tuesday; no scheduled speakers Wednesday and no key data scheduled. In supply, Italy sells CTZ and linkers.

Closing Levels / 10-Yr Periphery EGB Spreads:

• Germany: The 2-Yr yield is up 1bps at -0.743%, 5-Yr is up 1.7bps at -0.745%, 10-Yr is up 1.8bps at -0.563%, and 30-Yr is up 1.6bps at -0.149%.
• UK: The 2-Yr yield is up 1.1bps at -0.018%, 5-Yr is up 1.5bps at 0.024%, 10-Yr is up 1.2bps at 0.33%, and 30-Yr is down 0.1bps at 0.901%.
  
• Italian BTP spread down 3bps at 117.5bps
• Spanish bond spread down 1.5bps at 63.7bps
• Portuguese PGB spread down 1bps at 59.6bps
• Greek bond spread down 1.8bps at 123.3bps

EUROPE FLOW SUMMARY:  EGB Downside Plays

Today's options flow included:

• 0LU1 99.75p, sold at 4.75 in 3k (ref 99.91)
• 0RM1 100.37/50/62/75c condor, bought for 9 in 4k
• 2RH1 100.62/100.50/100.37p fly 1x3x2, sold at 2.75 in 3.5k
• RXF1 176.00/174.00ps vs 179.50c, bought the put spread for 5 in 5k
• RXF1 177.00/176.50 put spread sold at 13 in 1.5k
• RXG1 175.50 put vs 179.50/180.50 call spread, paid 15.5 in 1.9k
• RXG1 176.00/173.00 put spread bought for 40 in 2k
• IKF1 150.50/147.50ps vs 152.5c, bought the put spread for 24 in 2k
• UBG1 220.00/215.00/210.00p fly, bought for 58-60 in 1k

FOREX: JPY Sold as Equities Roar

• This worked in favour of antipodean and commodity-tied FX, with NZD, AUD and NOK outperforming. NZD/USD showed above the 0.70 level for the first time since mid-2018, opening congestion resistance above of 0.7060.
• Markets will likely quieten down either side of the Thanksgiving holidays on Thursday. As a result of the Thursday closures, data's frontloaded to Wednesday, with weekly jobless claims, secondary pass at GDP, trade balance, personal income/spending and durable goods orders as well as the FOMC minutes.

OPTIONS: Expiries for Nov25 NY cut 1000ET (Source DTCC)

• EUR/USD: $1.1700(E773mln), $1.1750-65(E735mln), $1.1800-10(E554mln), $1.1835-50(E718mln)
• USD/JPY: Y102.90-103.00($1.9bln-USD puts), Y104.00($965mln), Y105.50($630mln), Y105.96($500mln)
• EUR/GBP: Gbp0.8875-0.8900(E1.1bln-EUR puts)
• AUD/JPY: Y73.60-65(A$2.75bln)
• USD/CNY: Cny6.6136($500mln)

EQUITIES: Dow Jones Tops 30,000 to Crest at an Alltime High

• The rising tide has lifted markets elsewhere, with European stocks closing with gains of 1.2-2.0% while the S&P adds close to 1.5%.

PIPELINE: Supra-Sovereigns Drives $6.5B US$ Issuance

• Date $MM Issuer (Priced *, Launch #)
• 11/24 $2.25B #Rep of Turkey 10Y +6.0%
• 11/24 $2B #IDA (Int Dev Assn, extn of World Bank), 10Y +19
• 11/24 $1.25B *Kommunivest 3Y +4
• 11/24 $1B #NWB (Nederlandse Waterschapsbank) 5Y +9

COMMODITIES: Crude Hits a Multi-month High as Markets Buoyant Globally

• Echoing the sentiment seen across equity and fixed income markets, energy products rallied Tuesday, with WTI and Brent crude futures adding to recent gains and reach new mulit-month highs. WTI crude futures rose above the $45/bbl mark for the first time since March.
• Spot gold fell sharply, extending the week's losses to close to $75/oz. This narrows sharply the gap with spot gold and nearest major support at the $1797.13 200-dma - a level last crossed in March.