US TSYS END RANGEBOUND DAY HIGHER, FLATTER; EYE MIDEAST/SAUDIS

     US TSYS SUMMARY: Treasuries end a rangebound Mon higher and flatter on

safe-haven bid/Mideast worry after Saudi leaders' wknd arrest of Saudi princes

on alleged corruption charge; a Saudi minister said that Iran aided in a failed

weekend Houthi missile attack on Saudi land so Saudis wd retaliate, said CNN. 

- NYMEX crude oil prices +2.9% to $57.25; earlier oil spiked, US$ declined and

gold rose. Traders awaited Hse Ways & Means panel tax plan news. 

- Tsys saw 2/10Y, 2/30Y, 2/5Y cash flatteners. Morning Tsy futures block buy:

3,885 Dec 10Y/Ultra at 134-17, 7:18am ET. MBS bid. US Eurodlr futures seller in

front end: 16,000 EDH8 at 98.323. 

- US swap sprds mostly tighter; 2way 5Y flow around 2.05635%-2.06172; 2/5Y

steepener of $47.4K DVO1 and a $94.8K 2/3/5Y fly, belly receiving. 

- NY Fed Dudley to retire mid-2018; said "bit surprised by" 2017 inflation, "2%

inflation not a ceiling." 

- Heavy US$ high-grade corp bond issuance; 6-part Apple. 

- Tsy blocks at 1:56pm, 1:58pm ET: buy of 5,000 TYZ at 125-12.5, and 5,000 buy

of TYZ at 125-13; both cross on bid. 

- TSYS 3PM ET: 2Y 1.621%; 3Y 1.726%; 5Y 1.9887%; 7Y 2.175%; 10Y 2.320%; 30Y

2.796%

US TSY FUTURES CLOSE: Finishes higher, off top end of range on modest volume

(TYZ<850k). Current futures levels: 

* Dec Ultra bonds up 25/32 at 167-03 (165-30L/167-10H) 

* Dec 30-yr Bond futures up 19/32 at 154-08 (153-12L/154-12H) 

* Dec 10-yr futures up 6.5/32 at 125-11.5 (125-03.5L/125-13.5H) 

* Dec 5-yr futures up 2.75/32 at 117-09 (117-05.75L/117-10.5H) 

* Dec 2-yr futures up .5/32 at 107-20.75 (107-20L/107-21.25H)

US EURODLR FUTURES CLOSE: Trading mildly higher, just off top end of range on

modest volume, rather quiet start to the week. Current White pack

(Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.480 

* Mar'18 +0.000 at 98.330 

* Jun'18 +0.000 at 98.215 

* Sep'18 +0.000 at 98.140 

* Red pack (Dec'18-Sep'19) +0.005-0.025 

* Green pack (Dec'19-Sep'20) +0.020-0.025 

* Blue pack (Dec'20-Sep'21) +0.030-0.035 

* Gold pack (Dec'21-Sep'22) +0.035-0.040

US SWAPS: Spds running mostly tighter by the close, spd curve flatter w/long end

leading move tighter in the second half - unwinding a portion of last week's

steepening (post-refunding annc react) in face of incoming Tsy/corp supply this

week. Weaker hands unwinding steepeners and long end wideners in long end after

flurry of midday flows two-way in 5s around 2.05635% - 2.06172%, $47.4k DV01

2Y-5Y steepeners, $94.8k 2Y-3Y-5Y Fly, receiving the belly. Some prop andd ealer

desks looking to scale into steepeners and wideners this week, getting better

entry levels after last week's move. OTC vol mildly higher despite limited real

vol - rebound after Fri's collapse. Latest spread levels:

* 2Y +0.06/21.00 

* 5Y -0.06/7.38 

* 10Y -0.50/-2.50 

* 30Y -0.81/-26.88

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

- Nov 07 04-Nov Redbook retail sales m/m (-1.3%, --) 0855ET

- Nov 07 Nov IBD/TIPP Optimism Index (50.3, --) 1000ET

- Nov 07 Sep JOLTS job openings level (6082K, --) 1000ET

- Nov 07 Sep JOLTS quits rate (2.1%, --) 1000ET

- Nov 07 US Tsy $20.0B 52-Week Bill auction 1130ET

- Nov 07 Fed VC Supervsn Quarles: Clearing Hse Annl Conf, NY 1235ET

- Nov 07 US Tsy $24.0B 3-Year Note auction 1300ET

- Nov 07 Fed vice-chair Quarles on Fncl Reg'n/Clearing Hse conf, NY, Q&A

- Nov 07 Sep consumer credit ($13.1B, $17.2B) 1500ET

- Nov 07 Oct Treasury Allotments (final) 1500ET

- Nov 07 Fed chair Yellen, acceptance remarks "Presentation of the Paul H.

Douglas Award for Ethics in Government", DC 1500ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +5,000 Blue Mar 82 calls, 2.5 vs. 97.765/0.10%

* -12,000 short Dec 81 straddles, 11.5

* +10,000 short Dec 78 puts, 0.5

* -10,000 Red Dec 78 puts, 8.0

* -3,000 Dec 85 straddles, 4.75

* +5,000 short Jun 76 puts, 5.0

* +2,500 Jun 78/80 2x1 put spds, 1.0

* -2,500 Dec 83/85 2x1 put spds, 3.25

* 5,000 short Jan 76 puts, 0.5

* +2,500 Green Feb/Green Mar 71/73 put spd strip, 2.0 earlier

* Block, +10,000 short Jan 76 puts, 0.5 vs. 98.00/0.10%, adds to+5k in pit

* +20,000 short Mar 77/78 put spds, 3.0 w/

* -20,000 Blue Nov 76/77/78 put flys, 7.5

* -10,000 Sep 80/81 put spds, 5.0

* -16,500 Red Dec 81/82/83 call trees, 0.5

* total +37,000 Blue Mar 72/75 put spds 4.0 vs. Blue Dec 75 puts, 0.5 vs. 97.72

* total +7,500 Green Dec 77/81 strangles, 4.0 covered

* total -3,000 short Dec 81 straddles, 11.5

* +15,000 Blue Mar 72/75 put spds 3.25 over the Blue Dec 75 puts

* +3,000 Dec 85/short Dec 81 straddle spds, 7.0, short Dec over.

* Decent volume in short Dec 81 straddles on day, over 15k between pit/screen

* -7,500 Red Sep 75 puts, 11.0

* 2,000 Green Dec 78 straddles, 14.5

* 2,000 short Nov 80/81 2x1 put spds, 5.0

* +2,000 Jun 77/78/80 1x4x2 put flys, 2.00 net/wings over

* +4,000 Green Dec 75/76 put spds, 0.5

###########################

Tsy options:

* Block, +25,001 TYF 123/124 put spds, 11/64

* 4,000 wk3 FV/FVZ 117 put spds, 2/64

* 1,200 TYZ 124.75/125.25 2x1 put spds, 0.0 vs.

* 1,200 TYZ 125.25/125.75 1x2 call spds, 2/64

* over -2,000 wk2 FV 117 puts vs. FVZ 117.5 calls earlier

* over +30,000 TYZ 123 puts, 1/64, massive offer >420k at 2/64

* +5,000 TYZ 124 puts, 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$]