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MARKET INSIGHT

Price Signal Summary - S&P E-Minis Move Below The 50-Day EMA

SCHATZ

Large Schatz spread goes through

FOREX

GBP Stronger, But Rallies Contained For Now

EQUITIES

Energy Leads, Tech Lags


US TSY SUMMARY: Leaning Towards No-Deal Today

Markets buffeted by deal/no-deal stimulus headlines during second half. White House Speaker Pelosi remained optimistic, Sen Shelby expressed no optimism of a deal, while Sen Mitt Romney flat-out opposing $1.8T deal (or more) adding to late sales in equities. Stanza: Sen majority leader McConnell said would hold vote for stimulus if deal reached, vote does not mean pass.

  • Astrazeneca vaccine trial to resume in a few days likely contributed to the midday bid in equities. Other salient headlines:
  • GOOGLE ACCUSED BY U.S. OF ABUSING MARKET POWER IN LANDMARK CASE, Bbg
  • BREXIT - UK PM JOHNSON TELLS GREEK PM: EU HAVE EFFECTIVELY ENDED NEGS, Rtrs
  • Little to no react to multiple Fed speakers, Chicago Fed Pres Evans said stepping up asset purchases would have limited effect on already-low borrowing costs now, but the Fed could consider offering further accommodation later in the recovery.
  • Trade volumes were about average, TYZ>1.1M after the bell, two-way flow from fast$, prop and bank portfolios in short end.
  • The 2-Yr yield is down 0.2bps at 0.1431%, 5-Yr is up 0.2bps at 0.3361%, 10-Yr is up 2.2bps at 0.7907%, and 30-Yr is up 3.8bps at 1.5976%.

TECHNICALS, US 10Y Continuation

US 10YR FUTURE TECHS: (Z0) Attention Turns To Support

  • RES 4: 139-25 High Oct 2
  • RES 3: 139-17 76.4% retracement of Sep 29 to Oct 7 sell-off
  • RES 2: 139-14 High Oct 15
  • RES 1: 139-01+? High Oct 20
  • PRICE: 138-26 @ 16:12 BST Oct 20
  • SUP 1: 138-20+ Low Oct 7 and bull trigger
  • SUP 2: 138-18+ Low Aug 28 and the bear trigger
  • SUP 3: 138-16+ Low Jun 23 (cont)
  • SUP 4: 138-12 61.8% retracement of the Jun - Aug rally (cont)
Treasuries have reversed last week's positive tone and remain weaker. Monday's move lower marks an extension of the pullback from 139-14, Oct 15 high. The move through support at 138-28+, Oct 13 low exposes 138-20+, Oct 7 low and 138-18+, Aug 28 low. The latter is the bear trigger where a break would signal a resumption of the reversal that occurred on Aug 4. This would open 138-04+, a Fibonacci projection. Firm resistance is at 139-14.

AUSSIE 3Y TECHS

AUSSIE 3-YR TECHS: (Z0) Looking To Clear Resistance

  • RES 3: 100.00 - Psychological round number
  • RES 2: 99.886 - 3.0% Upper Bollinger Band
  • RES 1: 99.845 - All time High Oct 20, 15 and the bull trigger
  • PRICE: 99.830 @ 16:15 BST Oct 20
  • SUP 1: 99.760 - Low Oct 1 and 2
  • SUP 2: 99.705 - Low Sep 18, 21 and 22
  • SUP 3: 99.675 - Low Sep 7 and key support
Aussie 3yr futures are largely unchanged and remain bullish. The price surge at the tail-end of September and early October confirmed bullish trend conditions. Recent activity is viewed as a pause in the uptrend and in pattern terms has taken on the appearance of a bull flag. This is a continuation pattern and reinforces current trend conditions. A break of 99.845, Oct 20 high and last week's high would open 99.889. Support is at 99.760.

AUSSIE 10Y TECHS

AUSSIE 10-YR TECHS: (Z0) Uptrend Remains Intact

  • RES 3: 99.480 - High Mar 10 and the all-time high
  • RES 2: 99.360 - High Apr 2 (cont)
  • RES 1: 99.290 - High Oct 16
  • PRICE: 99.235 @ 16:29 BST Oct 20
  • SUP 1: 99.075 - Low Oct and the key support
  • SUP 2: 99.055 - Low Sep 18 and 21
  • SUP 3: 98.970 - Low Sep 8
Aussie 10y futures remain bullish following last week's strong impulsive rally. The break above 99.180, an area of congestion reflecting highs in Sep and early October confirmed a resumption of the uptrend that started on Aug 28. Attention turns to 99.300 and 99.360. The latter is the Apr 2 high (cont). The near-term bull trigger is 99.290, Oct 16 high. On the downside, firm trend support is at 99.075, Oct 5 low.

JGB TECHS

JGB TECHS: (Z0) Bullish Focus

  • RES 3: 152.55 - High Aug 5 (cont)
  • RES 2: 152.36- 3.0% Upper Bollinger Band
  • RES 1: 152.29 - High Sep 24 and the bull trigger
  • PRICE: 152.16 @ 16:35 BST Oct 20
  • SUP 1: 151.75 - Low Oct 08 and trend support
  • SUP 2: 151.54 - Low Sep 7
  • SUP 3: 151.43 - Low Sep 1
JGBs remain firmer following the recent recovery that has resulted in a move above 152.00. Attention turns to 152.29, Sep 4 high, a key resistance and the bull trigger. A break of this level would confirm a resumption of the uptrend and open 152.36, a Bollinger band objective and 152.55, Aug 5 high (cont). On the downside, key trend support has been defined at 151.75, Oct 8 low.

US TSY FUTURES CLOSE: Deal/No-Deal Chop

Broadly weaker by the bell, just off late session lows on choppy trade. Markets buffeted by deal/no-deal stimulus headlines during second half. While House Sp Pelosi remains optimistic, Sen Shelby expressed no optimism of a deal, while Sen Mitt Romney flat-out opposing $1.8T deal (or more) adding to late sales in equities. Yld curves steeper, near highs, update:

  • 3M10Y +1.58, 69.096 (L: 65.327 / H: 69.851)
  • 2Y10Y +2.741, 64.723 (L: 61.316 / H: 65.19)
  • 2Y30Y +4.269, 145.455 (L: 140.173 / H: 145.936)
  • 5Y30Y +3.748, 126.104 (L: 121.595 / H: 126.398)
  • Current futures levels:
  • Dec 2Y up 0.12/32 at 110-13.75 (L: 110-13.25 / H: 110-13.8)
  • Dec 5Y down 0.75/32 at 125-23.5 (L: 125-21.7 / H: 125-24.7)
  • Dec 10Y down 6/32 at 138-23.5 (L: 138-21 / H: 138-28.5)
  • Dec 30Y down 30/32 at 173-18 (L: 173-12 / H: 174-14)
  • Dec Ultra 30Y down 2-9/32 at 215-31 (L: 215-21 / H: 218-03)

US EURODLR FUTURES CLOSE: Whites Hold Steady

Steady in the short end, Reds through Golds weaker -- moderate session lows. Lead quarterly back to steady after dipping briefly after 3M LIBOR rebounded +0.00712 from Mon's all-time low to 0.21575% (-0.00263/wk).

  • Dec 20 steady at 99.765
  • Mar 21 steady at 99.795
  • Jun 21 steady at 99.805
  • Sep 21 steady at 99.805
  • Red Pack (Dec 21-Sep 22) -0.005 to steady
  • Green Pack (Dec 22-Sep 23) -0.010 to -0.015
  • Blue Pack (Dec 23-Sep 24) -0.015 to -0.035
  • Gold Pack (Dec 24-Sep 25) -0.035 to -0.050

US DOLLAR LIBOR: Latest settles

  • O/N -0.00050 at 0.08038% (-0.00075/wk)
  • 1 Month +0.00237 to 0.14575% (-0.00563/wk)
  • 3 Month +0.00712 to 0.21575% (-0.00263/wk)
  • 6 Month -0.00237 to 0.25188% (-0.00562/wk)
  • 1 Year -0.00262 to 0.33713% (+0.00213/wk)

US TSYS/SHORT END RATES

STIR: FRBNY EFFR for prior session:

  • Daily Effective Fed Funds Rate: 0.09% volume: $54B
  • Daily Overnight Bank Funding Rate: 0.08%, volume: $155B
US TSYS: Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 0.09%, $903B
  • Broad General Collateral Rate (BGCR): 0.06%, $344B
  • Tri-Party General Collateral Rate (TGCR): 0.06%, $324B
  • (rate, volume levels reflect prior session)
FED: NY Fed Operational Purchase
  • Tsy 4.5Y-7Y, $6.001B accepted vs. $18.032B submission
  • Next scheduled purchase:
  • Wed 10/21 1010-1030ET: TIPS 7.5Y-30Y, appr $1.225B

OUTLOOK: Look Ahead To Wednesday

  • US Data/Speaker Calendar (prior, estimate)
  • 21-Oct 0700 16-Oct MBA Mortgage Applications (-0.7%, --)
  • 21-Oct 1000 Clev Fed Pres Mester, mon-pol discussion
  • 21-Oct 1030 16-Oct Distillate stocks w/w change
  • 21-Oct 1030 16-Oct Gasoline stocks w/w change
  • 21-Oct 1030 16-Oct crude oil stocks ex. SPR w/w
  • 21-Oct 1130 TBA 105D Bill CMB 20-Oct
  • 21-Oct 1130 TBA 154D Bill CMB 20-Oct
  • 21-Oct 1200 Mn Fed Pres Kashkari, const amend for students
  • 21-Oct 1200 Dallas Fed Pres Kaplan, Hispanic CoC
  • 21-Oct 1300 US Tsy $22B 20Y-bond/R/O auction (912810SQ2)
  • 21-Oct 1330 NY Fed VP Singh on Fed's copr credit facility
  • 21-Oct 1400 Federal Reserve releases Beige Book
  • 21-Oct 1645 StL Fed Pres Bullard, mon-pol, eco-outlook, Q&A

PIPELINE: Kingdom of Denmark Priced

  • Date $MM Issuer (Priced *, Launch #)
  • 10/20 $2B *Denmark 2Y +1
  • 10/20 $3B United Airlines 4.1Y EETC deal (enhanced equipment trust certificates, corporate debt securities)
  • Expected Wednesday
  • 10/21 $Benchmark World Bank (IRBD) 5Y +11a

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:
  • +2,500 Blue Mar 91/93 put spds vs short Mar 96/97 put spds, 2.5 net db for conditional bear curve steepener
  • +2,500 Blue Mar 91/93 put spds, 6.25 legged
  • -5,000 Green Dec 92/93/95/96 put condors, 1.5
  • +2,000 Red Mar'22 2x1 put spds, 1.75 legged
  • -6,000 Green Nov 97 calls, 1.5 vs. 99.69/0.22%
  • +2,000 Blue Mar 90/92 put spds, 4.25
  • Overnight trade
  • 1,000 Blue Nov 92/93/95/96 put condors
  • 1,000 Blue Jan 93/96 comb or strangle
Tsy Options:
  • +6,700 TYZ 137 puts, 11/64
  • +8,000 FVZ 124 puts, 1.5
  • >+65k TYZ 137.5/138/139 put trees, +50k at 3, trades up to 6/64
  • over 1,000 USZ 175/177 1x2 cal spds, 5/64
  • +6,000 TYX 138.5 puts, 6/64 vs. 138-25/0.25%
  • Overnight trade
  • -10,000 TYZ 140 calls, 15/64
  • 2,500 TYX 139/139.25 call spds
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com