US TSYS END CHOPPY DAY MIDRANGE AFTER 2-WAY FLOWS, HO-HUM FOMC

     US TSYS SUMMARY: Treasuries ended a choppy Wed midrange after mkt slid a

bit off highs in late afternoon after short-covering on noncontroversial FOMC

statement, where it voted to keep policy steady. The market saw late

profit-taking and a small unwind too of Tsys cash mkt flatteners. 

- This morning/first half markets wanted to buy everything: Tsys, Equities,

Gold, Oil. To be fair, equities trimmed gains earlier as did oil. After an

initial rally post annc, bids in Tsys and gold continue to evaporate ahead Thu's

BoE annc, Trump Fed chair pick and Fri's NFP. Flow light 

- Tsys gained earlier after weak NY opening, then bull flattening on Nov. US Tsy

refunding announcement; Tsy kept auction sizes steady on 3/10/30Y auctions for

next week. TBAC urged to raise Tsy supply issuance in front end. US accts'

selling early on strong +235K Oct ADP priv payrolls; foreign accts inactive.

30-year bond buying midmorning on softer 58.7 Oct. US ISM Purchgs Mgrs; mkt

ignored 0.3% Sept. constructn spendg. Tsy futures had 9:47am ET block buy: 3,201

WNZ Tsy futures.

 - Morning flatteners in cash: 2/5Y, 2/10Y, 5/30Y; fast$ 5s/10s steepener, bank

buying in 30s. 

- US TSYS 3pm ET: 2Y 1.620%; 3Y 1.742%; 5Y 2.021%; 7Y 2.231%; 10Y 2.374%; 2.860%

US TSY FUTURES CLOSE: Finishing mixed, curve flatter with long end higher/off

highs, outperforming ever since refunding annc. Accts were in buy mode early,

Tsys, Equities, Gold, Oil -- post FOMC, everything is moderated. To be fare,

equities trimmed gains earlier as did oil. After an initial rally post annc,

bids in Tsys and gold continue to evaporate ahead Thu's BoE annc and Trump Fed

chair pick (nobody expects him to push out further) and Fri's NFP. Flow light

with offers then bids getting pulled (ironically). Current futures levels: 

* Dec Ultra bonds up 19/32 at 165-12 (164-03L/165-29H) 

* Dec 30-yr Bond futures up 14/32 at 152-29 (151-31L/153-10H) 

* Dec 10-yr futures up 0.5/32 at 124-30.5 (124-23L/125-04.5H) 

* Dec 5-yr futures down 1/32 at 117-05 (117-01.75L/117-08.25H)

* Dec 2-yr futures down 1.25/32 at 107-20.5 (107-20.5L/107-21.5H)

US EURODLR FUTURES CLOSE: Trades mildly lower after the closing bell, near

middle of the range on modest volume. Sellers returned in late trade, offering

Whites and Reds as bid in Tsys evaporated. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.005 at 98.485 

* Mar'18 -0.010 at 98.340 

* Jun'18 -0.020 at 98.215 

* Sep'18 -0.020 at 98.135 

* Red pack (Dec'18-Sep'19) -0.015-0.010 

* Green pack (Dec'19-Sep'20) -0.005-0.010

* Blue pack (Dec'20-Sep'21) -0.010-0.015 

* Gold pack (Dec'21-Sep'22) -0.010-0.005

US SWAPS: ### Spd curve on highs after steepening sharply after refunding annc

vs. flatter Tsy curve. Flows include flattener unwinds vs. 30s, outright paying

by specs, real$ and banks in 10s and 30s, receiver unwinds as well. Hedge fund

payers in long end followed by some prop and fast$ profit taking. Second half

included sporadic curve steepener adds, long end rate and spd paying from real$

and insurance portfolios. Gist of move that Treasury Borrowing Advisory

Committee agreed the Tsy should bill and note issuance in the short end (2-5s),

while long end issuance should hold steady so that the weighted average maturity

not be "materially" changed. In reaction, long end swap spds have gapped wider,

the inverted 30Y spd at levels not seen since September 2015. Latest spread

levels: 

* 2Y -0.94/21.31 

* 5Y -0.06/7.19 

* 10Y +0.69/-2.19 

* 30Y +2.12/-26.75

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

- Nov 02 Oct challenger layoff plans (-27.0%, --) 0730ET

- Nov 02 28-Oct jobless claims (233K, 235K) 0830ET

- Nov 02 Q3 non-farm productivity (p) (1.5%, 2.9%) 0830ET

- Nov 02 Q3 unit labor costs (p) (0.2%, 0.6%) 0830ET

- Nov 02 Fed Gov Powell intro: Alt Ref Rates Comm Rndtable NY 0830ET

- Nov 02 Oct ISM-NY current conditions (49.7, --) 0945ET

- Nov 02 29-Oct Bloomberg comfort index 0945ET

- Nov 02 27-Oct natural gas stocks w/w (+64BcF, --) 1030ET

- Nov 02 NY Fed Dudley Close remarks: Alt Ref Rates Comm Rndtable NY 1220ET

- Nov 02 1-Nov Fed weekly securities holdings 1630ET

- Nov 02 Atl Fed Bostic on Govt Stats at Chicago conf Q/A 1815ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* -2,500 Sep 81 straddles, 28.5

* total +10,000 Nov 85/short Nov 80 put spds, 0.5

* 10,000 short Nov 80 puts, 1.0 vs. 98.06/0.16%

* 2,000 Blue Sep 71 puts, 11.5 vs. 97.625/0.25%

Updated volume - largest spd package of day, 5.5 net debit

* total +35,000 Feb 82/83 call over risk reversals, 3.0 vs. 98.345/0.52% w/

* total +140,000 short Nov 78/80 put spds, 1.25 vs.

* total -35,000 Blue Dec 75/Blue Nov 76 put strip, 2.5

* +25,000 Sep 77/80 put spds, 6.0 vs. 98.135/0.10%

* 2,500 Green Jan 72/73/76 broken put flys, 3.0

* 3,000 short Feb 73/76 put spds, 1.0

* 4,000 short Nov 80 puts, 2.0 vs. 98.045/0.28%

* Block, total 20,000 short Mar 86 calls, 1.0 vs. 98.05/0.05%

* 3,750 Jun 78/81 put spds, 5.5 vs.

* 3,750 Apr 78/80/81 put trees, 2.5

* -11,000 short Dec 82/83 1x2 call spds, 0.50

* 2,000 Sep 73/80 strangles, 1.0 vs.

* 2,000 Apr 82/81 2x1 put spds, 1.25

* 6,000 short Dec 82 calls, 1.5 vs. 98.075/0.16%

* 1,000 Blue Nov 75/short Dec 76 2x5 put spds, 0.0

* Update, total -10,000 Dec 83/85/86 put flys, 7.5

* -3,000 Dec 83/85/86 put flys, 7.5

* -2,000 short Nov 78/80 put spds, 1.5

* +2,000 Jun 80/81 put spd w/Sep 78/80 put spd, 7.5 total/screen

* Block, +10,000 short Mar 76/80 3x1 put spds, 6.5 vs. short Mar 82 calls, 3.5

Tsy options

Pit/screen:

* -10,000 TYZ 123.5/126.5 call over risk reversals 0.0

* +5,500 TYZ 123.7 puts, 6/64 on screen

* 1,000 TYZ 124/124.5 put spds, 8/64

* 2,000 TYZ 121.5/128.5 strangles, 2/64

* 2,600 TYZ 126.5/127.5 call spds, 2/64 vs. 124-29.5

* 1,600 TYZ 124.75 straddles, 61/64

* 1,320 TYZ 124 puts, 11/64 vs. USZ 150 puts, 11/64

* +2,000 TYZ 125.75 calls, 10/64

* +3,000 TYZ 123.75 puts, 8/64

* 2,000 wk2 TY/TYZ 124.7 straddle spd, 18/64

* 1,500 TYZ 125/126 call spds, 17/64

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

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