US TSYS: Dec FOMC Mins' In-Line, Tsy Curves Revisit 10Y+ Lows

By Bill Sokolis

     CHICAGO (MNI) - 

US TSYS SUMMARY: Long end Tsys finished strong, status-quo FOMC minutes spurred

decent bout of selling in short end. Dec 12-13 FOMC Minutes show almost all

agreed on rate hike, Evans and Kashkari wanting to wait for infl rise. Next up:

Thu's ADP (+192k whisper), Fri' NFP (+190k est).

- Yld curves crater: 2s10s -3.019, 50.995 (54.559H/50.633L); 2s30s -4.178,

84.867 (89.824H/84.400L); 5s30s -2.637, 53.751 (56.931H/53.207L); Gold weaker

(XAU -1.77, 1315.73), West Texas crude new 2.5yr highs (WTI +1.40, 61.77). Heavy

Mar'18 Eurodollar volume. Equities surge, emini +20.0, 2713.0. 

- Tsys followed core EGBs higher initially. Midmorning action rather muted as

Tsys lost support post data, sources reported fast$ sellers in 7s and 10s

pre-data. Post minutes selling 10s by fast-, real$.

- Specs, real$ modest buyers on lows post data, futures still off session highs;

intermediates levering to new intraday highs w/long end lagging move. Swap spds

running mostly wider, off early narrows amid some deal-tied hedging in 5s-10s,

light steepener action in 5s vs. long end.

- 3PM ET: 2Y 1.927%, 3Y 2.012%, 5Y 2.245%, 7Y 2.365%, 10Y 2.443%, 30Y 2.780%

US TSY FUTURES CLOSE: Long end near intra-day highs by the close, sedate/orderly

trade leading up to status-quo Dec FOMC minutes, little change in forward views.

Curves marched flatter. Latest curve update:

* 2s10s -3.019, 50.995 (54.559H/50.633L); 

* 2s30s -4.178, 84.867 (89.824H/84.400L); 

* 5s30s -2.637, 53.751 (56.931H/53.207L); Current futures levels: 

* Mar Ultra bonds up 24/64 at 166-14 (165-09L/166-20H)

* Mar 30-yr Bond futures up 17/32 at 152-09 (151-17L/152-13H)

* Mar 10-yr futures up 3.5/32 at 123-25.5 (123-20.5L/123-28.5H)

* Mar 5-yr futures steady at 115-31.25 (115-30.5L/116-02.75H)

* Mar 2-yr futures down .5/32 at 106-31 (106-30.5L/107-00.25H)

US EURODOLLAR FUTURES CLOSE: Steady to mixed by the close, short end under

pressure on good volume following Dec FOMC minutes release. Current White pack

(Mar'18-Dec'18):

* Mar'18 +0.000 at 98.210

* Jun'18 -0.010 at 98.035

* Sep'18 -0.010 at 97.920

* Dec'18 -0.010 at 97.815

* Red pack (Mar'19-Dec'19) -0.005-0.010

* Green pack (Mar'20-Dec'20) steady to -0.005

* Blue pack (Mar'21-Dec'21) steady to +0.005

* Gold pack (Mar'22-Dec'22) +0.010-0.015

US SWAPS: After a mildly tighter open, spds running mostly wider by the close.

Flow included deal-tied hedging in 5s-10s, light steepener action in 5s vs. long

end, light two-way fly action as well. OTC vol slipped across the grid, 2wk lows

in exchange traded options w/underlying rates finishing near intra-day highs in

the long end, curves flattening. Latest spread levels:

* 2Y  -0.44/17.88

* 5Y  +0.38/3.81

* 10Y +0.56/-1.56

* 30Y +1.00/-20.25

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

- Jan 04 Dec challenger layoff plans (30.0%, --) 0730ET

- Jan 04 Dec ADP private payrolls (190K, --) 0815ET

- Jan 04 -Dec Weekly initial jobless claims (245K, 240K) 0830ET

- Jan 04 Dec Markit Services Index (final) (52.4, --) 0945ET

- Jan 04 31-Dec Bloomberg comfort index (52.4, --) 0945ET

- Jan 04 29-Dec natural gas stocks w/w (-112Bcf, --) 1030ET

- Jan 04 29-Dec crude oil stocks ex. SPR w/w (-4.6Bcf, --) 1100ET

- Jan 04 StL Fed Bullard On Econ/Mon Pol at Meltzer conf; Phil Q/A 1330ET

- Jan 04 03-Jan Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 short Mar 82/83 call strips, 1.0

* 2,500 Feb 82/83 1x2 call spds, 1.5

* 2,500 short Apr 75/76/77 put flys, 2.5

* 2,500 Mar 80/81 2x1 put spds, 0.5

* -5,000 Green Dec 78 calls, 13.0  vs. 97.595/0.32%

* +10,000 Sep 83 calls, 1.0

* +4,000 Green Sep/Blue Sep 80 call spds, 0.75/steepener

* -5,000 short Jan 77/80 6x1 put spds, 12.0

* total +20,000 Feb 82/83 1x2 call spds, 1.5 w/

* total +20,000 Mar 80/81 2x1 put spds, 0.5, 2.0 db package

* total -16,000 short Feb 76/77/78 put flys, 4.0 w/

* total -16,000 short Apr 75/76/77 put flys, 2.5 vs. 97.70/0.10%

Note, the short Feb put fly sale most likely a closer after paper bought over

50k at 3.5 in mid-December; the short Apr fly was sold in good size on 1x2x1

ratio in good size back in mid-November.

* +10,000 Dec 77/80 put spds, 14.0 vs. 97.83/0.27%

* -7,500 Apr 78/80 put strips, 4.0 vs.

* +15,000 Jun 78/80 2x1 put spds, 3.0, 2.0 net db

* >30,000 Red Mar'19 80/82 call spds, 5.0

* +5,000 short Dec 77/78/80 call flys, 1.25 on legs

* +2,000 Mar 82/83/85 call flys, 2.5 on screen

Whites/Reds conditional bear curve steepener:

* over +15,000 short Jun 75/76 put spds vs. Jun 78/80 put spd, 0.0 net on

package

* +13,500 Mar 82/83 1x2 call spds, 2.0 vs. 98.225/0.17%

* 1,500 Blue Mar 71/82 strangles, 1.0

* 1,500 Blue Jun 70/82 strangles, 4.00

* +13,500 Mar 82/83 1x2 call spds

* +5,000 Mar 83 calls

* 11,000 Jun 78 puts

* 6,000 Jun 80 puts

* 3,000 Red Jun'19 75/77 put spds

     Tsy options, Pit/screen:

* +10,000 TYH 123 puts, 20/64 vs. 123-27.5

* 3,000 TYH 123/124 put spds, 13/64 vs. 123-25.5

* +3,000 TYG/TYH 123 put calendar spds, 12/64 still offered

* 1,000 TYG 123.5 straddles, 53/64 vs. TYH 123.5/124 strangles, 1-3/64

* -5,000 TYG 125 calls, 6/64 in pit, screen volume over 82k

* 1,200 FVG 116.5/117 call spds, 3.5/64 vs. 116-01

* 2,500 FVH 117.2/118 1x2 call spds, .5/64

Latest Block, 0815:05ET,

* +7,500 TYG 123.5 puts, 20/64 vs. 123-25/0.38%

* +92,000 TYG 125 calls 6/64, range of 5- to 7/64 on screen

* 25,000 TYG 124.5 calls, 22

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

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