US TSYS HIGHER, BIG BLOCK BUY 10Y TSY FUTR;2/10Y CASH FLATTNER

     US TSYS SUMMARY: Treasuries end choppy Wed higher/flatter after higher US

open, more buying, but midmorning peak after digested 0.1% Oct CPI/0.2% Core

CPI. Tsys saw a large post-CPI 2/10Y cash Tsys flattener and massive 23,826

block buy at 8:59am ET of TYZ 10Y Tsy futures at 125-03, equiv US$1.85M DVO1.

- But Tsys reversed off high in choppy trade. Investors cited weak real wage

data, breaking multi-decade US Tsy 5/30Y support line. Another block occurred of

5,000 TYZ at 124-28 at 11:22am ET,cross on bid, and a sale of 4,000 EDH 1-yr

Eurodlr bunds (Red Mar'19 thru Green Dec'19). Mkt had 8:12am ET 8,000 buy of TYZ

at 125-01.5 buy through. 

- Tsys heavy volume, bull flattener, 2/10s curve hit 10+ year low, +63.882.

Yrend worry, risk off, tax reform/debt ceiling nerves fueled bid. Firm US$/yen

pressured Tsys. 

- US swap spds mixed; steeper; earlier front end fly, rate receiving, better

rate and spd paying in intermeds, long end by prop and fast$. Tsy 3/10/30Y

auctions settled. Traders eyed yrend $ fundg shortage. US, EU junk bonds weak.

TSYS 3PM: 2Y 1.687%; 3Y 1.801%; 5Y 2.038%; 7Y 2.218%; 10Y 2.336%; 30Y 2.782%

US TSY FUTURES CLOSE: Trading broadly higher by the closing bell, just off

session high on heavy volume (TYZ>1.6M); 2s10s yld curve flattens to new 10-year

lows (-3.513 to 64.534). Current futures levels:

* Dec Ultra bonds up 1-23/32 at 167-15 (165-31L/167-22H) 

* Dec 30-yr Bond futures up 1-4/32 at 154-00 (153-01L/154-09H) 

* Dec 10-yr futures up 10/32 at 125-01.5 (124-24.5L/125-07H) 

* Dec 5-yr futures up 3.5/32 at 117-01.5 (116-30.5L/117-05.25H) 

* Dec 2-yr futures up .5/32 at 107-17.25 (107-17L/107-19H)

US EURODLR FUTURES CLOSE: Holding higher after the bell, just off top end of

range on heavy volume in Whites through Reds on the day, EDZ8 in lead w/just

over 400k. Heavy option volume as well, some exiting Dec put positions amid

otherwise ongoing rate hike insurance for early to mid-2018. Current White pack

(Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.467 

* Mar'18 +0.010 at 98.310 

* Jun'18 +0.010 at 98.185 

* Sep'18 +0.010 at 98.105 

* Red pack (Dec'18-Sep'19) +0.020-0.035 

* Green pack (Dec'19-Sep'20) +0.030-0.040 

* Blue pack (Dec'20-Sep'21) +0.045-0.050 

* Gold pack (Dec'21-Sep'22) +0.055-0.060

US SWAPS: Rather quiet session for swaps, spds running mixed by the closing

bell, spd curve steeper in the face of bull flattening in Tsy curve all session.

Aside from early front end fly and rate receiving, better rate and spd paying in

intermediates to long end by prop and fast$ accts noted. OTC vol steady/mixed,

1-3M gamma on 10Y tails mildly higher on the rate rally. Latest spread levels: 

* 2Y -0.88/17.62 

* 5Y -0.25/5.62

* 10Y +0.12/-1.56 

* 30Y +0.38/-24.54

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

- Nov 16 11-Nov initial weekly jobless claims (239, 235k) 0830ET

- Nov 16 Oct imports price index (0.7%, 0.4%), exp price ind (0.8%, --) 0830ET

- Nov 16 Nov NY Fed Business Leaders Index (5.7, --) 0830ET

- Nov 16 Nov Philadelphia Fed Mfg Index (27.9, 25.0) 0830ET

- Nov 16 Clevld Fed Mester: keynote Cato Inst annl conf; DC; Q/A 0910ET

- Nov 16 Oct industrial production (0.3%, 0.5%) 0915ET

- Nov 16 Oct capacity utilization (76.0%, 76.3%) 0915ET

- Nov 16 12-Nov Bloomberg comfort index 0945ET

- Nov 16 Nov NAHB home builder index (68, --) 1000ET

- Nov 16 10-Nov natural gas stocks w/w (+15 Bcf, --) 1030ET

- Nov 16 US Tsy $11.0B 10-Yr TIPS reopening auction 1300ET

- Nov 16 Dal Fed Kaplan at "CFA Society Houston"; Q/A 1310ET

- Nov 16 Fed Gov Brainard keynote FinTech Conf; UMich Ann Arbor 1545ET

- Nov 16 15-Nov Fed weekly securities holdings 1630ET

- Nov 16 NY Fed VP Potter on Reducing Fed's Bal Sheet, NASP NY Sympo, 1630ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* -5,000 Green Dec 77 puts, 2.5

* -5,000 short Feb 78 puts, 4.5

* -5,000 short Jun/short Sep 71/72/75 put fly strip, 4.0

* total -20,000 short Apr 75/77 put spds, 4.0-4.25

* total -20,000 short Feb 78 puts w/short Apr 76/78 put spd strip, 12.0

Latest Block, 1141:54ET,

* 10,000 short Mar 76/78 put spds, 5.5

* 10,000 Sep 76/77 2x1 put spds, 4.0

* 5,000 short Dec 82 calls, 1.0 vs. 98.08/0.10%

* 4,500 Blue Mar 81/83 1x2 call spds, 0.5 vs. 97.71/0.10%

Latest Block, 0950:27ET, adds to appr 30k Blocked pre-open, same levels

* 10,000 short Mar 82/83 call spds, 1.5 vs. 98.00/0.10%

* 20,000 short Feb 78 puts, 4.5 vs 97.985/0.30%

* 20,000 short Apr 76/78 put spds, 7.5 vs. 97.93/0.26%

* 5,000 short Feb 78 puts, 4.5

* +25,000 Jun 80/81 put spds, vs. Jun 83 calls, 0.5 net debit

* 5,000 short Sep 75/85 put over risk reversals, 4.5 vs. 97.855

* 2,000 short Feb 78/80 strangles, 14.0 vs. 98.005

* total -25,000 short Dec 80 straddles, 10.0 -- pit still bid as futures rally

Heavy pre-open volume over 430k, highlights

* >53,000 (40k Blocked) short Dec 80 puts, 3.0

* >35,000 (30k Blocked) short Mar 82/83 call spds

* 8,250 short Jun 80/Green Jun 78 call spds, 3.0

* >30,000 Mar 83/85 call spds

* 26,500 Jun 80/81 put spds

* 10,000 Feb 83/85 1x2 call spds

* 55,750 (20k Block) Green Mar 85 calls, 1.0

Latest Block, 0703:22ET, adds to 15k earlier Block

* 14,437 short Mar 82/83 call spds, 1.5 vs. 97.99/0.08%

Tsy options

Pit/screen:

* 3,400 FVZ 117 straddles, 18.5/64

* 4,000 TYF 122.5/124 put spds, 17/64 vs. 124-27.5/0.20%

* 1,750 TYG 122.5 puts, 10/64 vs. 124-22

* 1,000 TUZ 107.5/107.7 put spds, 12/64 vs. 107-17.2

* +2,000 TYZ 125.25 calls, 13/64 vs. 125-03

* +4,000 FVZ 117/FVF 116.25 put spds, 10/64

* -1,000 USF 153 straddles, 25/64

* +5,600 TYZ 123/124 3x2 put spds, 2/64

* -4,100 TYF 126 calls, 11/64 on screen

* 2,255 TYZ 124/124.75 2x1 put spds, 5/64 on screen

* 1,800 TYZ 123/124 3x2 put spds, 2/64

* +5,000 FVF 117 calls, 17/64

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

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