US TSYS EBB; GOOD 10Y SALE;AWAIT US SENATE TAX PLAN DETAIL THU

     US TSYS SUMMARY: US Treasuries prices ended Wed weaker after digesting a

strong $23B 10Y auction (2.314% rate, strong 68% indirects, good 9.04% directs)

so only small 23% left for dealers. Tsys traded quietly as await more details on

House and Senate US tax plans; Senate panel to start hashing out plan with

members 11:30am ET Thurs; House tax writers still at work for 3rd day Wed

tweaking tax plan. 

- Tsys opened mildly lower with long end off overnight lows, resisting rally in

Bunds and Gilts in afternoon UK; weaker US$ vs. Yen that typically supports

Tsys. Little/no react to 2nd tier data. Tsys lifted mildly off lows after 10Y

sale. 

- Morning muted Jpnese selling in Tsy intermeds, quiet 2way flows from misc US

accts, mild 2/10Y, 2/30Y, 5/30Y steepeners. 2way corp deal-tied flow and auction

tied hedging/unwinds. Muted volume in Dec/Mar Tsy rolls. Also downside put

buying, rate hike insurance covering 1H 2018. 

- US SWAPS: Tighter after mixed open, curve extends Tues steepening. 

- RBNZ Keeps OCR rate unchanged: 1.75%. 

- US TSYS WED 3:06 PM ET: 2Y 1.645%, 3Y 1.763%, 5Y 2.002%, 7Y 2.189%, 10Y 2.325%

and 2.7785%.

US TSY FUTURES CLOSE: Tsys hold weaker levels into the close, little off post

10Y note auction lows on modest volume (TYZ<830K). Tsys opened mildly lower with

long end off overnight lows, stubbornly resisting rally in Bunds and Gilts in

second half London trade as well as weaker US$ vs. Yen that typically draws in

some support for Tsys. Little/no react to second tier data. Current futures

levels: 

* Dec Ultra bonds down 15/32 at 167-14 (167-10L/168-00H) 

* Dec 30-yr Bond futures down 11/32 at 154-11 (154-10L/154-26H) 

* Dec 10-yr futures down 5.5/32 at 125-08 (125-08.5L/125-15H) 

* Dec 5-yr futures down 3/32 at 117-06 (117-06L/117-09.5H) 

* Dec 2-yr futures down 1/32 at 107-19.25 (107-19.25L/107-20.5H

US EURODLR FUTURES CLOSE: Quiet midweek session with futures trading steady to

mildly weaker in long end of strip by the close. Current White pack

(Dec'17-Sep'18): 

* Dec'17 -0.005 at 98.460 

* Mar'18 +0.000 at 98.320 

* Jun'18 -0.005 at 98.200 

* Sep'18 -0.005 at 98.130 

* Red pack (Dec'18-Sep'19) -0.005 

* Green pack (Dec'19-Sep'20) -0.005 

* Blue pack (Dec'20-Sep'21) -0.005-0.0110 

* Gold pack (Dec'21-Sep'22) -0.010

US SWAPS: Spds finish day mostly tighter after a mixed open, spd curve extended

Tue's steepening move w/front end leading this time around on generally better

receiving in short end, two-way curve flow, deal-tied flow in the mix. OTC vol

slipped lower after mildly firmer start, real-vol evaporating as Tsy sell-off

ran out of gas by midday. Latest spread levels: 

* 2Y -0.88/19.56 

* 5Y -0.50/7.12 

* 10Y -0.31/-2.50 

* 30Y +0.00/-26.00

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

- Nov 09 04-Nov jobless claims (229K ,230K) 0830ET

- Nov 09 05-Nov Bloomberg comfort index 1000ET

- Nov 09 Sep wholesale inventories (0.9%, 0.3%) 1000ET

- Nov 09 Sep wholesale sales (1.7%, --) 1000ET

- Nov 09 03-Nov natural gas stocks w/w 1030ET

- Nov 09 US Tsy $15.0B 30-Year Bond auction 1300ET

- Nov 09 08-Nov Fed weekly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +7,500 short Dec 82 calls, 1.0

* +5,000 Jun 82 straddles, 13.5

* +2,000 Jun 77/78/80 1x4x2 put flys, 2.5

* Update, over +30,000 Jan 85/86 1x2 call spds, cab

Salient downside insurance buying covering first half of 2018

* total +20,000 short Apr 73/76/78 2x3x1 put flys, 2.5 w/

* total +20,000 short Apr 75/76/77 put flys, 1.5 w/

* total +20,000 Apr 80/81 2x1 put spds, 2.0

* total 10,000 short Jan 78/80 2x1 put spds, 2.0 w

* total 20,000 short Feb 77/78 2x1 put spds, 1.0, 4.0 total debit

* +5,000 Green Dec 82/85 call spds, 0.5 vs. 97.915/0.05%

* +3,000 Mar 83/Apr 82 straddle spds, 3.0

* -2,000 Jan 83 straddles, 9.0

* Update, total 10,000 short Jan 78/80 2x1 put spds, 2.0 w

* total 20,000 short Feb 77/78 2x1 put spds, 1.0, 4.0 total debit

* +6,000 short Mar 80/81 put spds, 5.5 vs.

* -6,000 Green Mar 78/80 put spds, 5.0, 0.5 net db

* +5,000 Blue Dec 80/82/83 call trees, 1.0

* -10,000 Sep 78/80 put spds, 3.5 vs. 98.135/0.10%

* 5,000 Dec 86/87 1x4 call spds, screen

* 3,000 short Apr 73/76/78 2x3x1 put flys, 2.5

* 3,000 short Apr 75/76/77 put flys, 1.5

* 2,500 short Jun 72/73/76 broken put flys, 2.5 vs. 97.95/0.10%

* update, total +20,000 Mar 83/85/86 1x3x2 call flys, 1.25

* Update, total +30,000 Dec 86 calls, cab

* +5,000 short Jan 78/81 call over risk reversals, 1.0 vs. 98.015/0.50%

* 2,000 short Feb 73/76 put spds, 0.5

* 16,000 short Dec 86 calls, cab

* 5,000 Green Dec 82/85 call spds, 0.5

* update, total 11,250 Mar 83/85/86 1x3x2 call flys, 1.25

Tsy options

Pit/screen:

* 1,000 USZ 152/153.5 put spds, 16/64

* 2,100 TYF 123.5/126.5 call over risk reversals, 1/64 vs. 125-00

* 2,000 TYZ 125 puts, 11/64 vs. 125-13/0.31%

* 1,000 TYZ 127/129/131 call flys, screen

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]