US TSYS END MIXED: FX-TIED BID, PENSION LONG END BUYS/FLATTNRS

     US TSYS SUMMARY: US Treasuries ended Tues mixed after a choppy day: initial

short-covering and Fx-tied buying gains, then later profit-taking and FX-tied

sales, holiday-tied position tweaks. 

- Treasuries got an early buying boost amid soft 19.3 Nov. Phil Fed non-mfrg

activity index (vs. 32.2 Oct), and appeared to ignore CFNAI 0.65 Oct CFNAI

index, also firmer 5.48M Oct US existing home sales. 

- Tsys saw morning short-covering buying, and with 2/30Y, 5/30Y, 3/30Y Tsy

curves flattening, then black-boxes' FX-tied buying started 9:26am ET as US$

decline vs. Jpn yen. Real$ buying 5Ys, selling 10s, fast$ buyinig 30Y, others

sought to fade bull flattener and do 2/5Y, 7/10Y steepeners. 

- Pension buying in the long end continued as firms sought to get the larger tax

break vs. 35% current corporate tax rate, vs. 20% expected in 2018. 2/30Y broke

below + 100 bps for first time since Nov. 2007 amid such long end buying. - Then

later, FX-tied selling as the US$/yen firmed, and also amid some front end

selling, either outright or as delayed part of flattener trades, said traders.

Also light pre-auction shorts/sales and position cleanup into Wed light session

ahead of Thurs. Thanksgiving holiday, Friday short day (1pm ET fincl futures

close, 2pm ET cash bond close.) 

- Tsy had reasonably good $13B 2Y FRN reopening: discount margin 3.5bp, 49.6%

indirects, 6.3% directs, 44.14% dealers. 

- TSYS 3PM ET: Cash 2Y 1.776%; 3Y 1.883%; 5Y 2.107%, 7Y 2.267%, 10Y 2.363%, 30Y

2.763%

US TSY FUTURES CLOSE: Trading mixed after the bell, curve flatter all day, long

end outperforming but trading well off first half highs. Volume totals inflated

by HEAVY roll volume. Current futures levels: 

* Dec Ultra bonds up 22/32 at 167-22 (167-08L/168-17H) 

* Dec 30-yr Bond futures up 13/32 at 154-02 (153-24L/154-22H) 

* Dec 10-yr futures steady at 124-22 (124-19L/124-29.5H) 

* Dec 5-yr futures down 2.75/32 at 116-21.75 (116-20.5L/116-26H) 

* Dec 2-yr futures down 1.25/32 at 107-12.5 (107-12L/107-14H)

US EURODLR FUTURES CLOSE: Mostly lower, long end of the strip outperforming by

the closing bell. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.002 at 98.447 

* Mar'18 -0.010 at 98.265 

* Jun'18 -0.020 at 98.115 

* Sep'18 -0.025 at 98.020 

* Red pack (Dec'18-Sep'19) -0.025-0.035 

* Green pack (Dec'19-Sep'20) -0.030-0.020 

* Blue pack (Dec'20-Sep'21) -0.020-0.005 

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

US SWAPS: Spds are running mildly wider by the close, 10y just off inversion.

Muted flow included two-way in 2s-10s w/better paying in the first half, light

deal-tied flow in the mix. OTC vol lower across the surface. Latest spread

levels: 

* 2Y +0.25/17.00 

* 5Y +0.31/5.94 

* 10Y +0.44/+0.12 

* 30Y +0.44/-20.75

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

- Nov 22 17-Nov MBA Mortgage Applications (3.1%, --) 0700ET

- Nov 22 18-Nov jobless claims (249K, 240K) 0830ET

- Nov 22 Oct durable goods new orders (2.0%, 0.5%) 0830ET

- Nov 22 Oct durable new orders ex transport (0.7%, 0.4%) 0830ET

- Nov 22 Nov Michigan sentiment index (f) (97.8, 98.1) 1000ET

- Nov 22 17-Nov crude oil stocks ex. SPR w/w (+1.85m bbl, --) 1030ET

- Nov 22 17-Nov natural gas stocks w/w 1200ET

- Nov 22 Oct 31-Nov 1 FOMC minutes release 1400ET

- Nov 22 Nov Treasury Allotments (p) 1500ET

- Nov 22 15-Nov Fed weekly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* total 50,000 (20k Blocked) Sep 76/80 put spds, 10.0

* -10,000 Sep 78/80 put spds, 5.0 vs. 98.03/0.10%

* 6,500 short Mar 83 calls, 1.0 vs. 97.90

* 5,000 Dec/Mar 86 1x2 call spds, 0.75

* BLOCK +15,000 short Feb 76 puts, 1.5 vs. 97.88/0.15%

* 20,000 Jun 78/80 2x1 put spds, 1.5

* 4,000 short Dec 77/78 2x1 put spds, 1.5

* +3,500 Mar 81/82/83 3x4x1 put flys, 3.0/belly over

* +5,000 Green Dec 73/75 put spds, cab

* BLOCK +20,000 short Feb 76 puts, 1.5 vs. 97.88/0.10%

* 15,000 short Feb 81/82 call spds, 1.5 vs. 97.945/0.07%

* 15,000 Blue Feb 80/81 call spds, 1.0 vs. 97.665/0.07%

* +7,500 Green Dec 75/76/77 put flys, 2.5 earlier

* -2,500 Green Dec 75/77 put spds, 4.0 vs. 97.79/0.20%

* -50,000 Green Dec 76/77/78/80 at 7.5 (bought on Sep 27 at 4.0, 97.97 ref)

* +20,000 (5k Block) short Dec 80/81 call spds 0.5 over Green Dec 78/80 call

spds

* 5,000 Mar 81/82 put spds vs. short Mar 77/78 put spd

* 3,000 short Sep/Green Sep 80 call spds

Tsy options

Pit/screen:

* +5,000 FVZ 116.7 puts, 4.5/64 vs. 116-25/0.44% vs.

* -1,250 USZ 155 calls, 17/64 vs. 154-21/0.36%

* -2,000 TYF 122.5 puts, 3/64 vs. 124-16

* 2,000 FVG 116/117 strangles, 26.5 vs. FVF 117.2 calls, 5/64

* +100,000 FVH 108.5 puts, cab-7 recently

* -2,500 FVG 116/117 strangles, 21.5 over the FVF 117.25 calls

* 1,000 TYH 123.5/125.5 strangles, 1-1/64

* 1,500 TYF 123/126 call over risk reversals, 1/64 vs. 124-17/0.22%

* 2,000 TYZ 125.25 calls, 1/64 vs. 124-22/0.12%

* +25,000 TYZ 125 calls, 4/64 vs. 124-23 to -23.5, takes the call bid

* 3,000 TYZ 124.5/125 put over risk reversals, 1/64 vs. 124-22.5/0.53%

* 1,000 TYF 124.5 straddles, 22/64

* 1,000 TYF 123.5/125.5 strangle, 22/64

* -1,000 TYF 124.5 straddles vs. 3,000 TYF 123/126 strangles, 29/64 net credit

* -1,400 TYZ 124.5 puts at 3/64

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

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