US TSYS GAIN: BID ON WEAK US$; CALMING FOMC MINS: DEC STILL ON

     US TSYS SUMMARY: Treasuries ended Wed higher amid pre-holiday short-cover,

buying in Tsys, black-box buying on soft US$/yen in correlated trade, somewhat

calming FOMC mtg mins (Dec Hike still seems on.). 

- Tsys began NY mixed, steeper after o/night lift as Fed Chr Yellen warned vs

too-quick removal of policy accommodation. German Bonds weaken in react to

Handelsblatt's ECB Coeure interview as disagree with maintaining QE/inflation

link for too long, prefers rates link. Selloff faded when Bund 10Y yield 3 bps

higher at 0.38, then calm until UK Gilts rose on UK budget, bargain-hunting. 

- Tsys had good early bid for front end, etc. Tsys amid softer US$/yen. FX-tied

buying a main Tsys theme. Tsys also bid after less-than-expected -1.2% US

durable goods/+0.4% ex-transport. 

- Tsys later had mild brief profit-taking as Tsy unveiled 2/5/7Y auctions for

next wk: a $26B 2Y note auction Mon and $34B 5Y auction too that day and then a

$28B 7Y auction on Tues; no size surprises. There also will be $24B 13-week bill

auction on Mon and a $36B 26-week bill auction that day too.

- Tsys futrs had 11:15 am ET 45K were lifted on TYZ7/h8 cal roll at '08 then

goes bid over in 40K. Earlier, 120K given at '08 before 11:07am ET, offered

over. UK Gilts end steeper. US Eurodlr futrs 26K bought in Mar8 EDH8s on screen,

98.27 before 10:50am ET. Softer 98.5 Nov US BBG/Mich sent (100.7 Oct.) 

- TSYS 3PM ET: 2Y 1.731%, 3Y 1.831%, 5Y 2.053%, 7Y 2.211%, 10Y 2.322%, 30Y

2.748%

US TSY FUTURES CLOSE: Trading higher after the bell, curve flatter for most of

the day, long end outperforming and trading close to late rally highs. Volume

totals inflated by HEAVY roll volume. Current futures levels: * Dec Ultra bonds

up 17/32 at 168-09 (166-30L/168-12H) 

* Dec 30-yr Bond futures up 14/32 at 154-17 (153-17L/154-20H) 

* Dec 10-yr futures up 14.5/32 at 125-04.5 (124-19.5L/125-04.5H) 

* Dec 5-yr futures up 9.75/32 at 116-31.5 (116-21.5L/117-00H) 

* Dec 2-yr futures up 3/32 at 107-15.5 (107-12.5L/107-15.75H)

US EURODLR FUTURES CLOSE: Higher across the board and close to session highs,

curve flatter as long end of the strip outperforms by the closing bell,

supported by dovish interpretation of Fed FOMC minutes. Current White pack

(Dec'17-Sep'18): 

* Dec 17 +0.0025 at 98.45 

* Mar 18 +0.02 at 98.285 

* Jun 18 +0.03 at 98.145 

* Sep 18 +0.04 at 98.065 

* Reds (Dec 18-Sep 19) +0.045 to +0.065 

* Greens (Dec 19-Sep 20) +0.065 

* Blues (Dec 20-Sep 21) +0.065 

* Gold (Dec 21-Sep 22) +0.045 to +0.055

US SWAPS: Spds are running mixed by the close, 10y is at zero. Muted flow

included paying in 5s and 10s, large 5Y-7Y-10Y fly though which looked like a

receiver in the belly. Also some light 5Y-30Y and 2Y-10Y flattener trades

earlier on. Latest spread levels: 

* 2Y +0.30/17.275 

* 5Y +0.74/7.06 

* 10Y -0.04/+0.00 

* 30Y -1.00/-21.744

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

- Nov 23 Thursday Thanksgiving US public holiday

- Nov 24 Nov Markit Mfg Index (flash) (54.6, --) 0945ET

- Nov 24 Nov Markit Services Index (flash) (55.3, --) 0945ET

- Nov 24 19-Nov Bloomberg comfort index (52.1, --) 0945ET

- Nov 24 Q4 St. Louis Fed Real GDP Nowcast 1100ET

- Nov 24 Q4 NY Fed GDP Nowcast 1115ET

Eurodollar/Treasury option summary:

Eurodollar options:

Pit/Screen: 

* -20k Front Jan 82 puts at 2

* +7.5k Front Sep 80/78 puts spread at 5 vs EDU8 at 98.035

* -5k Red Mar 77/72 put spread at 9

* -8k Short Dec 80/77 1x2 put spread at 4.25

* +5k Short Jan 76 puts at 0.25

- Latest option block: before 2pm ET: -1.5k Red Dec 80 straddle at 31.5 vs EDZ8

at 98.00

- Prior to 1:28pm ET: Latest option flow seen:

* +5k Green Dec 76/81 squash at flat

* +6k Green Dec 78/80 1x2 call spread at 1.5 vs EDZ9 at 97.835

* +4k Green Dec 78/80 1x2 call spread at 1.5 vs EDZ9 at 97.83

* +2.5k Front Jan 82/83 1x2 call spread at 2.5

* +20k Blue Jan 76/75/73 put fly at 2 vs EDH1 at 97.715

* -7.5k Front Jan 86/83 1x2 call spread at 0.75

* -10k Short Jan 77 puts at 1.5 vs EDH9 at 97.905

* -5k Green Dec 77/75 put spread at 4 vs EDZ9 at 97.785

* +2k Short Jan 78 straddle vs Short Mar 78 Straddle at 34.5

* -20k Blue Jan 76/75/73 put fly at 2.5 vs EDH1 at 97.595

* -5k Green Dec 77/75 put spread at 4

* -3.5k Green Dec 77/75 put spread at 3.5 vs EDZ0 at 97.79

* +2k Short Feb 78 straddle at 18 vs EDH9 at 97.915

* +15k front Jun 83/85/86 call fly at 0.75

* +8k Short Jan 81/Blue Jan 80 call spread at 0.25

----------

Prior to 12:51pm ET:

* -2.5k Front Dec 85/86 strangle at 6

* +4k Front Sep 81/80/78 put fly at 2

* +20k Front Sep 80/76 put spread at 9.5

* -7k Front Jan 83/86 1x2 call spread at 0.75

* +4k Front Apr 81/80/78 put fly vs front Jun 81/80/78 put fly vs front Jun

80/78/77 put fly at 3

* -7k Blue Dec 76 straddle vs Blue Jan 76 straddle at 5

* +4k Short Feb 81 calls at 2.5 vs EDH9 at 97.91

* +6k Front Apr 81/80/78 put fly vs front Jun 81/80/78 put fly vs front Jun

80/78/77 put fly at 2.5

* -20k Short Feb 78/76 put spread at 6.5 vs EDH9 at 97.90

* +2.5k Front Mar 76/Red Mar 65 put stupid at 0.5

* 20k Dec7 (EDZ7) 98.50 calls at 0.75

* +2k Dec7 2-yr mid-curve (2EZ7) 97.625 puts at 1.5

* 10k Jan8 98.375/98.625 1x2 call spread at 0.75

Tsy options:

Pit/Screen:

* 2k TYF8 124/122.50 1x2 put spread at '09

* +2.5k TYF8 125 calls at '22

- also before 9:59am ET: Seeing USZ7 152 puts bought at 1 in 1k

- And before 7:43am ET: 1,416 TYZ7 125/124.50 1x1.5 put spread at '19

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

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