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USDCAD TECHS

Solid Bounce

AUDUSD TECHS

Reverses In Style

EURJPY TECHS

Accelerates Off Bull Trigger

USDJPY TECHS

Still Pointing Higher

EURGBP TECHS

Bouncing Well

GBPUSD TECHS

Bulls Press Pause

     
US TSY SUMMARY: Tsys see-sawed in lower range all day, off lows by the bell as
equities continued to recover from last week's shellacking. Multiple factors at
play for the apparent risk-on move include month-end rebalancing flow.
- Data picked up today: w/stronger than exp Oct ADP private payrolls (+227k;
smaller than anticipated Sep down-revision to +218k), Oct MNI Chicago PMI little
weaker than expected (58.4 vs. 60.0 est).
- Decent volume belied rather subdued trade w/many close to sidelines ahead
Fri's jobs report, next week's midterm elections and FOMC (no change expected
from Fed).
- Two-way flow w/better sellers on net, prop and fast$ acct buying intermediates
late morning. Modest corp deal-tied hedging, swap-tied selling in short to
intermediates, decent two-way in 5s.
- Tsy futures nearly extended session lows late on pick-up of month
end/rebalancing flow (TYZ volume gained over 125k in last 10 minutes), lrg 15
FVZ Block buy 112-13. Tsy cash/ylds: 2Y 100-00 (2.873%), 5Y 99-15.5 (2.985%),
10Y 97-21.5 (3.151%), 30Y 92-21.5 (3.392%).
MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index
extension/forecast summary compared to the average increase for the past year
and the same time in 2017; TIPS 0.06Y; Govt inflation-linked, 0.06Y
*.....................Projected...1Y Avg Incr..Last Oct
*US Tsys.................0.06........0.08........0.06
*Agencies................0.19........0.08........0.07
*Credit..................0.06........0.09........0.04
*Govt/Credit.............0.06........0.08........0.06
*MBS.....................0.06........0.07........0.07
*Aggregate...............0.06........0.08........0.06
*Long Govt/Credit........0.05........0.10........0.06
*Interm Credit...........0.06........0.08........0.04
*Interm Govt.............0.06........0.08........0.07
*Interm Govt/Cred........0.06........0.08........0.06
*High Yield..............0.07........0.08........0.07
US TSY FUTURES CLOSE: Long end falls to new session lows at the close but has
since pared some of those loses; Trades moderately lower near the bottom of the
range; strong volume (TYZ 1.68M); curves steeper; update:
* 2s10s +0.820, 27.610 (26.170L/28.016H);
* 2s30s +0.877, 51.768 (49.168L/52.579H);
* 5s30s +0.354, 40.929 (38.217L/42.030H);
Current futures levels:
* Dec Ultra bonds down -1-02/32 at 149-11 (149-02L/150-08H)
* Dec 30-yr Bond futures down 23/32 at 138-06 (138-01L/138-24H)
* Dec 10-yr futures down 10/32 at 118-15 (118-11.5L/118-21.5H)
* Dec 5-yr futures down 6.75/32 at 112-12.5 (112-10.5L/112-17H)
* Dec 2-yr futures down 2.25/32 at 105-10.25 (105-9.75L/105-11.75H
US EURODOLLAR FUTURES CLOSE: Holds weaker into the close, near middle of the
range, moderate volume. Current White pack (Dec'18-Sep'19):
* Dec'18 -0.015 at 97.255
* Jun'19 -0.015 at 97.110
* Jun'19 -0.030 at 96.965
* Sep'18 -0.040 at 96.870
* Red pack (Dec'19-Sep'20) -0.050
* Green pack (Dec'20-Sep'21) -0.050-0.045
* Blue pack (Dec'21-Sep'21) -0.045-0.040
* Gold pack (Dec'22-Sep'22) -0.045
US DOLLAR LIBOR: Latest settles, 
* O/N -0.0070 to 2.1730% (-0.0037/wk)
* 1 Month +0.0075 to 2.3068% (+0.0101/wk)
* 3 Month +0.0175 to 2.5585% (+0.0382/wk)
* 6 Month +0.0039 to 2.8001% (+0.0234/wk)
* 1 Year +0.0129 to 3.0837% (+0.0270/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.18% prior, $788B
* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $412B
* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $396B
SWAPS: Not much change in spds since this morning, wings still wider vs. tighter
intermediates, short end paring move slightly. Late morning to midday flow
includes decent wo-way in 5s, mild spd curve flatteners in 2s vs. 3s and 5s,
2s3s10s fly, paying the belly. Early session flow included spd curve flatteners
in 2s vs. 5s and 10s, 3s7s flattener, flys include 2s3s10s and 3s6s7s, paying
the belly. Deal-tied paying amid decent swappable supply. Latest spd levels:
* 2Y +0.25/20.12
* 5Y -0.25/15.12
* 10Y -0.06/6.81
* 30Y +0.75/-10.50
PIPELINE: $500M BNG 3Y Priced
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
10/31 $1B *Swedish Export Credit WNG 3Y +6
10/31 $500M *BNG Bank WNG 3Y +5
10/31 $600M Canadian National 2Y +35a, 30Y +115a
10/31 $Benchmark Daimler Finance 3Y fix +85a, 3Y FRN L -equiv
OUTLOOK: *** Data/speaker calendar (prior, estimate): 
- Nov 01 Oct NA-made light vehicle sales SAAR (10.2m, --) 
- Nov 01 Oct challenger layoff plans (70.9%, --) 0730ET
- Nov 01 27-Oct jobless claims (215k, 215k) 0830ET
- Nov 01 Q3 non-farm productivity (p) (2.9%, 2.6%) 0830ET
- Nov 01 Q3 unit labor costs (p) (-1.0%, 0.6%) 0830ET
- Nov 01 Oct Markit Mfg Index (final) 0945ET
- Nov 01 28-Oct Bloomberg comfort index (60.1, --) 0945ET
- Nov 01 Oct ISM Manufacturing Index (59.8, 59.0) 1000ET
- Nov 01 Sep construction spending (0.1%, 0.1%) 1000ET
- Nov 01 NY Fed Exec VP Stiroh, Risk Mngmnt, FT Bank Forum, NY, Q&A. 1010-1025
- Nov 01 26-Oct natural gas stocks w/w 1030ET
- Nov 01 31-Oct Fed weekly securities holdings 1630ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen: 
Block, 14:04:10ET,
* +10,000 Mar 68/70/71 2x3x1 put fly, 1.5, adds to +10k earlier at 1.25
Block, 12:43:14ET, taken down on question over price
* -10,000 Long Green Dec 62/75 Strangle at 35.25
* +10,000 Green Nov 65/66 2x1 put sprd at 0.5
* +5,000 Front Feb/Front Mar 70 put sprd at 0.75
* +4,000 short Dec 70 calls, 0.5
* -5,000 Red Mar 67 puts, 24.5 vs. 96.795/0.10%
* -2,500 short Dec 68/70/71 2x1x1 put trees, 4.0
* +10,000 Red Mar 60/65 2x1 put sprd at 8
* +12,500 Mar 68/70/71 2x3x1 put fly, mostly 1.25
* +4,000 Green Nov 66/67 2x1 put spds, 2.5
* +3,000 Red Jun 61 puts, 8.0
* -5,000 Dec 71 Straddle at 14.5
* -3,500 Short Dec 66 puts at 1.5 vs 9681.5/0.10%
* +2,500 Dec 72/73/75 call fly at 2.75
* 2,000 Short Mar 65/72 call over risk reversal at 0
Tsy options, Pit/screen:
* -2,000 TYZ 118.5 straddles, 1-0/64
* scale seller -6,000 TYF 117/119 strangles, 45/64 (TYZ 118.5 straddle trades
down to 63
* +/-3,000 TYZ 116/121.5 risk reversals, 0.0
* 1,500 TYZ 116 puts, 2/64 vs. 118-13
* +2,000 USF 132/134 put spds, 15/64
* 1,000 TYZ 119.25/120 2x3 call spds, 5/64
* 4,700 FVZ 111.25/111.50/111.75 put tree at 0 vs 16.25/0.03%
* -1,000 TYZ 118.5 straddles, 1-1/64
* +1,000 TYF 118 straddles, 1-30/64
* +2,000 wk2 TY 117/117.5 put strip, 8/64
Late overnight screen trade by the open included:
* 20,000 FVZ 112 puts
* 10,500 FVZ 112.25 puts, 12/64 last
* 15,300 FVZ 112.5 puts, 20/64 last
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com