US TSYS MILDLY HIGHER: QUIET 2-WAY FLOW; AWAIT FED CHR CHOICE

     US TSYS SUMMARY: Treasuries ended rangebound Monday mildly higher, awaiting

US Pres. Trump to chose a Fed Chair from 5 candidates. Tsys had muted 2way

flows, with end-user long end buying, less corporate rate-lock hedging pressure

vs. last Friday. Tsys bid amid better technicals: cash 10Y hit 2.397% then moved

away from key 2.40%, spurring buying. US high-grade corporate bonds had active

issuance Mon: Citi 5Y/FRN,10Y; Honeywell 2Y/2Y FRN, Procter & Gamble 2Y,3Y,30Y;

BB&T lg 3Y fxd/FRN,7Y Mon. 

- Mon 3m T-bill auction stopped thru to 1.105%, "highest yielding" 3M bill stop

since July 24th. 

- US swaps mixed; mildly steeper $480M 5Y payer (from 2.097% to 2.0825%), $340M

10Y paper (from 2.345% to 2.34705%) before 11:25 am ET. 

- US Eurodlr futures: mildly higher, early buying: 20,000 bought in Dec'17 at

98.495; EDZ8 W/215k total vol. Fed Funds futures: big sprd buy before 10:27am

ET: 22K FFZ7/FFF8, 0.095. 

- Gold jumped around with 18.5K traded on Comex nr 11:55am ET, then ebbed. 

- TSYS 3PM ET: 2Y 1.586%, 3Y 1.701%, 5Y 2.016%, 7Y 2.223%, 10Y 2.377%, 30Y

2.890%.

US TSY FUTURES CLOSE: Trading firmer into the close, but well off early session

highs on modest 2-way flow (TYZ<800k), cross-current positioning, deal-tied

flow, FX-tied buying cooled as US$ strength in first half moderated. Current

futures levels: 

* Dec Ultra bonds up 6/32 at 164-09 (163-20L/164-24H) 

* Dec 30-yr Bond futures up 4/32 at 152-10 (151-28L/152-20H) 

* Dec 10-yr futures up 2.5/32 at 124-29 (124-23L/125-00H) 

* Dec 5-yr futures up 2.5/32 at 117-05.5 (117-01.5L/117-07H) 

* Dec 2-yr futures up 1/32 at 107-22.5 (107-21L/107-23H)

US EURODLR FUTURES CLOSE: Trading mildly higher by the close, upper end narrow

range on modest volume (EDZ8 w/215k). Quiet start to the week, modest two-way

flow w/better buying, short covering in Reds-Blues. Current White pack

(Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.490 

* Mar'18 +0.010 at 98.360 

* Jun'18 +0.015 at 98.250 

* Sep'18 +0.020 at 98.170 

* Red pack (Dec'18-Sep'19) +0.015-0.020 

* Green pack (Dec'19-Sep'20) +0.020-0.015 

* Blue pack (Dec'20-Sep'21) +0.020 

* Gold pack (Dec'21-Sep'22) +0.015-0.010

US SWAPS: Spds running mixed by the closing bell, spd curve mildly steeper all

session. Spds chopped around narrow range w/long end holding near session wides

late. Mixed flow w/receivers in 10s and 12s earlier followed by decent paying in

5s and 10s as intermediates moved off early narrows. Small micro steepener in

10s12s. OTC vol mildly higher in 1-3M10Y, longer vega softer. Pick-up in put

selling (closers) and upside call plays in exchange traded options. Latest

spread levels: 

* 2Y -0.31/23.62 

* 5Y -0.19/7.56 

* 10Y +0.06/-2.31 

* 30Y +0.75/-29.62

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

- Oct 24 Oct Philadelphia Fed Nonmfg Index (33.2, --) 0830ET

- Oct 24 21-Oct Redbook retail sales m/m (-1.4%, --) 0855ET

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

- Oct 24 Oct Markit Mfg Index (flash) (53.1, --) 0945ET

- Oct 24 Oct Richmond Fed Mfg Index (19, --) 1000ET

- Oct 24 US Tsy $26.0B 2-Year Note auction 1300ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* -5,000 Green Dec 76/Blue Dec 75 put strip 4.5 over Blue Nov 75 put

* -3,000 Gold Sep 75/80 2x3 call spds, 25.0, 2 legs over

* 10,000 Red Mar 77/82 call over risk reversals, 0.5 vs. 98.015/0.64%

* +20,000 short Dec 83 puts ,cab

* total -12,000 Dec 85 straddles, 6.25-6.5

* +8,000 Gold Dec 72 puts, 2.5

* +4,000 Red Jun'19 76/78 put spds, 9.0

* +4,000 Green Dec 77 straddles, 23.0

* +7,000 short Dec 80/81 put spds, 6.0

* +5,000 short Nov 78/80 2x1 put spds vs. short Dec 78 puts, 1.0 net

* 1,000 short Dec 78/80/81 call trees, 3.5 vs. 98.07

* 5,250 short Mar 86 calls, 1.0 vs. 98.005

* 2,000 short Jan 76/78 5x2 put spds, 5.0 net

* 1,000 Green Dec 80/81 1x4 call spds, 4.5 net

* Block, +10,000 short Nov 82 calls, 1.0 vs. 98.085/0.10%

#################################

Tsy options

Pit/screen:

* 20,000 TYX 125.25/125.75 call spds, 7- to 6/64 vs.

* 20,000 TYX 124.25 puts, 4/64 vs. 124-29.5

* -2,000 FVZ 117.25/117.75/118.25 2x3x1 call flys, 17.5/64 vs. 117-05.25/0.28%

* 1,500 FVZ 117.25/117.75 2x3 call spds on screen

* 1,600 TYZ 123/127 risk reversals, 0.0 vs. 125-01.5/0.20A%

* Block, -10,000 TYX 126/126.5 call spds, 1/64 vs. 125-03/0.02%

* 2,000 TYX 126.25/TYZ 125 call spds, 33/64 vs. 124-28/0.41%

* +28,000 TYZ 125.5/126.5/127.5 call flys, 10/64, adds to +20k Fri

* -2,000 FVX 117 puts, 6.5/64

* +2,400 TYZ 125/126/128 broken call flys, 23.5

* 2,375 TYX 124/125.5 put over risk reversals, 1/64

* just over 25,000 TYX 124.25 puts from 5- to 6/64. Note: Nov options expire

Friday

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

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