US TSYS: ITALIAN POLITICS SHAKING GLOBAL MARKETS

US TSY SUMMARY: Tsys surged late, blowing past late overnight highs in last hour

of trade; Tsy ylds tumble, 10YY 2.785%. Poor liquidity on return from extended

holiday, others plying sidelines ahead heavy data this wk, NFP Fri (+194k est).

- USD index higher (DXY +0.382, 94.880; US$ vs. Yen -0.98, 108.44); stocks

crushed (emini -42.0, 2676.25); gold firmer (XAU +4.93, 1303.03). West Texas

crude adding to last wk's rout (WTI -1.19 to 66.69).

- Rate rally overdone if only reacting to Italian political risk that spurred

heavy safe-haven/risk-off buying in Bunds and Tsys. No deal-tied flow, HEAVY

Jun/Sep futures rolling inflating volume (TYM>4.9M; TYM/TYU>1.8M), heavy option

volume favoring upside calls/bull spds. Vol index VIX climbs to 18.33. Rate hike

probability retreating, June only 72%, w/Dec close second at 64% after both

tapped 100% last wk.

- Tsy cash/ylds: 2Y 100-10.5 (2.327%), 5Y 100-22.75 (2.596%), 10Y 100-24.5

(2.785%), 30Y 102-26 (2.981%).

US TSY FUTURES CLOSE: Trading at the top of the range just off new session highs

late, curves steepening, update:

* 2s10s +0.015, 45.162 (45.826H/41.037L);

* 2s30s +3.470, 64.685 (65.586H/58.959L);

* 5s30s +5.646, 38.164 (39.277H/32.920L);

Current futures levels:

* Jun Ultra bonds up 3-04/32 at 160-10 (156-20L/161-02H)

* Jun 30-yr Bond futures up 2-11/32 at 146-01 (143-09L/146-02H)

* Jun 10-yr futures up 1-08/32 at 121-03.5 (119-21.5L/121-09.5H)

* Jun 5-yr futures up 26/32 at 114-16 (113-18.25L/114-19.75H)

* Jun 2-yr futures up 09.25/32 at 106-13 (106-02L/106-14.25H)

US TSY FUTURES: Late update -- heavy Jun/Sep roll volume. June future's

staggered expiration on June 20 for 10s, 30s and Ultras, and June 29 for 2s and

5s; expect to see a surge in volume as September futures go "top step" on May

31. Latest volume:

* TUM/TUU appr >1M from 4.25-6.0; 4.5 last

* FVM/FVU appr >1.8M from 7.5-9.5; 7.75 last

* TYM/TYU appr >1.7M from 9.5-10.5; 9.5 last

* USM/USU appr 232k, 27.5 last

* WNM/WNU appr 239k, 22.75 last

US EURODOLLAR FUTURES CLOSE: 

US DOLLAR LIBOR: Latest settles,

* O/N +0.0013 to 1.7085% (+0.0000 last wk)

* 1 Month +0.0047 to 1.9803% (+0.0229 last wk)

* 3 Month -0.0109 to 2.3072% (-0.0113 last wk)

* 6 Month -0.0118 to 2.4700 (-0.0169 last wk)

* 1 Year -0.0238 to 2.7075% (-0.0365 last wk)

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

* Secured Overnight Financing Rate (SOFR): down to 1.73% vs. 1.74% prior, $749B

* Broad General Collateral Rate (BGCR): down to 1.70% vs. 1.71% prior, $367B

* Tri-Party General Collateral Rate (TGCR): down to 1.70% vs. 1.71% prior, $351B

US SWAPS: 

PIPELINE: Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

No new early week issuance

-

No new issuance on Fri's shortened/pre-holiday session, $22B priced on week

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

- May 30 25-May MBA Mortgage Applications (-2.6%, --) 0700ET 

- May 30 Apr ADP private payrolls (204k, --) 0815ET 

- May 30 Q1 GDP (2nd) (2.3%, 2.3%) 0830ET 

- May 30 Q1 GDP Price Index (2.0%, 2.0%) 0830ET 

- May 30 Apr advance goods trade gap (-68.3b USD, --) 0830ET 

- May 30 Apr advance wholesale inventories (0.5%, --) 0830ET 

- May 30 Apr advance retail inventories (-0.4%, --) 0830ET 

- May 30 26-May Redbook retail sales m/m (0.0%, --) 0855ET 

- May 30 May help-wanted online ratio (1.24, --) 1000ET 

- May 30 May Dallas Fed services index (14.5, --) 1030ET 

- May 30 Fed Reserve Beige Book for upcoming June FOMC 1400ET 

- May 30 Apr farm prices (4.5%, --) 1500ET

- May 30 Fed Brd of Gov's, public comment on modification proposal to "Volcker

rule", DC 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Green Dec 65/72 2x1 put sprd at 19.5 vs 9717/0.25%

* 5,000 Long Red Dec 71 straddle at 55

UPDATE: Total 40,000 Short Jun 73 straddle at 14.5 vs 9732.5-4.5/0.12%

UPDATE: Total 10,250 Short Jul 71 puts at 4 vs 9727.5/0.25%

* 6,000 Dec 73 puts at 6.5 vs 9746/0.40%

* 5,250 Short Jul 71 puts at 4 vs 9727.5/0.25%

* 5,000 Dec 72 puts at 3 vs 9751.5/0.10%

* 30,000 Short Jun 73 straddle at 14.5 vs 9734.5/0.12%

UPDATE: Total 25,000 Mar 68/70 put sprd at 1.5 vs 9741-34.5/0.10%

* 4,000 Short Jul 70/71/72 put fly at 2.5

* 4,000 Short Sep/Green Sep 77 calls at 0

UPDATE: Total +60,000 Jun 78 calls at 0.25, Note 44k block at cab about a half

hour ago

* total 20,000 Mar 68/70/75 broken put flys, 16.0 vs. 97.38-.41/0.60%

block, 1155:28-:48ET,

* total +44,000 Jun 78 calls, cab

* 15,000 Mar 68/70 put sprd at 1.5 vs 9734.5/0.10%

* 10,000 Mar 70/75 put sprd at 20 vs 9736/0.50%

block, 1110:45ET,

* 10,000 short Dec 66/68 put spds, 4.5

* 3,250 Sep 76/77 call sprd at 3.5 vs 9758/0.10%

* 3,250 Jul 76/77 call sprd at 2.5

* -100,000 Dec 72/73 put sprd vs Dec 77 calls for net 1 vs 9774.5/0.30% (put spd

unwind)

* 3,000 Sep 73 put at 1 vs 9758/0.05%

* 6,000 Blue Jun 71/73 call sprd at 4 vs 9707/0.30%

* 3,500 Green Jun 71 straddle at 13.5

* 4,000 Jun 76 put at 0.75 vs 9770/0.18%

* 3,000 Dec 75 calls at 8.5 vs 9744.5/0.42%

* 9,000 Green Mar 85 call at 1.5 vs 9710.5/0.10%

* 4,000 Short Jun/Short Sep 75 2x1 calls at 2.5

* 11,000 Short Jun 71/73 2x1 put sprd at 12

* 9,000 Dec 71/72/73 put fly at 2

* 3,000 Long Red Dec 62/70 1x2 call sprd at 26 vs 9712.5/0.20%

* 5,000 Green Jul 73 calls at 2.5 vs 9711/0.05%

UPDATE: Total 51,000 Long Red Sep 65 puts at 2 vs 9717/0.10%

Block, 0829:07ET

* 10,000 Mar 70/75 put spds, 20.0 vs. 97.36/0.50%

* 39,000 Long Red Sep 65 puts at 2 vs 9717/0.10%

* 4,000 Dec 72/75 put sprd at 10 vs 9745.5/0.35%

Tsy options, Pit/screen:

* +22,000 FVQ 110.25 puts, 1/64 -- still bid

block, 1148:21ET, close enough to 1:1, adds to +10k

in pit at 6/64

* 26,100 TYN 117.5 puts, 1/64

* 25,896 TYN 119 puts,7/64

* 2,500 FVM 114/114.5 1x2 call spds, 1/64

* 5,000 FVQ 115calls, 9/64 vs. 113-30.5/0.15%

* +6,000 FVN 114.7/FVQ 115 call strip, 13.5/64 vs. 113-31

* +6,000 FVN 114.7/FVQ 115 call strip, 13.5/64 vs. 113-31

* 5,000 TUQ 105.6/105.8 put spds, 5/64 vs. 106-05.7

* 2,000 TYU 118/122 call over risk reversals, 2/64 vs. 119-30.5

* 2,500 FVQ 113.75 straddles, 59.5- to 60/64

* -5,250 FVN 114 calls, 13/64 vs. 113-21.5/0.32%

* +4,500 FVQ 115 calls, 8.5/64

* 1,500 FVQ 113.75 straddles, 59.5/64

Implied vols moving around/real vol delivering w/underlying making run higher

again

* +5,500 TYN 120 straddles from 63- to 1-0/64 recently, appr 10k on day

* +6,500 FVN 114/114.5 1x2 call spds, 0.0

* 5,000 TYU 118.5/119 put strip vs. 7,500 TYU 117/117.5 put strip vs.

119-30/0.50% earlier, 53/64 net debit earlier

* 10,000 TYN 119 puts, 9/64 vs. 120-00 to -01

* -2,000 TYN 120 straddles, 63/64

* 3,000 wk2 FV 114 calls, 8.5/64 vs. 113-24/0.34%

Some screen trade highlights

* >-20,000 TYN/TYU 120 call spds, 26- to 30/64

* +15,000 TYN 121/122 call spds, 5/64

* +15,000 TYN 122 calls, 6/64

* +10,000 TYN 121.5 calls, 8/64

* +10,000 FVQ 115 calls, 8/64

* 5k TYN8 119/118.5 1x2 put spread at '01

* -10k TYN8 122 calls at '06

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

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