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EURJPY TECHS

Bears Pause For Breath

USDJPY TECHS

Support Remains Exposed

US TSY FUTURES

Poised to Extend Midday Lows


US TSY SUMMARY: Tsys Extend Lows LAte

Focus on massive fiscal stimulus/covid-related relief continued Thursday, but the steady drip of headlines through the session did not induce the see-saw action like they did earlier in the week.

  • "Just about there" House Sp Pelosi is still "hopeful they will be able to reach an agreement" on a fiscal stimulus package. While "both sides" of the aisle want to come to an "aid agreement" Pelosi adds, there are "larger policy differences" that remain said WH adv Kudlow.
  • Mkts are becoming partially inured to the prospect a deal may be done but likely after the presidential election. Despite the moderately decent volumes (TYZ0> 1.17M) market participants plied the sidelines ahead of tonight's final Presidential debate at 2100ET.
  • Lower than exp weekly claims (787k vs. 870k est; continuing claims lower at 8.373M vs. 9.625M est) actually saw futures inch higher for a few minutes before reversing, trading lower through the balance of the session. (Tsy futures extended lows after the bell as equities posted new highs)
  • The 2-Yr yield is up 0.6bps at 0.1533%, 5-Yr is up 1.8bps at 0.3731%, 10-Yr is up 2.9bps at 0.8512%, and 30-Yr is up 2.9bps at 1.6644%.

TECHNICALS:

US 10YR FUTURE TECHS: (Z0) Downside Risk Materializes

  • RES 4: 139-25 High Oct 2
  • RES 3: 139-17 76.4% retracement of Sep 29-Oct 7 sell-off
  • RES 2: 139-14 High Oct 15
  • RES 1: 139-02+ 20-day EMA
  • PRICE: 138-12+ @17:28 BST Oct 22
  • SUP 1: 138-08+ Low Oct 22
  • SUP 2: 138-04+ 1.00 proj of Aug 4-28 decline from Sep 3 high
  • SUP 3: 137-29 76.4% retracement of Jun-Aug rally (cont)
  • SUP 4: 137-14+ 200-dma

Treasuries weakened further, extending the sell-off following the strong reversal off 139-14, Oct 15 high. Prices swiftly fell through the Wednesday low to hit 138-08+. The move lower confirms a resumption of the broader reversal that occurred on Aug 4. This has opened 138-04+, a Fibonacci projection. Firm resistance is at 139-14, Oct 15 high with initial resistance at 139-01+.

AUSSIE 3-YR 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 @ 15:52 BST Oct 22
  • 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 10-YR 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: 99.160 @ 15:54 BST Oct 22
  • 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) Either Side of 152

  • 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: 151.89 @ 15:59 BST Oct 22
  • 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 edged back below the 152 handle Thursday, countering the recent positive outlook. Attention remains on 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.

TSY FUTURES CLOSE: Session Lows

Weaker after the bell, near low end narrow session range since midmorning. Generally quiet session on average volumes (TYZ0 1.15M), accts sidelines ahead tonight's final Presidential debate. Yld curves started off mildly flatter but reversed to steeper soon after as bonds sold off, update:

  • 3M10Y +3.539, 75.654 (L: 70.185 / H: 75.99)
  • 2Y10Y +2.117, 69.25 (L: 65.326 / H: 69.789)
  • 2Y30Y +1.951, 150.566 (L: 145.594 / H: 151.053)
  • 5Y30Y +0.791, 128.628 (L: 125.566 / H: 128.954)
  • Current futures levels:
  • Dec 2Y down 0.37/32 at 110-13.125 (L: 110-12.8 / H: 110-13.75)
  • Dec 5Y down 3.25/32 at 125-18.25 (L: 125-17.25 / H: 125-22.5)
  • Dec 10Y down 8.5/32 at 138-10 (L: 138-08.5 / H: 138-20)
  • Dec 30Y down 25/32 at 172-10 (L: 172-06 / H: 173-15)
  • Dec Ultra 30Y down 1-15/32 at 213-18 (L: 213-10 / H: 215-29)

US EURODLR FUTURES CLOSE: At/Near Session Lows

At/near session lows across the strip, long end underperforming; lead quarterly EDZ0 holding steady since 3M LIBOR set' +0.00562 to 0.21475% (-0.00363/wk).

  • Dec 20 steady at 99.760
  • Mar 21 -0.005 at 99.790
  • Jun 21 -0.005 at 99.800
  • Sep 21 steady at 99.805
  • Red Pack (Dec 21-Sep 22) -0.015 to -0.005
  • Green Pack (Dec 22-Sep 23) -0.025 to -0.015
  • Blue Pack (Dec 23-Sep 24) -0.035 to -0.025
  • Gold Pack (Dec 24-Sep 25) -0.04

US DOLLAR LIBOR: Latest settles

  • O/N +0.00350 at 0.08413% (+0.00300/wk)
  • 1 Month +0.00137 to 0.14925% (-0.00213/wk)
  • 3 Month +0.00562 to 0.21475% (-0.00363/wk)
  • 6 Month +0.00000 to 0.24600% (-0.01150/wk)
  • 1 Year +0.00025 to 0.33513% (+0.00013/wk)

US TSY Short Term Rates

STIR: FRBNY EFFR for prior session:

  • Daily Effective Fed Funds Rate: 0.09% volume: $59B
  • Daily Overnight Bank Funding Rate: 0.08%, volume: $166B
US TSYS: Repo Reference Rates
  • Secured Overnight Financing Rate (SOFR): 0.07%, $943B
  • Broad General Collateral Rate (BGCR): 0.05%, $347B
  • Tri-Party General Collateral Rate (TGCR): 0.05%, $321B
  • (rate, volume levels reflect prior session)
FED: NY Fed Operational Purchase
  • Tsy 20Y-30Y, $1.734B accepted vs. $4.240B submission
  • Next scheduled purchase:
  • Fri 10/23 1010-1030ET: Tsy 2.25Y-4.5Y, appr $8.825B

OUTLOOK: Look Ahead To Friday

  • US Data/Speaker Calendar (prior, estimate)
  • 23-Oct 0905 NY Fed Logan, market liquidity
  • 23-Oct 0945 Oct IHS Markit Mfg Index (flash) (53.2, 53.5)
  • 23-Oct 0945 Oct IHS Markit Services Index (flash) (54.6, 54.6)
  • 23-Oct 1100 Q4 St. Louis Fed Real GDP Nowcast
  • 23-Oct 1115 Q4 NY Fed GDP Nowcast
  • --
  • 24-Oct ---- Fed enters media Blackout (through Nov 6)

PIPELINE: No New Issuance Thursday

  • Date $MM Issuer (Priced *, Launch #)
  • 10/22 $Benchmark Galaxy Pipeline multi-tranche investor call
  • -
  • $15.35B Priced Wednesday; $30.85B/wk
  • 10/21 $6B *World Bank (IBRD) 5Y +10
  • 10/21 $2.25B *RBC $1.25B 3Y +33, $1B 3Y FRN SOFR+45
  • 10/21 $2B *Sultanate of Oman $1.25B 7Y 6.75%, $750M 12Y 7.375%
  • 10/21 $2B *Meituan $750M 5Y +180, $1.25B 10Y +225
  • 10/21 $1B *FHLBanks 2Y global +4
  • 10/21 $750M *Arab National Bank 10NC5 Sukuk +290
  • 10/21 $750M *Qatar Islamic Bank 5Y Sukuk +155
  • 10/21 $600M *Inv Corp Dubai (ICD) +5.5Y +275

EURODOLLAR/TREASURY OPTIONS

Eurodollar Options:

  • +5,000 Blue Mar 93/95/96 call flys, 2.0 (paper also checking same fly legs in
  • Green Mar expiry, 1.5 bid/at 2.0)
  • +5,000 Green Dec 95/Blue Dec 92 put spds, 1.0 net db steepener
  • +15,000 Green Mar 93 puts, 1.5 vs. 99.675/0.10% (also hear buyers Green Mar 92
  • puts at 1.0)
  • seller Blue Mar 91/97 strangles
  • Overnight trade
  • +10,200 Red Dec'21 100 calls, 3.0
Tsy Options:
  • -5,000 TYZ 137/140 strangles, 23-22
  • +8,500 TYZ 134 puts, 2
  • +4,300 TYF 140 calls, 14/64 vs. 138-17.5/0.10%
  • +1,150 TYZ 142 calls, 2/64
  • -10,000 TYZ 137.5/140 strangles, 29
  • -3,800 TYX 138.5 puts, 8/64
  • +1,500 TYF 136.5/138.5 call strip vs. 140.5 calls
  • +2,000 USZ 177 calls, 36-35
  • Overnight trade (reminder Nov options expire Friday)
  • 7,500 TYZ 139.5/140/140.5 call trees
  • 1,500 wk1 TY 139/139.25/139.5/139.75 call condors
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com