US TSYS END MAINLY HIGHER EXCEPT 30Y; SOLID 5Y SALE, MIXED 2Y

     US TSYS SUMMARY: Tsys ended Monday mainly higher after risk-off mood

prevailed amid afternoon N.Korea jitters. Kyodo said Japan earlier received

radio signals suggesting N.Korea preparing for a missile launch test; but Kyodo

said N.Korea satellite image did not show missile or mobile launcher, and Jpn

did not specify type of possible NK missile. 

- Tsy digested 2Y, 5Y auctions. Quiet afternoon range after good $34B 5Y

auction: 2.066% rate, 65.8% indirects, good 11.4% directs, only small 22.8% for

dealers to mop up. 

- Tsy 2Y auction mixed: .765% rate, soft 41.2% indirects but good 16.99%

directs, so relatively large 41.9% for dealers. 

- Tsys futures volume artificially heavy amid large pick-up in rolling from Dec

to March futures ahead Thu first notice date (Mar goes top step, Dec expires

mid/late Dec) 

* Early flow had large 10Y futures block buy: +22.9k TYH, 124-24 helping spur

early rally), FX-tied bid as US$ weaker vs. yen, Bund-tied aid. But Tsys also

digested pre-auctions shorts and rate-lock hedges amid today's 2Y, 5Y auctions

and a busy high-grade corporate bond issuance wk. Fast$ and prop acct buying

before rates reversed early gains; Mar 10Y-ultra Block sale (-7.9k, 133-30)

helped trigger selling. 

- US Tsy futures: most higher by close, Ultra bonds underperform. 

- TSYS 3PM ET: 2Y 1.745%, 3Y 1.837%, 5y 2.047%, 7y 2.213%, 10Y 2.328%, 30Y

2.765%

US TSY FUTURES CLOSE: Trading mostly higher by the bell, ultra-bond

underperforming. Massive volume due to Dec/Mar roll volume. Current futures

levels: 

* Dec Ultra bonds down 1/32 at 167-25 (167-10L/168-18H) 

* Dec 30-yr Bond futures up 5/32 at 154-13 (153-30L/154-24H) 

* Dec 10-yr futures up 5/32 at 125-04 (124-27L/125-04.5H) 

* Dec 5-yr futures up 2.75/32 at 116-31.5 (116-26L/116-31.75H) 

* Dec 2-yr futures up .75/32 at 107-15.25 (107-13.75L/107-15.25H)

US EURODLR FUTURES CLOSE: Trading mostly higher by the close, short end

underperforming all day on modest overall volume. Current White pack

(Dec'17-Sep'18): 

* Dec'17 -0.002 at 98.447 

* Mar'18 -0.005 at 98.275 

* Jun'18 +0.005 at 98.135 

* Sep'18 +0.010 at 98.050 

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

* Green pack (Dec'19-Sep'20) +0.015-0.020 

* Blue pack (Dec'20-Sep'21) +0.025 

* Gold pack (Dec'21-Sep'22) +0.025-0.020

US SWAPS: Spds mixed by the close, spd curve on session flats with short end

rebounding late, long end extending inversion earlier. Short end rebounded in

second half. Mixed flow on net with auction and corp supply-tied hedging in the

mix. better payers in short end, two-way curve plays on modest size in the

intermediates, receivers in the long end. OTC vol lower across the surface,

listed option flow rather quiet. Latest spread levels: 

* 2Y +0.12/17.62 

* 5Y +0.12/7.00 

* 10Y -0.69/-0.75 

* 30Y -1.88/-23.25

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

- Nov 28 Oct advance goods trade gap (-65.4b USD, --) 0830ET

- Nov 28 Oct advance wholesale inventories (+0.3%, --) 0830ET

- Nov 28 Oct advance retail inventories (-0.9%, --) 0830ET

- Nov 28 25-Nov Redbook retail sales m/m (-0.7%, --) 0855ET

- Nov 28 Sep FHFA Home Price Index (0.7%, --) 0900ET

- Nov 28 Q3 FHFA Quarterly Home Prices (1.6%, --) 0900ET

- Nov 28 Sep Case-Shiller Home Price Index (0.5, --) 0900ET

- Nov 28 US Sen Bank Panel, Confirm hearing Fed Chr nom Powell DC 0945ET

- Nov 28 Oct building permits revision 1000ET

- Nov 28 Nov Richmond Fed Mfg Index (12, --) 1000ET

- Nov 28 Nov Conference Board (125.9, 124.0) 1000ET

- Nov 28 Phi Fed Harker "Fncl Safety/Aging Population" Philadelphia 1015ET

- Nov 28 Nov Dallas Fed services index (18.6, --) 1030ET

- Nov 28 $28B US Tsy 7-yr note auction bid deadline 1300ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +4,000 short Jan 81/82/83 call trees, 0.5

* +3,000 Mar 80/81/82 2x3x1 put flys, 2.75/wings ovr

* +4,000 short Dec 80/Green Dec 78 call spds, 0.5

* +5,000 Sep 86 calls, 1.0

* total -15,000 Feb 83/85 1x3 call spds, cab

* +30,000 short Dec 81 calls, 1.0 vs. 98.01/0.10%

* -15,000 Sep 78/80 put spds, 5.0 vs. 98.025/0.15%

* 2,000 short Mar 77/78/80 call trees, 1.0 vs. 97.94

* -25,000 short Mar 76/78 2x1 put spds, 5.0 vs. 97.92/0.22%

* total -5,000 Feb 83/85 1x3 call spds, cab -- 1-leg sold over

* 2,500 Jan 82/83 strangles, 2.75

* 2,000 short Jun 82 calls, 4.0 vs. 97.90/0.10%

Muted screen volume, appr 92k with following highlights

* 6,000 Sep 78/80 put spds

* 4,000 short Jan 81/82/83 call trees

* 2,500 Green Dec 75/76/77 put flys

* +10,000 Mar 86 calls, cab

Tsy options

Pit/screen:

* +15,000 USG 138 puts, 2/64 opener/open interest only 130 coming into session

* +1,000 TYF 125.5/126.25/127 call flys, 5/64

* total 1,700 TYF 123/124.5 2x1 put spds, 14/64 vs. TYG 122.5/124.5 2x1 put

spds, 22/64 vs. 124-18/0.03%

* 1,000 TYF 123/124.5 2x1 put spds, 14/64 vs.

* 1,000 TYG 122.5/124.5 2x1 put spds, 22/64 vs. 124-18/0.03%

* 3,280 wk2 TY 125.5/126 call spds, 4/64 vs. 124-29

* 2,500 TYF 127/128 1x2 call spds, 1/64 vs. 125-05

* 1,921 TYF 126.5 calls 3/64 vs. 124-25.5

* +2,500 TYF 123.5/124/124.5 put flys, 5/64 vs. 124-19.5/0.05%

* 1,000 TYF 125.5/126 call spds, 5/64 vs.

* 1,000 wk3 TY 125.5/126 call spds, 4/64

* +2,000 TYF 124.75 straddles, 56/64

* 1,000 USF 155/126 call spds, 14/64

* 1,960 USF 150/151 put spds, 9/64

* 1,960 USF 151/152 put spds, 16/64 on screen

* total -3,000 wk2 FV 116.7 straddles, 22- to 21.5/64, 5yr ATM vol slipping

* 1,000 TYG 121.5/123 3x1 put spds, 2/64

* 1,500 wk2 FV 116.7 straddles, 22/64

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

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