US TSYS FLATTEN AFTER 0.4% OCT PPI/EYE WED CPI; STK/BOND SHIFT

     US TSYS SUMMARY: Treasuries ended Tues mainly higher/flatter after higher

0.4% Oct PPI/0.4% Core PPI spurred brisk flatteners in cash 2/5Y, 2/10Y. 2/30Y,

5/30Y. Traders await Wed 8:30am ET US Oct CPI; MNI econ poll median est:0.1%

CPI/0.2% core. 

- Tsys saw midmorning asset allocation move by funds selling S&P Eminis/ vs

buying Tsys amid worries on higher inflation; but then stocks managed to cut

losses somewhat. 

- Some traders argued PPI and Wed. CPI cld be inflated by higher

hurricane-affected prices. US$ funding costs rose amid various factors, said

traders, such as a relative shortage of US Tsys collateral. Tsys Genl Collateral

rate moved higher in O/N RP, was 1.30% early afternoon. 

-  Chinese 10Y bond yield moved over 4.0% for first time in 3 years overnight.

Tsys saw some overnight pressure amid firm German GDP data. 

- Tsy futures saw 9:48am ET buy of 2,063 WNZ Ultra Bonds at 165.24; had been

also block buy of 2,835 TYZ at 124-21 at 6:56am ET. 

- US swap sprds tighter, curve steeper amid front end narrowing after long end

climbed to new 2-yr+ high early. 

- TSYS 3PM ET: 2Y 1.691%, 3Y 1.812%, 5Y 2.067%, 7Y 2.260%, 10Y 2.382%, 30Y

2.841%

US TSY FUTURES CLOSE: Trading mostly higher by the close, off session highs

w/long end outperforming after reports of asset allocation sent equity markets

sharply lower before recovering two-thirds of move. Current futures levels: 

* Dec Ultra bonds up 27/32 at 165-23 (164-21L/165-31H) 

* Dec 30-yr Bond futures up 14/32 at 152-27 (152-05L/153-01H) 

* Dec 10-yr futures up 4/32 at 124-24 (124-16L/124-26.5H) 

* Dec 5-yr futures up 1.75/32 at 116-30.25 (116-25.5L/116-31.25H) 

* Dec 2-yr futures down .5/32 at 107-16.75 (107-16.25L/107-17.5H)

US EURODLR FUTURES CLOSE: Trading near steady to mildly higher out the curve,

near top end of narrow range on decent volume. Current White pack

(Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.467 

* Mar'18 -0.005 at 98.290 

* Jun'18 +0.000 at 98.175 

* Sep'18 -0.005 at 98.090 

* Red pack (Dec'18-Sep'19) +0.005-0.010 

* Green pack (Dec'19-Sep'20) +0.015 

* Blue pack (Dec'20-Sep'21) +0.015 

* Gold pack (Dec'21-Sep'22) +0.015-0.020

US SWAPS: Spds running tighter by the closing bell, spd curve steeper all day as

narrowing in front end took place of wider 30Y spd after long end climbed to new

2+ year highs early in day. Aside from some deal-tied hedging, flow included

* $90.2k DV01 2Y-5Y STEEPENER,

* $151.8k DV01 10Y-10Y STEEPENER

* $120mln+ receiver of USD 20Y at 2.565%

* $168.6k DV01 5Y-6Y-7Y Fly, receiving the belly. Latest spread levels:

* 2Y -0.75/18.94

* 5Y -0.44/6.06

* 10Y -0.25/-1.62

* 30Y -0.12/-24.88

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

- Nov 15 10-Nov MBA Mortgage Applications (0.0%, --) 0700ET

- Nov 15 Oct retail sales (1.6%, 0.00%)/ex. motor vehicle (1.0%, 0.2%) 0830ET

- Nov 15 Oct retail sales ex. mtr veh, gas (0.5%, --) 0830ET

- Nov 15 Oct US CPI (0.5%, 0.1%) 0830ET

- Nov 15 Oct US CPI Ex Food and Energy (0.1%, 0.2%) 0830ET

- Nov 15 Nov Empire Manufacturing Index (30.2, 26.0) 0830ET

- Nov 15 Sep business inventories (0.7%, 0.1%) 1000ET

- Nov 15 Nov Atlanta Fed inflation (1.8%, --) 1000ET

- Nov 15 10-Nov crude oil stocks ex. SPR w/w (+2.24M bbl, --) 1030ET

- Nov 15 Sep net TICS flows ($125.0B, --) 1600ET

- Nov 15 Sep long term TICS flows ($67.2B, --) 1600ET

- Nov 15 Boston Fed Rosengren at N'Eastrn EcoPol Forum Boston 1600ET

- Nov 15 NY Fed VP Held speaks at "The Financial Crisis: Perspectives From a

Decade On" at Joint Meeting of the Administrative and Banking Law

Committees, NY 1845ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +10,000 Mar 81 puts, 0.5

* total 4,000 Feb 81/82/83 3x6x2 put flys, 6.5 net

* +6,000 Apr 78/80 put spds, 0.75

* -3,000 Blue Feb76 straddles, 26.0

* +10,000 Red Jun'19 78/80 put spds, 6.5 vs. 97.895

* total 4,000 Feb 81/82/83 3x6x2 put flys, 6.5 net

* 7,500 short Mar 77 puts, 3.5 vs. 97.95

* 5,000 short Dec 81 calls, 2.0 vs. 98.04

------------------

* Screen buyer long Green Dec19 100 calls at 0.5 up to 13.5k

* +15,000 short Apr 73/76 put spds, 3.0 vs. 97.87/0.05%

* 3,500 short Dec 81 calls, 2.0 vs. 98.84

* Update, +20,000 short Apr 73/76 put spds, 3.0 vs. 97.87

* +11,500 Green Dec'19 100 calls, 0.5

* 15,000 short Apr 73/76 put spds, 3.0 vs. 97.87

* +6,000 Green Jan 73/75/76 put flys, 1.5 vs. 97.76

* -10,000 short Sep 75/85 put over risk reversals, 4.5 vs. 97.855/0.34%

* 1,000 Gold Mar 70 puts, 2.0 vs. 97.525

* total -10,000 short Jun 80/Green Jun 78 call spds, 2.5

* total +7,000 short Dec 80/81 strangles, 6.0-6.5

* -15,000+ short Dec 80/81 put spds, 9.0-8.5

* +5,000 short Dec 80/81 2x1 put spds, 4.0

* +5,000 Apr 82/83 call spds, 2.75

* 4,000 Mar 83/85 1x2 call spds, 1.25 vs. 2,000 Mar 82 puts, 3.25

* -3,000 Blue Mar 73/81 put over risk reversals, 2.5 vs. 97.655

* 2,000 Green Dec 76 puts, 1.5 vs. 97.795/0.14%

* -5,000 Green Mar 75/81 put over risk reversals, 0.5 vs. 97.785/0.37%

* -5,000 Jun 81/Blue Jun 75 2x1 put spds, 1.0

* +4,000 short Dec 80/81 strangles, 6.0

* -5,000 short Jun 80/Green Jun 78 call spds, 2.5 steepener

* 1,000 short Apr 77/78 call spd, 7.0 vs. short Apr 76 puts, 3.0

Latest Blocks, 0757:06ET,

* +7,370 short Dec 82 calls, 1.0 vs. 98.05/0.10%

Tsy options

Pit/screen:

* 2,500 TYZ 126/126.5/127/127.5 call condors, 1/64

* 1,200 TYZ 123/124 3x2 put spds, 4/64

* 1,500 TYG 122.5/126.5strangles, 24/64

* 1,000 TYZ 123.5/124 2x1 put spds, 2/64 vs. 124-18/0.05%

* 750 USZ 153 calls, 34/64 vs. 152-18

* 1,000 TYZ 124/124.5 strangles, 30/64

* 1,000 TYZ 125/125.5 put spds, 25/64

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

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