US TSYS: EQUITIES, MKT VERSION OF LUMP OF COAL?

US TSY SUMMARY: Tsys chopped higher on Mon's shortened Christmas eve session,

equity sell-off continued as late overnight gains reversed (SPX -2.2%: -52.0 at

2369.25 in late trade). 

- Tsy yld curves managed to steepen as intermediates outperformed. Mkts

thin/illiquid amid very light holiday volumes (TYH<500k) on shortened Christmas

eve session (GLOBEX closes at 1315).

- No specific trigger for reversal in stocks, appeared to coincide with NY crew

rolling in, taking advantage of firmer prices to square up. Trading desks still

expressing angst over weekend headlines: Trump asking advisors if he could fire

Fed Chair Powell, Tsy Sec Mnuchin meeting w/6 top biz execs.

- Moderate tail as $38B 2Y note auction (9128285R7) awarded a 2.619% rate

(2.836% on $39B Nov auction) vs. 2.610% WI, bid/cover 2.31 vs. 2.65 previous

(2.84 avg).

- Swap spds tighter across the curve, decent payer/receiver unwinds across curve

noted. Tsy cash/ylds: 2Y 100-09 (2.599%), 5Y 101-09.25 (2.593%), 10Y 103-04.5

(2.758%), 30Y 107-07 (3.005%)

US TSY FUTURES CLOSE: Higher across the board, off session highs into early

pre-holiday close; curves manage to steepener as intermediates outperform amid

mild volume (TYH<460k). Yld curves:

* 2s10s +0.557, 15.265 (13.596L/17.381H);

* 2s30s +1.117, 40.091 (37.454L/41.383H);

* 5s30s +1.499, 40.547 (38.927L/41.704H);

Current futures levels:

* Mar Ultra bonds up 24/32 at 161-01 (159-28L/161-06H)

* Mar 30-yr Bond futures up 19/32 at 145-13 (144-17L/145-18H)

* Mar 10-yr futures up 9.5/32 at 121-10.5 (121-00L/121-12H)

* Mar 5-yr futures up 7/32 at 114-06.25 (114-00.5L/114-07H)

* Mar 2-yr futures up 3.75/32 at 105-31.5 (105-28.25L/105-31.75H)

US EURODOLLAR FUTURES CLOSE: Trading firmer across the strip, at/near session

highs w/Reds-Greens outperforming all day, decent volume for shortened holiday

session. Current White pack (Dec'18-Sep'19):

* Mar'19 +0.030 at 97.260

* Jun'19 +0.040 at 97.265

* Sep'19 +0.050 at 97.270

* Dec'19 +0.075 at 97.270

* Red pack (Mar'19-Dec'20) +0.090-0.085

* Green pack (Mar'20-Dec'21) +0.085-0.065

* Blue pack (Mar'21-Dec'21) +0.065-0.055

* Gold pack (Mar'22-Dec'22) +0.050

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0018 to 2.3898% (+0.2069 last wk)

* 1 Month -0.0007 to 2.5056% (+0.0512 last wk)

* 3 Month -0.0082 to 2.8134% (+0.0208 last wk)

* 6 Month -0.0142 to 2.8937% (+0.0074 last wk)

* 1 Year -0.0253 to 3.0478% (-0.0246 last wk)

US SWAPS: Spds continue to narrow across the board, long end accelerating over

last hour. Decent flow for a shortened holiday session: $380M payer in 1s at

2.8115%, $200M payer in 2s at 2.7525%, $340M receiver in 3s from 2.683-2.6955%,

2-way in 5s, $340M payer in 10s from 2.805-2.785%, 2s3s10s payer fly.

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

10:45       -1.38/12.62   -0.94/8.12     -1.50/2.12    -1.81/-14.19

9:30        -1.25/12.75   -0.81/8.25     -0.83/2.81    -1.00/-13.38

Mon Open    -0.44/13.56   -0.56/8.50     -0.62/3.06    -0.88/-13.25

US TSYS: *** /REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): 2.40% vs. 2.41% prior, $927B

* Broad General Collateral Rate (BGCR): 2.39% vs. 2.40% prior, $394B

* Tri-Party General Collateral Rate (TGCR): 2.39% vs. 2.40% prior, $388B

PIPELINE: No new supply on day/week

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

25-Dec ---- U.S. markets closed

-

26-Dec 0855 **  22-Dec Redbook retail sales m/m (0.3%, --)

26-Dec 0900 **  Oct Case-Shiller Home Price Index (0.3, --)

26-Dec 1000 **  Dec Richmond Fed Mfg Index (14, --)

26-Dec 1130 US Tsy $18B 2Y FRN note auction (9128285H9)

26-Dec 1300 US Tsy $41B 5Y note auction (9128285U0)

Eurodollar/Treasury Option Summary 

Eurodollar options, Pit/screen:

Block, 1057:12ET,

* 11,000 Green Mar 66 puts, 0.5

* 4,000 Sep 67/68/70/71 put condors on screen, 2.5

* 3,000 Gold Jun 80/82 call spds, 1.5

* 6,000 short Feb 71/76 call over risk reversals, 0.0 vs. 97.34

* -5,000 Mar 73/75 1x2 call spds, 0.5

* +5,000 short Feb 71/72 2x1 put spds, 0.0

* 2,000 Mar 72/73/75 1x2x2 call trees, 1.0 net

* 2,000 Apr 72/73 1x2 call spds, 0.5

* +20,000 Dec 68/70 put spds, 3.75/legged

Recent put condor making up near half overnight volume

* 5,000 Dec 65/66/67/68 put condors on screen, 1.5

Other screen trade:

* 2,750 Blue Mar 75 calls, 8.5 vs. 97.35-355

Tsy options, Pit/screen:

Volume spike..Latest trade from the pit:

* -49,064 TYG 124.5/130 call spds, 5/64

* -11,236 TYG 124/130 call spds 7/64 w/

* -11,236 TYG 124.5/130 call spds, 6/64, 13/64 total cr/package

Note, TYG 124.5 call open interest is 69,972 coming into the session, the TYG

124 call OI 33,401, TYG 130 call OI only 4,237.

* -1,700 TYH 121 straddles, 1-43/64

* +10,500 TYH 131 calls, 2/64 on screen

* -2,500 TYG 120.75/121.75 strangles, 55/64 earlier in pit

* 11,700 TYH 133 calls, 1/64

* 13,800 FVH 109.25 puts, 1/64

* 3,000 TYH 120/120.5 put spds, 11/64 vs. 121-05/0.10%

* 1,500 wk4 TY 121.5/122.5 call spds, 8/64

* -500 TYG 120.25/122.25 strangles, 36/64

* 1,000 wk4 FV 114/114.25 strangles, 16/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]