US TSYS OPEN FIRMER, THEN FLATTEN/WEAKEN AMID FX-TIED PRESSURE

     US TSYS SUMMARY: Treasuries ended Mon mainly weaker, 30Y exception, and

flatter after mkt drifted from 2am ET session high price then ebbed more in

early NY action, then tight range since noon ET. Tsys began NY higher, choppy

early NY as markets digested shifting German politics, tough for German leader

Merkel to get coalition govt. German Pres: wants various parties to try

coalition again. Tsys black-box sales as $ rose vs JPY:correlated trade: first

selling wave starting about 8:26am ET, another midmorning. 

- Traders nervous on 2018 rate hikes. GS expects 4 hikes; a head trader at

another firm said Fed dots now price 3 hikes for 2018, while Tsy priced in 1-2.

Some exit Tsys amid bets on tax reform, which cd aid US stks. House, Senate out

this week. 

- Tsy futrs had 9:31am ET block: 5,000 TYZ at 124-26.5, crossed on offer. Cash

5/30Y, 2/10Y Tsys flatteners. Dec/Mar Tsys futrs roll picks up in earnest: heavy

volume. Dec Tsy options expire Fri. 

- US SWAPS: Mostly wider, curve steeper, 10Y taps disinversion; 30Y spd closes

in on -20: 2yr+ high. 

- US STOCKS: DJIA up 0.38%. 

- TSYS 3PM ET: 2Y 1.755%; 3Y 1.855%; 5Y 2.092%; 7Y 2.262%; 10Y 2.368%; 30Y

2.787%

US TSY FUTURES CLOSE: Mostly lower with some long end chop late, near session

lows in 5s and 10s leading move. Current futures levels: 

* Dec Ultra bonds up 4/32 at 167-05 (166-24L/167-31H) 

* Dec 30-yr Bond futures down 1/32 at 153-24 (153-19L/154-14H) 

* Dec 10-yr futures down 6.5/32 at 124-22.5 (124-22L/125-04.5H) 

* Dec 5-yr futures down 5.5/32 at 116-24.5 (116-24.5L/117-01.5H) 

* Dec 2-yr futures down 1.25/32 at 107-14 (107-13.75L/107-16.25H)

US EURODLR FUTURES CLOSE: Trading mostly lower by the bell, short end leads

volume (EDZ7>270k) amid 2-way on lows. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.005 at 98.452 

* Mar'18 -0.020 at 98.275 

* Jun'18 -0.030 at 98.130 

* Sep'18 -0.035 at 98.045 

* Red pack (Dec'18-Sep'19) -0.040-0.035 

* Green pack (Dec'19-Sep'20) -0.035 

* Blue pack (Dec'20-Sep'21) -0.030-0.025 

* Gold pack (Dec'21-Sep'22) -0.020

US SWAPS: Swap spds running mostly wider, spd curve steeper as 10yr taps

dis-inversion, 30yr spd closing in on -20.0 -- 2+ year highs. Relative quiet

session to kick off the week, however, ahead Thanksgiving holiday closings. Flow

included bank and insurance portfolio paying in 30s after two-way in short end.

OTC vol steady to mixed. Latest spread levels: 

* 2Y +0.06/16.56 

* 5Y -0.25/5.75 

* 10Y +0.62/+0.00 

* 30Y +1.50/-21.38

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

- Nov 21 Nov Philadelphia Fed Nonmfg Index (32.2, --) 0830ET

- Nov 21 18-Nov Redbook retail sales m/m (-1.2%, --) 0855ET

- Nov 21 Oct existing home sales (5.39m, 5.39m) 1000ET

- Nov 21 US Tsy $13.0B 2-Year FRN reopening auction 1130ET

- Nov 21 Fed chair Yellen, participation "Conversation with Mervyn King" in New

York, with audience Q&A. Link: https://goo.gl/ciecqC

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* BLOCK: total +50,000 short Dec 78 puts, 1.5

* BLOCK: 10,000 Green Mar 78/80 call spds, 4.0 vs.

* 10,000 Green Mar 75 puts, 3.5

* -6,125 Feb 85 calls, 0.5 vs. 98.29 vs.

* +12,500 Green Dec 77/78 call spds, 7.0 vs. 97.84

* -10,000 Feb 85 calls, 0.5 vs. 98.29/0.06%

* +10,000 Green Dec 75/76 put spds, 1.0 vs. 97.775/0.08

* 5,000 short Apr 75/76/78 broken put trees on a 1x4x2 ratio, 9.5 net/2-leg

over* 4,000 Green Feb/Green May 75 put strip, 8.5

* 5,000 Blue Dec 76/77 put spds, 6.5

* 3,000 Jan 81/82 2x1 put spds, 1.75

* 10,000 Green Dec 75/76 put spds, 1.0 vs. Green Feb 85 calls, 0.5 net

* total 15,500 Green Dec 77/78 call spds, 7.0 vs. 97.84/0.32%

* 2,750 Feb 85 calls, 0.5 vs. 98.29

* 2,500 short Mar 78/80 2x1 put spds, 0.5 vs. 97.95

Earlier trades include

* -6,000 Sep 78/80 put spds, 4.5

* +8,000 Feb 83/85 1x2 call spds, 1.0

* 10,000 Green Feb 75 puts, 2.0 vs. 97.795/0.14% w/

* 10,000 Green May 75 puts, 6.5 cs/ 97.78/0.25%

* 7,000 Mar 81/82 put spds, 3.0

* 5,200 Jun 80/83 put over risk reversals, 1.0 net vs. 98.135

* -4,875 short Dec 76/78/81 put flys, 12.0

* 1,000 short May 75/76/77 put flys, 1.5

* -5,000 Mar 81/82 put spds, 3.0

* Update, total -30,000 Red Dec 75/77 put spds, 4.0 vs. 98.02/0.17% -- likely

closer after same spd bought 50k at 4.25 last week Thu w/futures around 98.01.

* -30,000 Red Dec 75/77 put spds, 4.0 vs. 98.02/0.17%

* + 6,000 short Dec 77/78/80 put flys, 2.5

Tsy options, reminder, Dec options expire Fri's shortened session

Pit/screen:

* 5,000 FVZ 116.7/117 put spds, 10/64

* 1,000 FVF 116.7/117.2/118 call flys, 5/64

* 2,560 FVH 115/119.2 combo, 1.5/64 net/put over vs.

* 2,419 FVZ 115.5/119.2 combo, 0.0

* 2,000 TYZ 125.5/125.7 1x2 call spds, 0.0

* 3,000 TYG 121.5/123 3x1 put spds, 2/64

* 1,400 TYZ 125.2/125.7/126 call trees, 2/64

* Update, >3,000 TYF 124/125.5 call over risk reversals, 4/64

* 1,800 TYH 123/125 2x1 put spds, 29/64 vs. 124-18

* 1,000 USZ 154/155 call spds, 17/64

* +/-2,500 TYZ 117 conversions, 0.0

* -3,000 FVZ 117/117.25 call spds, 3/64

* +1,000 TYZ 125 puts, 12/64

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

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