US TSYS: CARRY-OVER RISK-OFF RATE BID AS TRADE HOPES WANE

US TSY SUMMARY: Continued strong risk-off support Wed as US/China trade tensions

heat up after Senate passed human rights/democracy bill in support of Hong Kong

late Tue, second vote in house expected Wed. China expected to retaliate. 

- Tsys see-sawed off highs in the first half until perhaps ironically, a

re-hash/outline by Reuters that phase 1 trade deal may not be done this year

spurred sharp risk-off move just after midday. 

- October FOMC minutes not exactly generating a lot of excitement after release,

Tsys holding strong gains after brief reversal on US/China trade chatter from

Trump admin aide that progress on phase 1 deal text IS being made -- no

specifics offered. 

- Yld curves near session lows amid some steepener stop-outs for fast$, heavy

overall futures volumes partially tied to surge in Dec/Mar rolling as well as

option hedging ahead Fri's Dec option expiration. Limited deal-tied flow. Appr

6k Eurodollar Red packs (EDZ0-EDU1) at +0.010) said to be swap related.

- The 2-Yr yield is down 2.9bps at 1.5675%, 5-Yr is down 4.5bps at 1.5758%,

10-Yr is down 5bps at 1.7329%, and 30-Yr is down 5.3bps at 2.1985%.

TECHNICALS:

US 10YR FUTURE TECHS: (Z9) Firm Above Channel Top

*RES 4: 130-26   High Oct 11

*RES 3: 130-15+ High Nov 1 and key bull trigger

*RES 2: 130-02+ High Nov 4

*RES 1: 129-28+ Intraday high

*PRICE: 129-19+ @ 16:42 GMT, Nov 20

*SUP 1: 128-31   Low Nov 18 

*SUP 2: 128-10+ Low Nov 13

*SUP 3: 127-31+ Low Nov 7 and bear trigger

*SUP 4: 127-06+ 1.236 progression of Sep 3 - Sep 13 decline from Oct 4 high

10yr futures firmed Wednesday and importantly confirmed a break of the bear

channel resistance drawn off the Oct 8 high. The move follows the break of

former resistance 129-12, Nov 7 high and also confirms an important technical

development. Attention turns to resistance at 130-15+, Nov 1 high. On the

downside, initial support has been defined at 128-31, Nov 18 low where a break

is required to neutralize the current bullish theme.

AUSSIE 3-YR TECHS: (Z9) Little Change 

*RES 4: 99.368 -61.8% retracement of the Oct 8 - Nov 8 decline 

*RES 3: 99.350 - High Oct 14

*RES 2: 99.311/315 - 50.0% of the Oct 8 - Nov 8 decline / Oct 25 high

*RES 1: 99.295 - High Nov 19

*PRICE: 99.275 @ 16:07 GMT Nov 20

*SUP 1: 99.165 - Low Nov 13

*SUP 2: 99.130 - Low Nov 12

*SUP 3: 99.070 - Low Nov 8 and key support

*SUP 4: 99.055 - 1.000 projection of Oct 8 - Oct 22 decline from Oct 25 high

Having rallied for much of last week, Aussie 3yr futures briefly showed above

resistance at Friday's 99.285 high Tuesday. This is yet to negate the formation

of a shooting star, however, which continues to suggest the most likely next

mover is lower. Scope is seen for 99.165 initially. A break of 99.295 is

required to resume recent gains.

US TSY FUTURES CLOSE: Well bid, near top end of the range after the bell, yld

curves near the lows. Heavy volumes tied to surge in Dec/Mar rolling ahead next

week's shortened holiday trading schedule. Update:

* 3M10Y  -5.305, 16.536 (L: 15.34 / H: 20.641)

* 2Y10Y  -1.939, 16.505 (L: 15 / H: 18.472)

* 2Y30Y  -1.993, 63.319 (L: 61.243 / H: 65.7)

* 5Y30Y  -0.391, 62.362 (L: 60.734 / H: 63.948)

Current futures levels:

* Dec 2-Yr futures up 2.125/32 at 107-22.625 (L: 107-20.375 / H: 107-22.87)

* Dec 5-Yr futures up 6.5/32 at 118-28.75 (L: 118-22.25 / H: 118-30)

* Dec 10-Yr futures up 12/32 at 129-26 (L: 129-14 / H: 129-28.5)

* Dec 30-Yr futures up 31/32 at 160-10 (L: 159-12 / H: 160-17)

* Dec Ultra futures up 1-23/32 at 188-17 (L: 186-29 / H: 188-31)

US TSY FUTURES: *** Roll update. Reminder, mkt closed for Thanksgiving holiday

next Thursday, Nov 28, Friday Nov 29 first notice (March futures take lead

quarterly position) a shortened session. Dec futures don't expire until mid-late

Dec (10s, 30s and Ultras on 12/19, 2s & 5s 12/31). Update:

* TUZ/TUH appr 203,800 from -6.88 to -6.25, -6.75 last; 18% complete

* FVZ/FVH appr 374,200 from -11.0 to -10.0, -10.75 last; 15% complete

* TYZ/TYH appr 188,100 from -2.00 to -1.00, -2.00 last; 11% complete

* UXYZ/UXYH 50,700 from -1-13.75 to -1-12.5, -1-13.5 last; 8% complete

* USZ/USH appr 32,200 from 25.5 to 26.0, 25.5 last; 11% complete

* WNZ/WNH appr 209,900 from 23.25 to 24.25, 23.25 last; 11% complete

US EURODLR FUTURES CLOSE: Bid across most of the strip after the bell, near

session highs, lead quarterly EDZ9 underperforming after 3M LIBOR set this

morning +0.0041 to 1.8988% (-0.0040/wk). Current White pack (Dec 19-Sep 20): 

* Dec 19 -0.007 at 98.112

* Mar 20 +0.020 at 98.350

* Jun 20 +0.035 at 98.465

* Sep 20 +0.035 at 98.540

* Red Pack (Dec 20-Sep 21) +0.035 to +0.040

* Green Pack (Dec 21-Sep 22) +0.040 to +0.045

* Blue Pack (Dec 22-Sep 23) +0.045

* Gold Pack (Dec 23-Sep 24) +0.050 to +0.055

US DOLLAR LIBOR: Latest settles

* O/N -0.0079 at 1.5290% (-0.0078/wk)

* 1 Month -0.0060 to 1.7156% (-0.0176/wk)

* 3 Month +0.0041 to 1.8988% (-0.0040/wk)

* 6 Month -0.0159 to 1.8911% (-0.0274/wk)

* 1 Year -0.0324 to 1.9093% (-0.0518/wk) 

US SWAPS: Spds remain inverted across the curve, earlier Eurodollar Blocks of

6,000 Red packs (EDZ0-EDU1) said to be swap related. Latest spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Wed 1500    -0.27/-1.12    +0.16/-6.61   +0.06/-10.62   +0.75/-38.75

Wed Open    -0.15/-1.00    -0.25/-7.00   +0.12/-10.56   +0.25/-39.25

Tue 1500    -1.56/-0.75    -1.38/-6.44   -0.38/-10.62   +0.38/-39.50

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.55%, volume: $64B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $156B

US TSYS: REPO REFERENCE RATES: (rate, volume),

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.008T

* Broad General Collateral Rate (BGCR): 1.53%, $429B

* Tri-Party General Collateral Rate (TGCR): 1.53%, $405B

OUTLOOK: *** US Data/speaker calendar (prior, estimate):

21-Nov 0830 16-Nov jobless claims (225k, 218k)

21-Nov 0830 Nov Philadelphia Fed Mfg Index (5.6, 6.0)

21-Nov 0830 Cleveland Fed's Loretta Mester, Fncl Stability Conf 

21-Nov 1000 Oct existing home sales (5.38m, 5.49m)

21-Nov 1000 Oct leading indicators (-0.1%, -0.2%)

21-Nov 1010 Minn Fed pres Kashkari, moderated discussion, CoC economic summit

21-Nov 1030 15-Nov natural gas stocks w/w

21-Nov 1630 20-Nov Fed weekly securities holdings

PIPELINE: Diamondback and CyrusOne multi-leg deals make up $4.2 in day's

issuance

Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:

11/20 $3B #Diamondback $1B 5Y +130, $800M 7Y +160, $1.2B 10Y +180

11/20 $1.2B #CyrusOne $600M 5Y +135, $600M 10Y +175

11/20 $550M *Virginia Electric and Power WNG 30Y +110

Later in week:

11/21 $7B Centene Corp 8Y, 10Y

Canadian issuance:

11/20 C$750M #Ontario 2025 Green Bond +41 

Eurodollar/Tsy options: 

Eurodollar Options

* +30,000 Jun 85/87 call spds 1.0 over Jun 82/83 put spds vs. 98.455/0.33%

* +5,000 Jan 80/short Jan 82 put spds, 1.0 net/short Jan over

* Block, +12,000 short Dec 81 puts, cab

* +5,000 Jun 87/90/92 call flys, 1.5/wings over

* +6,000 Mar 82/85/90 broken call flys, 4.75

* +3,000 Sep 80/90 call over risk reversals, 0.5

* -3,000 Dec 80 puts, 0.5

* +4,000 short Dec 82 puts, 0.5

Block, 0846:30ET, 

* +20,000 Mar 80/81 and 82/83 put spd strip, paying 8.0 vs. 98.345/0.31%

* another 5k bought in pit

* >33,000 Blue Dec 82/87 call over risk reversals, 1.0 net

* +10,000 short Dec 86 calls, 4.5

* +2,500 short Dec 86/87 call spds, 2.5

* More Dec 81 calls on screen, total volume >25,600, 2.75 last

Recap overnight trade, Blocks

* Block 120,000 short Jan 87 calls vs. 40,000 short Feb 85 calls, 1.0 net call

diagonal

* Block 37,025 Green Mar 73 puts, cab

* near 15,000 Dec 81 calls, 2.75

* >10,000 Mar 81 puts, 1.0

Tsy options:

Dec options expire Friday

* +9,500 TYZ 129.5 puts, 5/64 vs. 129-26/0.25%, mostly in pit

* +2,000 TYG 126 puts, 5/64 vs. 129-18/0.05%

* -5,000 TYF 125 puts, 1/64Block, 0806:20ET,

* 10,000 TYZ 128 puts, cab-5

Tsy options: *** Reminder, December quarterly options expires Friday. Prelim CME

Group open interest and ATM data as of Tue's close below. Massive outstanding

open interest across the curve -- expect to see decent roll or outright position

squaring in Dec 5- and 10Y options next couple sessions. 

            Calls       Puts      Total   Nearest-the-Money Strike Totals

Dec 30yr   340,521    424,465    764,986   160 w/ 27,247 (15,101c, 12,146P)

                                           160.5 w/ 9,889 (5,506c, 4,383P)

Dec 10yr 1,401,075  1,362,954  2,764,029   129 w/ 104,772 (37,031c, 67,741p)

                                           129.5 w/ 108,507 (67,469c, 41,038p)

                                           130 w/ 150,219 (95,382c, 54,837p)    

Dec 5yr    670,288  1,063,515  1,733,803   118.50 w/ 37,003 (15,122c, 21,881p)

                                           118.75 w/ 57,825 (18,574c, 39,251p)

                                           119.00 w/ 86,285 (56,774c, 29,511p)

Dec 2yr    132,497    160,054    292,551   107.62 w/ 7,758 (4,984c, 2,774p)

                                           107.75 w/ 19,326 (5,864c, 13,462p)

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]