US TSYS HIGHER ON WEAK CAR SALES, SOFT OIL, CREDIT CARD NERVES

     US TSYS SUMMARY: Treasuries ended Tue higher, flatter after gain on

short-covering, fast$ futures buying on weak US car sales. Tsys digested US 0.1%

June core PCE px index, 1.5% yr/yr, flat total PCE px index, unchgd Jun personal

inc, 0.1% nominal PCE. Tsys then rose on weak US car sales: Fiat-Chrysler US car

sales 18,721 July; Ford US car sales 48,259; GM US car sales 45,060, total 8.72M

SAAR. Tsys buying in 10Y futures and Classic Bond futures pulled up cash Tsys. 

- Spec buyers fueled Tsys rally, dragged up EGBs, Gilts. Talk of sell stocks/vs

buy bonds for mo-end. WSJ said "credit card losses flash warning:" big 2Q US

card issuers' avg net chargeoff rate hit 3.29%, most in 4 yrs. 

- Tsy futures had a block sale of 5,088 TYU 10 Futrs at 8:32am ET, 10am ET sale

of 5,000 TYU 10Y Futures at 125-30.5, block 3,000 USU Lg Bond at 153-17, sell

thru 153-19 bid at 10:20am ET post time. Lg end Tsys rose: weak US$, crude oil

drop. Later blocks: 2:10pm ET buy of 3,000 USU at 153-30; 9,000 buy of TYU

126-06 at 1:47 pm. 

- US swaps mixed. 

- US TSY 3PM ET: 2Y 1.347%, 3Y 1.489%, 5Y 1.798%, 7Y 2.067%, 10Y 2.251%, 30y

2.851%.

US TSY FUTURES CLOSE: Higher across the curve, long end outperforming but paring

late session gains on thin volume. Quiet ahead Wed's ADP private employ number

(+175k est). Current futures levels: 

* Sep Ultra bonds up 1-13/32 at 165-29 (163-20L/166-03H) 

* Sep 30-yr Bond futures up 31/32 at 153-301 (152-09L/154-03H) 

* Sep 10-yr futures up 10/32 at 126-06.5 (125-21.5L/126-08H) 

* Sep 5-yr futures up 4.25/32 at 118-09 (118-01L/118-09.75H) 

* Sep 2-yr futures up .5/32 at 108-06 (108-04.5L/108-06.25H)

US EURODLR FUTURES CLOSE: Higher, long end of strip outperforming, near late

session highs on modest overall volume. Current White pack (Jun'17-Mar'18): 

* Sep'17 +0.000 at 98.670 

* Dec'17 +0.005 at 98.555 

* Mar'18 +0.005 at 98.475 

* Jun'18 +0.005 at 98.415 

* Red pack (Sep'18-Jun'19) +0.010-0.025 

* Green pack (Sep'19-Jun'20) +0.025-0.040 

* Blue pack (Sep'20-Jun'21) +0.040-0.050 

* Gold pack (Sep'21-Jun'22) +0.050-0.055

EDT US SWAPS: *** Spds hold mixed lvls by the bell after narrowing in early

trade, light swap flow included sporadic rate paying tied to hedge acct story

losing ground to incoming supply (KFW and ADB) today. Sources noted receiving in

the intermediates by leveraged$ earlier in addition to two-way flow from specs

positioning differing opinions over possible increased auction sizes. Latest

spread levels: 

* 2Y -0.62/24.06 

* 5Y +0.19/7.25 

* 10Y -0.06/-4.69 

* 30Y +0.06/-34.38

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

- Aug 02 28-Jul MBA Mortgage Applications (0.4%, --) 0700ET

- Aug 02 Jul ADP private payrolls (158K, --) 0815ET

- Aug 02 US Treasury Aug. Quarterly Refunding Announcement 0830ET

- Aug 02 Jul ISM-NY current conditions (55.5, --) 0945ET

- Aug 02 Aug help-wanted online ratio (1.24, --) 1000ET

- Aug 02 28-Jul crude oil stocks ex. SPR w/w (-7.2M bbl, --) 1030ET

- Aug 02 Cleveland Fed Mester, Comm Bkrs Assn Ohio Q/A 1100ET

- Aug 02 SF Fed Williams: MonPol/Sustainable Growth Las Vegas Q/A 1530ET

Eurodollar/Treasury option summary

Eurodollar options,

Block:

0825ET more in pit/screen

+10k E2Z 85c, 2.5

Pit/screen:

+24k EDU 87c, 0.5

8k EDZ 83/85p spds, 2.75

-7k EDU 87 straddles, 6.5

-4k EDU 82/EDZ 81p strip, .75

+4k EDZ 77/82p spds, 14.0

4k EDZ 83/85p spds, 3.25

3k EDZ 83/86 strangles, 4.0 vs. 98.43/0.15%

2k EDZ 87c vs. 1k EOZ 85c, 2.0

1.5k EDU18 83 straddles, 31.5

+10k EOQ 82/E2Q 80p spds, 0.5, steepener/E2Q ovr

8k EOZ 80/81 2x1p spds, 0.5cr/2-legs ovr

4.25k EOM 75/77/80p trees vs. EOM 85c, 0.5

4k EOZ 80/81 3x2p spds, 3.0

+5k EOU 81/83 2x1p spds, 7.0 vs. 98.34/0.44% vs.

-5k EOZ 78/81 2x1p spds, 3.5 vs. 98.255/0.13%

-2k EOU 83 straddles, 12.0 vs. 98.34/0.25%

1.4k EOM 76/86 strangles, 10.0

+11k E2Z 85c, 2.5, also Blck'd

+4k E2U 80/81/83c flys, 1.0

1.5k E2Z 76/77p spds, 2.0

1.5k E2Z 82/83p spds, 3.0

-1k E2Z 80c, 17.0

Tsy options

Pit/screen:

+40k wk2 TY 124+/125p spds, 2

21.3k TYU 123+p, 2

20.9k TYU 124p, 3

20k TYU 125p, 9

+15k TYU 125.2p, 12

-5k TYZ 124/126/128p flys, 37

+5k TYU 127c, 11

-3k TYU 125+/127 1x2c spds, 27

2.58k TYU 123+/124/125p flys

-2k TYX 123+/128 strangles, 33

+1k TYU 126 straddles, 62

-1k TYU 125.2/126.7 strangles, 26

+1k wk1 TY 126/126.25c spds, 5

+2k FVU 118+/119c spds, 7.5

+2k FVU 117.2/117+/117.7/118p condors, 3.5

-1k FVU 118+c, 6 vs.

+250k USU 155c, 25, flattener

+2k USU 148/149p spds, 6

1.5k USU 157/159 1x2c spds, 2

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

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