US TSYS: FED MADE NO CHANGES TO KEY PARTS OF STATEMENT

US TSY SUMMARY: Tsy trading slightly lower into the bell, in the middle of the

range with strong volume (TYZ 875k), curves flattening. Light data today led by

Initial Claims which came in line with expectations at 214k. Continuing claims

came in below expectations falling 8k to 1623k vs 1634k exp.

-The FOMC made no changes to the key parts of the statement and held FFR steady

at 2.00% to 2.25% on a 9-0 vote; The only changes to the statement were to say

the unemployment rate "has declined" rather than saying "has stayed low".

-US$ climbed to session highs after the Fed release and continued the trend into

the bell, currently DXY +.680, 96.677 (96.068L/96.738H), 

-$/Eur lower -0.0064 at 1.1362, $/Yen up +.46 113.98; equities lower (emini

-14.00, 2802.50 vs. 2818.00H); Gold fell (XAU -4.78, 1221.76); Oil down (WTI

-1.07, 60.60). 

-Tsy cash/ylds: 2Y 99-26 (2.969%), 5Y 98-31.5 (3.095%), 10Y 99-01 (3.237%), 30Y

98-29.5 (3.432%).

US TSY FUTURES CLOSE: Trading slightly lower in the middle of a tight range;

strong volume (TYZ 1.17M); curves flattening; update:

* 2s10s -1.385, 26.085 (25.509L/27.510H);

* 2s30s -2.545, 45.533 (45.438L/48.208H);

* 5s30s -2.411, 33.626 (33.455L/36.202H);

Current futures levels:

* Dec Ultra bonds down 03/32 at 148-19 (148-05L/149-04H)

* Dec 30-yr Bond futures down 07/32 at 137-05 (136-31L/137-20H)

* Dec 10-yr futures down 06/32 at 117-25.5 (117-23.5L/118-00H)

* Dec 5-yr futures down 4.5/32 at 111-28.75 (111-28.25L/112-1.25H)

* Dec 2-yr futures down 1.25/32 at 105-05 (105-4.5L/105-6.5H)

US EURODOLLAR FUTURES CLOSE: Trading slightly to mildly lower near the bottom of

a tight range; moderate volume. Current White pack (Dec'18-Sep'19):

* Dec'18 -0.005 at 97.230

* Jun'19 -0.010 at 97.070

* Jun'19 -0.015 at 96.905

* Sep'18 -0.020 at 96.795

* Red pack (Dec'19-Sep'20) -0.020

* Green pack (Dec'20-Sep'21) -0.020-0.015

* Blue pack (Dec'21-Sep'21) -0.015

* Gold pack (Dec'22-Sep'22) -0.010

US DOLLAR LIBOR: Latest settles,

* O/N +0.0027 to 2.1799% (+0.0053/wk)

* 1 Month +0.0031 to 2.3184% (+0.0006/wk)

* 3 Month +0.0135 to 2.6146% (+0.0223/wk)

* 6 Month +0.0141 to 2.8576% (+0.0288/wk)

* 1 Year +0.0157 to 3.1408% (+0.0360/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.22% prior, $823B

* Broad General Collateral Rate (BGCR): 2.16% vs. 2.22% prior, $424B

* Tri-Party General Collateral Rate (TGCR): 2.16% vs. 2.22% prior, $410B

US SWAPS: Latest spd levels:

* 2Y +0.60/18.48

* 5Y -0.55/12.18

* 10Y -0.15/5.33

* 30Y +0.43/-9.83

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

- Nov 09 Oct Final Demand PPI (0.2%, 0.3%) 0830ET

- Nov 09 Oct PPI ex. food and energy (0.2%, 0.2%) 0830ET

- Nov 09 Oct PPI ex. food, energy, trade (0.4%, --) 0830ET

- Nov 05 NY Fed Pres Williams, opening remarks, book launch, NYFRB 0830ET

- Nov 09 Philly Fed Pres Harker book launch, NYFRB 0845ET

- Nov 09 Fed VC Quarles, fncl regs fireside chat Brookings, DC, Q&A. 0900ET

- Nov 09 Nov Michigan sentiment index (p) (98.6, 98.5) 1000ET

- Nov 09 Sep wholesale inventories (1.0%, 0.3%) 1000ET

- Nov 09 Sep wholesale sales (0.8%, --) 1000ET

- Nov 09 Q4 NY Fed GDP Nowcast 1115ET

     TECHNICALS: 

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +7,000 Green Dec 68/71 call sprd at 1 over the 65 puts vs 9672/0.32%

* 3,000 Front Nov/Front Dec 72 put sprd at 1.75 vs 9722/0.04%

* -5,000 Nov 72 puts at 1.75 vs 9725/0.50%

* 5,000 Green Nov 66 puts at 1 vs 9671/0.10%

* -5,000 Short Mar 67 Straddle at 27.5

* -12,000 Green Dec 66/70 Strangle at 5 vs 9673.5/0.14%, adds to recent -10k

block

* +7,000 Green Nov 66 puts at 0.5 vs 9674/0.10%

* -3,000 Short Sep 67 Straddle at 49

* Total 17,000 Short Mar 68 Straddle at 32.5

* 6,000 Mar 68 puts at 0.75 vs 9709.5/0.07%

* +5,000 Jan 72/73 1x2 call sprd at 0

* +10,000 Dec 70/71 put sprd vs Dec 75 calls for 0.25 vs 9723.5/0.14%, buying

the put sprd

* -5,000 Short Dec 66/70 2x1 put sprd at 24

* 4,000 Green Dec 66/70 Strangle at 5 vs 9673.5/0.14%

* Total all day -42,000 Green Dec 66/70 Strangle at 5 vs 73.5/0.14%, pit and

screen

     US TSY OPTIONS

US TSY OPTIONS: Latest trade,

* -63,000 TYF 119.5 calls at 6, on screen

* -10,000 USZ 135.5/137 put sprd at 21 vs 18/0.20%

* +35,000 TYG 119 calls at 22, on screen

* -5,000 2wk TYX 118 puts at 1 over TYZ 117.5 puts

* +16,000 TYG 118.5 calls at 30

* +20,000 TYG 122/123.5 1x2 call sprd at 0

* +12,000 TYG 116/120 Strangle vs TYH 118 Straddle at 136, note +TYH, BLOCK

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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