US TSYS: JACKSON HOLE ECONOMIC SYMPOSIUM IN FOCUS

US TSY SUMMARY: Tsys mixed on average volume by the bell (TYU>1.1M, inflated by

decent Sep/Dec rolling), curves continue to grind flatter w/long end

outperforming. 

-  US$ index climbing, DXY +.544 to 95.690; US$/Yen +.73 to 111.28, US$/Euro

-.0060, 1.1536; equities little weaker (emini -1.0, 2860.25); gold weaker (XAU

-10.97, 1184.86); West Texas crude near steady after strong Wed gains (WTI

-0.06, 67.80). 

- Little react to data today, focus on Fed Chair Powell at Jackson Hole

eco-symposium Friday morning (speech embargoed 1000ET) while headlines from

sidelines may create some vol at symposium mixer later tonight. Listening

closely for news on timing and/or pace of balance sheet run-off. Otherwise,

headline watching for political tail risk continues.

- Generally light 2-way positioning flow, option-tied flow ahead Sep Tsy expiry

Fri, spec selling short end post data, some light profit taking 2s10s

flatteners. Tsy cash/ylds: 2Y 100-01 (2.604%), 5Y 100-05.5 (2.711%), 10Y

100-15.5 (2.817%), 30Y 100-17.5 (2.971%).

US TSY FUTURES CLOSE: Trading mixed with the long end outperforming the short

end, volume (TYU 1.21M), Curves flattening; update:

* 2s10s -1.426, 20.928 (20.388L/22.427H);

* 2s30s -2.507, 36.368 (36.030L/38.875H);

* 5s30s -1.940, 25.917 (25.735L/27.972H);

Current futures levels:

* Sep Ultra bonds up 11/32 at 160-02 (159-20L/160-04H)

* Sep 30-yr Bond futures up 07/32 at 145-22 (145-12L/145-24H)

* Sep 10-yr futures down 0.5/32 at 120-19.5 (120-17.5L/120-22.5H)

* Sep 5-yr futures down 01.5/32 at 113-24 (113-23.5L/113-26.5H)

* Sep 2-yr futures down 0.5/32 at 105-26.75 (105-26.5L/105-27.75H)

US TSY FUTURES: Late update, Sep to Dec futures roll volume update -- big jump

in 5Y roll volume. First notice date: August 31. September future's staggered

expiration on September 19 for 10s, 30s and Ultras, and September 28 for 2s and

5s. Latest volume:

* TUU/TUZ appr 54.7k from 3.5-3.75, 3.75 last; 

* FVU/FVZ appr 686k from 7.25-8.0, 7.5 last;

* TYU/TYZ appr 176.5k from 3.5-4.25, 3.75 last;

* USU/USZ appr 22.2, 24.0 last;

* WNU/WNZ appr 178k, 10.5 last;

MONTH-END EXTENSIONS: *** Bloomberg-Barclays US month-end index extensions

compared to the average increase for the past year and the same time in 2017.

TIPS ext -0.03Y, real -0.03Y; Govt inflation-linked, -0.04Y

*.....................Projected...1Y Avg Incr..Last Aug

*US Tsys.................0.11........0.06........0.11

*Agencies................0.19........0.07........0.05

*Credit..................0.06........0.04........0.09

*Govt/Credit.............0.10........0.05........0.10

*MBS.....................0.08........0.05........0.06

*Aggregate...............0.09........0.05........0.09

*Long Govt/Credit........0.10........0.00........0.12

*Interm Credit...........0.05........0.04........0.07

*Interm Govt.............0.09........0.02........0.09

*Interm Govt/Cred........0.08........0.02........0.08

*High Yield..............0.04........0.01........0.08

US TSY OPTIONS: *** Sep options expire Friday, latest open interest as of Wed's

settle below. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are

auto-exercised. Large 10Y call open interest may be problematic for longs,

watching for roll-outs. 

*            Calls      Puts      Total  Nearest-the-Money Strike Totals

*Sep 30yr   369,385   317,811    687,196  144.50 w/ 15,747 (10,323c, 5,424p)

*                                         145.00 w/ 32,896 (23,072c, 9,824p)

*                                         145.50 w/ 15,899 (13,497c, 2,402P)

*Sep 10yr 1,120,477 1,118,843  2,239,320  120.00 w/ 186,901 (118,519c, 68,382p)

*                                         120.50 w/ 113,074 (87,604c, 25,470p)

*                                         121.00 w/ 135,391 (128,872c, 6,519p)

*Sep 5yr    362,281   782,933  1,145,214  113.50 w/ 80,386 (51,267c, 29,119p)

*                                         113.75 w/ 34,238 (22,877c, 11,361p)

*                                         114.00 w/ 53,731 (50,618c, 3,113p)

*Sep 2yr    169,261   101,651    270,912  105.88 w/ 26,117 (17,662c, 8,455p)

*                                         106.00 w/ 45,944 (43,005c, 2,939p)

US EURODOLLAR FUTURES CLOSE: Trading mixed with most of the strip trading

steady, tight range. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.0025 at 97.6525

* Dec'18 -0.005 at 97.405

* Jun'19 -0.005 at 97.265

* Jun'19 -0.005 at 97.165

* Red pack (Sep'19-Jun'20) EVEN

* Green pack (Sep'20-Jun'21) EVEN

* Blue pack (Sep'21-Jun'21) +0.005-EVEN

* Gold pack (Sep'22-Jun'22) +0.005-EVEN

US DOLLAR LIBOR: Latest settles,

* O/N +0.0004 to 1.9181% (+0.0012/wk)

* 1 Month -0.0013 to 2.0647% (-0.0047/wk)

* 3 Month -0.0004 to 2.3113% (-0.0006/wk)

* 6 Month +0.0036 to 2.5161% (+0.0053/wk)

* 1 Year  +0.0040 to 2.8120% (-0.0010/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.90% prior, $772B

* Broad General Collateral Rate (BGCR): 1.88% vs. 1.89% prior, $415B

* Tri-Party General Collateral Rate (TGCR): 1.88% vs. 1.89% prior, $403B

US SWAPS: Spds running mostly tighter into the closing bell, spd curve steeper

vs. flatter Tsy yld curves. In-line flow on muted volume includes rate receiving

in 2s and 5s after 2-way in 3s earlier. Note, short end inching back to near

lows for the year. Latest spd levels:

* 2Y  -0.56/18.56

* 5Y  -0.31/13.06

* 10Y -0.25/7.25

* 30Y +0.50/-5.50

PIPELINE: $1.25B JP Morgan launched

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

08/23 $1.25B #JP Morgan 2NC1 FRN L+23

-

$3.65B priced Wednesday

08/22 $1.75B *Bank of America 2NC1 L+25

08/22 $1B *Nordea $250M 5Y FRN L+94, $750M 5Y fix +108

08/22 $500M *ZB N/A 3Y +93

08/22 $400M *Timken 10Y +170

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

- Aug 24 KC Fed Annual Economic Symposium, Jackson Hole, Wyoming day 2

- Aug 24 Jul durable goods new orders (0.8%, -1.2%) 0830ET

- Aug 24 Jul durable new orders ex transport (0.2%, 0.4%) 0830ET

- Aug 24 KC Fed Annual Eco Symposium, Fed Chair Powell intro 1000ET

- Aug 24 Q3 St. Louis Fed Real GDP Nowcast (3.69%, --) 1100ET

- Aug 24 Q3 NY Fed GDP Nowcast (2.39%, --) 1115ET

- Aug 25 KC Fed Annual Economic Symposium concludes, Jackson Hole, Wyoming

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen:

* -10,000 Short Sep 71 calls at 4.5

* 6,000 Green Sep 70 puts at 3 vs 9708/0.30%

* 5,000 Short Oct 68 puts at 2 vs 9706/0.14%

* 5,000 Short Mar 63/66 put sprd at 3 vs 9706/0.10%

* +7,000 Green Sep 71/73 call spds vs. Green Dec 72/78 call spds, 4.0

net/package

* +3,000 Dec 66/67/68 put flys, 1.5 

* +10,000 Short Sep 72 calls at 2 vs 9711.5/0.20%

* 16,000 Short Sep 68/70/71 put tree at 4.5

* 5,000 Green Dec 67/68/70 put tree at 1 vs 9707/0.10%

* -20,000 Short Dec 75 calls at 3 vs 9705/0.16%

* -15,000 Mar 73 calls at 8.5 vs 9728/0.38%

* 5,000 Short Jan 71/73/75/77 call condor at 5 vs 9708.5/0.10%

* -10,000 70/71/72/73 Put Condor at 3.75, adding to recent -30k blocked

Block, 09:31:15ET,

* -30,000 70/71/72/73 Put Condor at 3.75, unwind +60k Mon at 4.5

* +5,000 Short Oct 70/71/72/75 call condor at 3.5 vs 9709/0.10%

* -5,000 Oct 72 puts at 0.5 vs 9741/0.08%

* +23,000 Sep 76 puts at 0.75

* 25,000 (pit/screen) Long Green Dec 50/55 put sprd at 1

Tsy options, Pit/screen (reminder Sep options expire Fri):

* 10,000 TYZ 109.5 puts with 10Y Ultra 178 calls at CAB-7, on going

* -1,500 FVZ 121.5/122.5 2x3 cll spds, 10/64

* 1,000 TYU 120.5 calls, 9/64 vs. 120-18/0.60%

* 2,800 TYV 120/121 call over risk reversal at 3 vs 120-21/0.64%

* +2,000 FVZ 112.5/113 2x1 put sprd at 1

* +2,000 FVX 112.5/113 2x1 put sprd at 1

Large Dec 5Y put buyer on screen, paying up in

premium after heavier sub-cab buying in OTM Dec puts this week -- replacing soon

to expire downside Sep insurance

* over +93,000 FVZ 110 puts, 1.5 last minute

* 2,000 FVV 113 puts, 6/64 vs. 113-17/0.18%

* 1,500TYU 120.5/TYV 121 call spds, 6/64

* 1,000 TYV 119/120 put spds, 13/64

Earlier screen trade:

* +3,000 USU 144 puts, 1/64

* -1,000 USU 146 calls, 8/64

* +2,000 TYX 120 puts, 29/64

* -3,000 TYX 119 puts, 12/64

* small sale TYU 120.5 straddles, 17/64

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

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