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US EURODLR FUTURES

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WTI Extends Winning Streak, RSI Flashes Overbought

US TSYS/SUPPLY

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US TSY SUMMARY: Tsys trade stronger after the bell, near early session highs
despite strong US$ gains, EM punished -- perhaps lending risk-off support, Gold,
equities, crude all weaker, however. Best volume of wk but still average
(TYU>1.4M), early risk-off bid as trade US/China tensions return, US Pres Trump
admin proposed another $200B in tariffs late Tue (not imminent/under review
through late August), US$ dropped immediately after annc but  regained footing
as session ground on.
- US$ index stronger DXY +0.564 to 94.722; US$/Yen higher +1.03 112.03
(112.17H/110.77L); equities weaker (emini -19.5, 2777.25); gold weaker (XAU
-12.80 1242.74); West Texas crude crushed but off late lows (WTI -3.49, 70.62,
70.02L)
- Little react to mildly stronger than expected PPI (+0.3%), strong $22B 10Y
note auction awarded 2.859% rate (2.962% in June; 3.114% avg) trades through vs.
2.865% WI. BOC Key Rate Up 25 bps To 1.50%, As Expected. Headline watching as
Pres Trump NATO summit gets underway. Tsy cash/ylds: 2Y 99-27.25 (2.576%), 5Y
99-14.5 (2.742%), 10Y 100-07.5 (2.845%), 30Y 103-15 (2.949%).
US TSY FUTURES CLOSE: Stronger -- off midday lows by the bell, bouncing in last
hour even as US$ climbed (DXY +.560, 94.718; US$/Yen +1.00, 112.0). Current cash
10Y 100-08.5 (2.842%) vs. 100-01.5 (2.853%) late Tuesday. Curves moving flatter:
* 2s10s -1.333, 26.418 (25.869L/28.109H);
* 2s30s -1.502, 36.703 (36.163L/38.815H);
* 5s30s -0.410, 20.294 (18.997L/21.086H);
Current futures levels:
* Sep Ultra bonds up 24/32 at 160-18 (160-03L/160-30H)
* Sep 30-yr Bond futures up 15/32 at 145-15 (145-03L/145-24H)
* Sep 10-yr futures up 8/32 at 120-08.5 (120-02.5L/120-13H)
* Sep 5-yr futures up 4.75/32 at 113-17.75 (113-13.75L/113-20.75H)
* Sep 2-yr futures up 1.25/32 at 105-26.5 (105-25.5L/105-28.25H)
US EURODOLLAR FUTURES CLOSE: Modestly higher by the bell, near session highs on
modest volume. Current White pack (Sep'18-Jun'19):
* Sep'18 +0.010 at 97.540
* Dec'18 +0.010 at 97.340
* Jun'19 +0.020 at 97.220
* Jun'19 +0.020 at 97.120
* Red pack (Sep'19-Jun'20) +0.025-0.030
* Green pack (Sep'20-Jun'21) +0.040-0.045
* Blue pack (Sep'21-Jun'21) +0.040
* Gold pack (Sep'22-Jun'22) +0.040-0.035
US DOLLAR LIBOR: Latest settles,
* O/N -0.0010 to 1.9182% (-0.0074/wk)
* 1 Month +0.0077 to 2.0742% (-0.0120/wk)
* 3 Month -0.0004 to 2.3370% (+0.0057/wk)
* 6 Month +0.0005 to 2.5123% (+0.0042/wk)
* 1 Year -0.0025 to 2.7784% (-0.0003/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): steady at 1.89%, $762B
* Broad General Collateral Rate (BGCR): steady at 1.87%, $381B
* Tri-Party General Collateral Rate (TGCR): steady 1.87%, $362B
US SWAPS: Spds running mostly tighter by the bell, short end on narrows, balance
of spds holding narrow range light flow. Decent deal-tied flow in short end,
large >1B payer 1s around 1.629%, 2-way in 2s, 2s/5s steepener late. Latest spd
levels:
* 2Y  -1.12/24.00
* 5Y  -0.44/14.56
* 10Y +0.00/7.88
* 30Y +0.50/-2.75
PIPELINE: High-grade issuance picks up w/NIB, Honda Finance
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
07/11 $1.75B #American Honda Finance $500M 2Y fix +50, $750M 2Y FRN L+26, $500M
5Y +75
07/11 $1B Nordic Investment Bank (NIB) WNG 5Y +5a
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Jul 12 07-Jul jobless claims (231k, 226k) 0830ET
- Jul 12 Jun CPI (0.2%, 0.2%) 0830ET
- Jul 12 Jun CPI Ex Food and Energy (0.2%, 0.2%) 0830ET
- Jul 12 08-Jul Bloomberg comfort index (57.6, --) 0945ET
- Jul 12 06-Jul natural gas stocks w/w 1030ET
- Jul 12 Phi Fed Pres Harker, Global Interdependence Center, Id, Q&A, 1215ET
- Jul 12 US TSY $14B 30Y bond auction, Jul 16 settle, 1300ET
- Jul 12 Jun Treasury budget balance (-$146.8B, -$135.0B) 1400ET
- Jul 12 11-Jul Fed weekly securities holdings 1630ET
- Jul 12 Mn Fed Pres Kashkari, Worthington Int, Immigration Panel, Q&A. 2000ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* -5,000 Green Aug 76 calls, cab
* +30,000 short Dec 71 calls 3.0 over the Green Mar 75 call spds covered
* -15,000 Green Sep 68 puts, 6.0 vs. 97.005/0.28%, adding to early morning Block
* -3,500 Sep 75/short Mar 70 straddle spds, 36.0
* +5,000 Red Sep 68/68 3x1 put spds, 5.0
* -5,000 Red Mar 60/70 2x1 put spds, 27.0
* +4,000 Green Aug 67/68 put strip, 4.0
* +30,000 Red Sep19 87 calls, 1.0 on screen last couple minutes
* 8,000 Mar 80 calls, 1.0 on screen
* +6,000 Jun 78/82 call spds, 1.5 w/
* +6,000 Jun 80/83 call spds, 1.0
* 5,250 Jun 78/80/82/83 call condors on screen
Block, 0854:15ET,
* 10,000 Green Sep 68 puts, 6.0 vs. 97.005/0.28%
* 5,000 Sep 82/83 put spds vs. Mar 70/72 put spds on screen
* 5,000 Sep 75 puts, 2.25, 97.535/0.34%
* +5,000 short Oct 66/67/68 put flys, 2.0
* +10,000 Aug/Sep 76 call spd, 0.0
* Update, -25,000 Mar 70/72 put spds, 11.0 vs. 97.22/0.32%
* 25,000 Mar 70/72 put spds, 11.0 vs. 97.22/0.32%
* +5,000 Dec 73/75/76 call flys, 2.0
* 1,500 Aug 75/76/77 call flys, 3.75
* +20,000 Aug 77 calls, cab
* 15,000 Sep 82/83 put spds
* 14,000 Sep 75 puts, 2.25 (12k Blocked at 0532ET)
* 4,000 short Dec 63/66/68 put flys vs. 75 calls
* 6,500 short Dec 70/71/73 call trees
Tsy options, Pit/screen:
* 2,000 TUQ 106.1 calls, 1.5/64 vs. 105-27.25
* 2,340 FVU 112.75/114.25 strangles, 15.5/64
* 1,000 TYU 119.5/121 strangles, 40/64
* 2,000 TYQ 122 calls, 2/64 vs. 120-05.5/0.10%
* 1,000 USQ 144 puts, 21/64 vs. 145-05/0.26%
Block, 0927:00ET, offered
* +30,204 TYU 122 calls, 8/64
* 3,348 TYU 116/117/119 3x3x1 put trees on screen
* 3,000 FVQ/FVU 113.25 put spds, 9.5/64
* +5,000 FVU 113/114.25 put over risk reversals Block, 1.5/64
* +5,000 TYQ 121.7 calls blocked at 3/64 vs. 120-11.5/0.10%
* +3,500 TYU 118/118.5/119/119.5 put condors, 5/64
* 6,000 TYQ 120/120.75 put over risk reversals, 3- to 4/64
* 2,600 TYU 118/121.5 call over risk reversals, 8/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com