US TSYS: CHOPPY RISK-ON/LOW CONVICTION AHEAD MID-WEEK DATA

US TSY SUMMARY: Tsys traded weaker on the day, off lows to near midrange --

despite another decent volume day (TYZ>1.75M), trade was choppy amid little

conviction of "risk-on" as equities scaled back early gains. Have to read that

in light of late Mon's sharp gap lower in equities, (modest) rate rally, and

spike in volatility -- reflection of US/China trade headline sensitivity (let

alone spike in violence in US).

- US$ index climbed (DXY +.421, 97.00); Gold weaker (XAU -6.24, 1223.16)

- Better sellers amid two-way flow, corp-supply hedging in short end, better

swap-tied selling in short-end to intermediates, spd curve steepeners, decent

option-tied buying vs. puts on early weakness, bank portfolio and real$ selling

long end late. Fast$ and prop acct bought/covered shorts post Cons Conf. Ongoing

chatter over month-end asset allocation.

- Data picks up Wednesday: September ADP private payrolls (190k), Q3 ECI (0.8%),

Q3 non-farm productivity (2.4%) and Oct MNI Chicago PMI (60.4, 60.4).

- Tsy cash/ylds: 2Y 100-01.75 (2.843%), 5Y 99-22.5 (2.938%), 10Y 98-01 (3.108%),

30Y 93-09.5 (3.356%).

MONTH-END EXTENSIONS: *** UPDATED Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2017; TIPS 0.06Y; Govt inflation-linked, 0.06Y

*.....................Projected...1Y Avg Incr..Last Oct

*US Tsys.................0.06........0.08........0.06

*Agencies................0.19........0.08........0.07

*Credit..................0.06........0.09........0.04

*Govt/Credit.............0.06........0.09........0.06

*MBS.....................0.06........0.07........0.07

*Aggregate...............0.06........0.08........0.06

*Long Govt/Credit........0.05........0.10........0.06

*Interm Credit...........0.06........0.08........0.04

*Interm Govt.............0.06........0.08........0.07

*Interm Govt/Cred........0.06........0.08........0.06

*High Yield..............0.07........0.09........0.07

US TSY FUTURES CLOSE: Trading weaker, near middle of the range; equities off

session highs but remain near the top of the range (+22.50, 2,666.00); strong

volume (TYZ 1.78M); curves mixed; update:

* 2s10s -0.364, 26.091 (25.393L/27.626H);

* 2s30s -0.017, 51.002 (50.243L/52.515H);

* 5s30s +0.748, 41.741 (39.940L/42.178H);

Current futures levels:

* Dec Ultra bonds down 23/32 at 150-12 (150-02L/151-03H)

* Dec 30-yr Bond futures down 15/32 at 138-28 (138-20L/139-12H)

* Dec 10-yr futures down 5.5/32 at 118-25 (118-21.5L/118-31.5H)

* Dec 5-yr futures down 03/32 at 112-19.5 (112-16.75L/112-22.75H)

* Dec 2-yr futures down 1.75/32 at 105-12.5 (105-12.25L/105-14.25H

US EURODOLLAR FUTURES CLOSE: Trading slightly to mildly lower in the middle of a

tight range, short end outperforming the long end; moderate volume. Current

White pack (Dec'18-Sep'19):

* Dec'18 -0.005 at 97.270

* Jun'19 -0.005 at 97.125

* Jun'19 -0.005 at 96.995

* Sep'18 -0.010 at 96.910

* Red pack (Dec'19-Sep'20) -0.015-0.010

* Green pack (Dec'20-Sep'21) -0.020-0.015

* Blue pack (Dec'21-Sep'21) -0.020

* Gold pack (Dec'22-Sep'22) -0.025-0.020

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0012 to 2.1800% (+0.0033/wk)

* 1 Month -0.0027 to 2.2993% (+0.0026/wk)

* 3 Month +0.0144 to 2.5410% (+0.0207/wk)

* 6 Month +0.0145 to 2.7962% (+0.0195/wk)

* 1 Year +0.0071 to 3.0708% (+0.0141/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.19% prior, $806B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $412B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $393B

SWAPS: Spds stand little changed since first half, spd curve steeper/short end

running tighter vs. mildly wider levels on narrow range out the curve. Midday

flow predominantly rate paying in 3s, 4s 9s and 10s. Short end holds tighter

level amid decent swappable supply. Earlier flow included rate paying in 2s-3s

fading the move, decent sized 2Y-3Y-5Y Fly (paying the belly), 2s vs. 5s and 10s

steepeners. Latest spd levels:

* 2Y -0.94/19.50

* 5Y +0.19/15.38

* 10Y +0.38/6.88

* 30Y +0.06/-11.44

PIPELINE: $1B OKB priced, $800M Eastman Chem 2-part launched

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

10/30 $1B *Oesterreichische Kontrollbank (OKB) WNG 5Y, +8

10/30 $800M #Eastman Chemical $300M 3Y +70, $500M 10Y +150

10/30 $1B Swedish Export Credit WNG 3Y +6a

10/30 $500M BNG Bank WNG 3Y +6a

10/30 $300M Ryder WNG 5Y +100a

10/30 $Benchmark Stanley Black and Decker 10Y +125a, 30Y +160a

10/30 $Benchmark Corning 30Y +200a, 50Y +250a

10/30 $Benchmark TD Ameritrade 3Y +50a, 5Y +90a

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

- Oct 31 26-Oct MBA Mortgage Applications 0700ET

- Oct 31 Sep ADP private payrolls (230k, 190k) 0815ET

- Oct 31 Q3 ECI (0.6%, 0.7%) 0830ET

- Oct 31 Oct ISM-Milwaukee Mfg Index (56.16, --) 0900ET

- Oct 31 Oct MNI Chicago PMI (60.4, 60.0) 0945ET

- Oct 31 Oct help-wanted online ratio 1000ET

- Oct 31 26-Oct crude oil stocks ex. SPR w/w 1030ET

- Oct 31 US Fed Brd, proposed rules modifying enhanced prudential standard

framework lrg banks, 1030ET

- Oct 31 US Tsy 3- and 10Y note, 30Y bond auction announcement

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* -10,000 Dec 72 puts, 4.25

* +10,000 Green Dec 66 puts at 2.5 vs 9684.5/0.18%

* 11,000 Long Green Dec 65 puts at 25.5 vs 9683.5/0.34%

Latest Block, 1148-1151ET

* -43,750 Green Dec 66/67 put spds, 4.0 vs. 96.82/0.18% (note, dealer was buyer

of put spd vs. short Dec 66/67 put spds last week in good size, 0.5 net for

conditional bear curve steepener.

* +10,000 long Green Dec 65 puts, 25.5 vs. 96.835/0.34%

* +6,000 Green Dec 65/66/67 put fly at 2.5 vs 9683/0.10%

* +5,000 Jun 75 calls at 2.5 vs 9698.5/0.12%

* +6,000 Red Dec 67/68 put sprd at 6.5

* -4,000 Red Dec'19 68/Green Dec 68 straddle spds, 35.0

* Total -10,000 Red Mar 62/76 call over risk reversal at 1 vs 9682.5/0.38%

* -3,000 Green Dec 67/68/70 call tree at 0.5

* 5,000 Short Jan 63/65/71/72 call condor at 10.5 vs 9685.5/0.10

* -5,000 Mar 70/71 Strangle at 12.5

* +36,000 Jan 71/72/73 1x3x2 call flys, 1.0 net

* -5,000 Dec 73/75 call spds, 1.0

* +3,000 short Sep 61/63/66 put flys, 3.5

* +2,00 Mar 70/71 2x1 put spds

Tsy options, Pit/screen:

* +2,500 wk2 TYX 118/118.25/118.75 Put Tree at 4

* +4,000 TYZ 117.75/118/118.25 put flys, 1

* appr 4,000 USZ 137/139/141 ratio iron flys sold

* 1,400 TYZ 118.75 straddles, 1-5/64 earlier

Block, 1035:09ET

* +22,500 wk2 TY 118.25 puts, 13/64 (appr 12,000 wk2 TY 118.5 puts trade in pit

at 20/64 soon after)

Jump in volume, better low-delta put trade

* 4,000 TYZ 116.75/117.25/118.25 put trees, 11/64 vs. 118-23.5

* 3,500 TYZ 117.25/118.25 put spds, 13/64

* -3,000 FVF 111 puts on screen, 4/64

* -3,500 TYZ 120 calls, 9/64

* -2,600 USZ 139/141 call spds, 45/64 earlier

* +10,000 TYZ 118 puts at 14

* +3,000 FVF 111 puts on screen, 4/64

* -3,500 TYZ 120 calls, 9/64

* -2,600 USZ 139/141 call spds, 45/64 earlier

* +16,000 TYZ 117.25/118.25 put spds, 14/64

* over 6,000 TYZ 117.5/118.75/120 iron flys, legged at 13/64

* +10,000 TYZ 118 puts at 14

* Total +11,500 TYZ 121 calls at 4, all day

* +5,000 TYZ 116.25/116.75/117.25 put tree at 1

* near -5,000 TYZ 118.75 straddles, mostly 1-1/64

* appr 6,500 TYZ 119/119.5 call spds, 8/64

Moderate volume TYZ upside calls

* over 20,600 TYZ 119.5 calls

* 15,600 TYZ 120 calls, 10 last

* 12,700 TYZ 120.5 calls, 6 last

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

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