US TSYS END ROCKY FRI MIXED: STOCKS RECOVER; WH'S BANNON EXITS

     US TSYS SUMMARY: Treasuries ended a whipsaw Friday session mixed, long end

mildly better, and curve flatter after U.S. stocks managed to recover from

Thursday's stocks selloff/bond rally on US political uncertainty and Isis attack

on Spain. 

- But Friday was a wild ride: Treasuries in morning rose amid risk-off bid,

FX-tied buying on weak dollar/yen. Tsy 10Y futures had 40,000 TYU bought prior

to 9:30am ET, with cash Tsys rally peaking out 10am ET. 

- That's because then the mkts reversed: Tsys slid, stocks rose on speculation

that White House advisor Steve Bannon would leave, which was confirmed in WSJ

story later in the day. (Stocks gained as it was felt Bannon wanted a U.S./China

trade war and might cause White House uncertainty, so his departure was seen as

stocks-positive.)  

- Tsys saw late morning heavy sell volume, near 140,000 TYU from 126-29.5 to

126-23 (Vwap and high volume price of 126-25.5 at time), fast$ sellers 10s,

real$ sales in 10s and 30s, curve flattener unwinds in 5s and 10s vs. 30s. 

- Tsys bottomed out around 1pm ET, and various wires confirmed Bannon exit from

White House, so US equities traded to new session highs, S&P Eminis hitting a

hit of 2439.5. Sep/Dec Tsy futures roll volume rose in long end. Tsys then saw

late dip buying, long end outperforming. 

- TSYS 3PM ET: 2y 1.314%, 3Y 1.465%, 5Y 1.762%, 7Y 2.009%, 10Y 2.194%, 30Y

2.777%.

US TSY FUTURES CLOSE: Steady to mixed by the bell -- well off first half highs.

Choppy trade to finish off a tumultuous week for markets, Tsys reversed gains

into midday, trading lower/near recent lows on annc Steve Bannon exiting White

House advisor role. Rates recovered late. Current futures levels: 

* Sep Ultra bonds up 4/32 at 168-11 (167-30L/169-03H) 

* Sep 30-yr Bond futures up 3/32 at 155-25 (155-16L/156-12H) 

* Sep 10-yr futures steady at 126-23 (126-18L/127-01.5H) 

* Sep 5-yr futures down .25/32 at 118-17 (118-14.25L/118-22.75H) 

* Sep 2-yr futures steady at 108-07.75 (108-07L/108-09.25H)

US EURODLR FUTURES CLOSE: Steady to mildly higher across the strip, near middle

narrow range on decent front end volume, short end flatteners. Current White

pack (Jun'17-Mar'18): 

* Sep'17 +0.000 at 98.670 

* Dec'17 +0.005 at 98.565 

* Mar'18 +0.005 at 98.490 

* Jun'18 +0.005 at 98.435 

* Red pack (Sep'18-Jun'19) steady 

* Green pack (Sep'19-Jun'20) steady to +0.005 

* Blue pack (Sep'20-Jun'21) steady to +0.005 

* Gold pack (Sep'21-Jun'22) steady to +0.005

US SWAPS: Spd curve holds steeper profile, late long end widening making up for

short end paring first half move tighter. Sources reported two-way gamma hedging

in the short end, insurance acct rate receiving in belly to long end early

following by deal-tied paying ahead expected supply next week. OTC vol went out

mixed, gamma slightly bid on the choppy action in rates, longer vega lower.

Latest spread levels: * 2Y -0.81/26.81 

* 5Y -0.62/7.00 

* 10Y -0.12/-5.06 

* 30Y +0.75/-33.81

Eurodollar/Treasury option summary

Eurodollar options,

Blocks:

0724-0826ET, more in pit

+35k E2H 70p, 1.0

0859ET ,more in pit

+10k E3Z 77 straddles, 36.5 vs. 97.96/0.40%

Pit/screen:

+10k EDZ 86c/EOX 85 spds, 0.5

-7k EDZ 82/83/85p flys, 2.5

-6k EDZ 83/87 2x1p spds, 12.5

+4k EDV 87c, 0.5

+3k EDM 87c,3.0

+3k EDV 85/86p spds, 6.5

1.5k EDZ 83/85/86 2x3x1c flys, 12.0

1k EDZ 86/87/88c flys, 2.25

4k EDZ'19 76/86 R/R, 0.5p ovr

2k EDZ'18 77/82p spds, 12.0

1.75k EDU'19 70/71p strip, 7.5

5k EOF 82/83c spd vs EOF 80p, 3.0 net

+3.5k EOZ 81/82c spds vs. EOZ 86c, 1.5 net

2k EOU 83/85c spds, 4.0

2k EOU 83 straddles, 9.5

+15k E2H 70p, 1.0, also Blck'd

+4k E2M 81/E3M 78 straddle spds, 5.0

3k E2U 81/82 R/R, 2.5c ovr

+7.5k E3Z 77 straddles, 36.5

+5.5k E3U 73/76/78p flys

+5k E3Z 77p, 8.0

-4k E3V 80/82 1x2c spds, 4.0

+4k E3U 82c, 1.5

+3k E3Z 78 straddles, 33.0

Tsy options

Pit/screen:

+5.2k TYZ 129c, 22 ongoing buyer

+3.8k TYZ 129c, 20

3k TYU/TYV 125p, 11

2k TYU 125+/TYV 126+p spds, 37

1.6k TYU 125/126p spds, 2

1k TYU 127/127.2c spds, 5

1k TYU 126.75p, 13

-2k USV 157c, 41

-1k USV 156c, 60

1.5k TUU 108.2p, 2

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

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