US TSYS END CHOPPY THURSDAY LOWER;EYE ECB,SO-SO 7Y AUCTION,FED

     US TSYS SUMMARY: Treasuries prices ended choppy Thu lower after so-so

moderate $28B 7Y auction, and ECB meeting news that Jan-Sept 2018 ECB bond-buys

will be halved to E30B/mo pace (vs. E60B now.) 

- Traders cited 1:31pm ET block sale of 10,000 TYZ 10Y futrs pressuring Tsys

lower. Bloomberg story hinting at shorter ECB taper in 2018 hurt mkt, as did

technical TSys weakness and pressure from firmer US$. Some afternoon

post-auction sales of 7Y notes pressured Tsys. 

- Tsys rose early after initial jump on ECB news, but then zigzagged up and down

in morning two-way flows. Mkt finally bottomed out after large 27,500 Eurodollar

Red Pack futures block buy (see 11:40 a.m. ET bullet; moved risk from futures to

swaps. Tsys saw 2/7Y, 2/10Y flatteners. 

- Politico: Hse approved US Senate-passed fiscal 2018 budget, which cld mean

movement to tax reform; House vote will let Senate move forward on tax reform

bill, with a simple maj vote, rather than a 60-member threshold." 

- TSYS 3PM ET: 2Y 1.619%, 3Y 1.750%, 5Y 2.071%, 7Y 2.292%, 10Y 2.452% and 30Y

2.959%

US TSY FUTURES CLOSE: Finish lower, off late session lows as midday bid

evaporated - sources pointing out pressure from recent -10k TYZ block sale,

others looking for any chatter of John Taylor advantage in Fed chair appt

(currently up to 33% at moment, second to Jerome Powell at 64%, Yellen still in

third at 10%, according to PredictIt). One desk cited late ECB headline re:

option to end QE w/short taper in 2018. Current futures levels: 

* Dec Ultra bonds down 4/32 at 162-08 (162-00L/163-16H) 

* Dec 30-yr Bond futures down 6/32 at 150-23 (150-19L/151-22H) 

* Dec 10-yr futures down 4/32 at 124-10.5 (124-10.5L/124-23.5H) 

* Dec 5-yr futures down 2.75/32 at 116-28 (116-27.5L/117-03.75H) 

* Dec 2-yr futures down .75/32 at 107-20.5 (107-20.25L/107-22.75H)

US EURODLR FUTURES CLOSE: Mostly lower, off session lows by the bell. Heavy buy

Block Red packs (EDZ8-EDU9) +27.5k at +0.0075 in first half, swapped. Current

White pack (Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.490 

* Mar'18 +0.000 at 98.345 

* Jun'18 +0.000 at 98.225 

* Sep'18 -0.005 at 98.135 

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

* Green pack (Dec'19-Sep'20) -0.015 

* Blue pack (Dec'20-Sep'21) -0.005-0.010 

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

US SWAPS: Spds mildly tighter into the close, low end narrow range. Sources

noted bank paying in 10s coming into the session followed by flow includes $240M

payer in 3s at 1.96125% after 10Y10Y forward steepener. Better paying from

fast$, real$ and insurance portfolios across the board into the Tsy sale. Real

vol supportive of OTC/exchange implied vol, off earlier highs, flow volume

moderating after ECB annc, still waiting to hear from US Pres Trump on Fed chair

appt., Taylor considered a tail even for mkts (re: higher Tsy ylds), Powell

still leads w/68%. Latest spread levels: 

* 2Y -0.31/22.44 

* 5Y -0.31/7.44 

* 10Y -0.31/-2.62 

* 30Y -0.31/-29.31

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

- Oct 27 Q3 GDP (adv) (3.1%, 2.7%) 0830ET

- Oct 27 Q3 GDP Price Index (1.0%, 1.8%) 0830ET

- Oct 27 Oct Michigan sentiment index (f) (101.1, 101.0) 1000ET

- Oct 27 Q3 St. Louis Fed Real GDP Nowcast (3.13%, --) 1100ET

- Oct 27 Q3 NY Fed GDP Nowcast (2.6%, --) 1115ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* 12,000 (10k Blocked) Dec 83/85/86 call flys, 7.0

* 2,000 Green Dec 77/78 call spds, 6.0 vs. 97.80

* +20,000 short Mar 85 calls, 1.5

* -9,500 Red Jun 75/82 call over risk reversals, 1.5 vs. 97.92/0.54%

* +2,000 Jun 77/78/80 2x4x1 put flys, 2.0

* total -25,000 Green Nov 76 puts, 1.5(Drax)

* Update, total +10,000 Apr 78/80/81 2x3x1 put flys, 1.25 net

* Update, total +15,000 (screen/Block) Sep 76/77/80 put trees, 4.5

* +8,500 Apr 78/80/81 2x3x1 put flys, 1.25 net

* -5,000 Jun 82/83/85 call flys, 2.0

* Block, 10,000 Sep 76/77/80 put trees, 4.5 vs. 98.15/0.10%

* -20,000 short Nov 80/Green Nov 76 put strip 1.5 over Blue Nov 75/76 put spd

* Block, +20,000 Green Dec 76 puts, 4.5, still offered

* Block, -10,000 short Dec 80/81 put spds, 6.5 vs. 98.05/0.20%, 25k total

w/screen,

adds to massive position roll earlier in wk to Jun and Sep put spds on lower

strikes

* another 5,000 short Dec 78 puts, 2.5, 63.1k total

* Block, total +38,600 short Dec 78 puts, 2.5 vs. 98.055/0.25%

Tsy options

Pit/screen:

* 5,250 TYZ 123/124 2x1 put spds, 7/64

* 3,000 TYX 125 calls, 2/64 vs. 124-22 (Nov expires Fri)

* 2,700 TYX 124.5/124.75 call over risk reversals, 2/64 vs. 124-21.5/0.76%

* -2,000 FVF 115.75/117.75 strangles, 21/64

* +3,000 TYX 125 calls, 3/64 (Nov expires tomorrow)

* +7,500 TYZ 123 puts, 8/64 vs. 124-19.5/0.15%

* 1,850 TYX 124.25/125 call over risk reversals, 0.0 vs. 124-20.5

* Block, 5,000 TYX 124.5 puts, 8/64

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

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