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USDCAD TECHS

Consolidation Mode

AUDUSD TECHS

Maintains A Bullish Tone

EURJPY TECHS

Corrective Cycle Still In Play

     
US TSY SUMMARY: Tsys just off session lows into the bell, light volume (TYU
750k), curves mixed; headline earlier, "Treasuries Edge Lower as IG Issuance
Slate Builds for Second Day -BFW", highlights yesterdays IG pipeline which is
expected to reach $20-$25bn throughout the week;
-West Texas Crude pared nearly all of todays gains after headlines out of
Venezuela, "*VENEZUELA OIL PRODUCTION AVG. STANDS AT 1.5M BPD: MIN"-BN,
"*VENEZUELA WILL CONTINUE TO FULFILL ITS OPEP QUOTA: QUEVEDO"-BN, (WTI +0.05,
69.06, 69.83H/68.81L). Later headlines slowed the downtick, "*EIA CUTS 2018 U.S.
CRUDE-OUTPUT EST. TO 10.68M B/D VS 10.79M"-BFW, "*EIA CUTS 2019 U.S.
CRUDE-OUTPUT EST. TO 11.7M B/D VS 11.8M"-BFW; VIX dropped below 11 this morning
hitting its lowest level since January, currently (-0.31, 10.96, 11.24H/10.52L);
-US$ pared losses this afternoon but remains weaker, DXY -.142 to 95.216,
US$/Yen bounced off session lows (JPY +0.01, 111.41, 111.48H/110.99L);
-Equities higher (emini +10.00, 2,860.00); gold stronger but has fallen off
highs (XAU +2.63, 1210.14); Tsy cash/ylds: 2Y 99-29 (2.670%), 5Y 99-18.75
(2.838%), 10Y 99-05 (2.973%), 30Y 100-02 (3.121%).
US TSY FUTURES CLOSE: Trading moderately lower at the bottom of the range, low
volume (TYU 730k), Curves mixed; update:
* 2s10s +0.918, 29.938 (28.019L/30.214H);
* 2s30s +0.816, 44.825 (42.753L/45.199H);
* 5s30s -0.502, 27.860 (26.818L/28.183H);
Current futures levels:
* Sep Ultra bonds futures down 31/32 at 155-30 (155-24L/156-28H)
* Sep 30-yr Bond futures down 21/32 at 142-19 (142-15L/143-09H)
* Sep 10-yr futures down 08.5/32 at 119-15 (119-14L/119-24H)
* Sep 5-yr futures down 05/32 at 113-05.75 (113-4.75L/113-11H)
* Sep 2-yr futures down 01/32 at 105-22.5 (105-22.25L/105-23.75H)
US EURODOLLAR FUTURES CLOSE: Trading steady to slightly lower at the bottom of
the range, low volume. Current White pack (Sep'18-Jun'19):
* Sep'18 0.000 at 97.585
* Dec'18 -0.005 at 97.330
* Jun'19 -0.010 at 97.175
* Jun'19 -0.010 at 97.065
* Red pack (Sep'19-Jun'20) -0.030-0.020
* Green pack (Sep'20-Jun'21) -0.040-0.035
* Blue pack (Sep'21-Jun'21) -0.035-0.030
* Gold pack (Sep'22-Jun'22) -0.030
TECHNICALS: 
US DOLLAR LIBOR: Latest settles,
* O/N -0.0066 to 1.9134% (-0.0016/wk)
* 1 Month -0.0115 to 2.0711% (-0.0082/wk)
* 3 Month -0.0019 to 2.3414% (-0.0016/wk)
* 6 Month +0.0008 to 2.5224% (-0.0024/wk)
* 1 Year -0.0025 to 2.8243% (-0.0030/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.86% vs. 1.86% prior, $763B
* Broad General Collateral Rate (BGCR): 1.84% vs. 1.83% prior, $399B
* Tri-Party General Collateral Rate (TGCR): 1.84% vs. 1.83% prior, $384B
US SWAPS: Latest spd levels:
* 2Y -0.50/20.78
* 5Y -0.80/13.65
* 10Y -0.76/6.25
* 30Y -0.93/-6.00
     OUTLOOK: Data/speaker calendar (prior, estimate): 
- Aug 08 03-Aug MBA Mortgage Applications (-2.6%, --) 0700ET
- Aug 08 03-Aug crude oil stocks ex. SPR w/w (2.468m bbl, --) 1030ET
- Aug 08 Jul Kansas City Fed LMCI (0.77, --) 1100ET
- Aug 08 US Tsy $26B 10Y Note auction, 1300ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* +5,000 Jun 66/68 2x1 put sprd at 4 vs 9704.5/0.10%
* 5,000 Short Dec 66/67/68/70 Put Condor at 3.5
* 5,000 Short Dec 63/66/68 put fly at 5 vs 9692.5/0.10%
* +4,000 Mar 68/70/71 put fly at 2.5
* +10,000 Red Dec 63/65 put sprd vs Red Dec 81 calls at EVEN, BLOCK
* +2,000 Long Green Sep 56/60 5x2 put sprd at EVEN
* 7,500 Long Green Dec 57/62 3x1 put sprd at 0.5 vs 9691/0.10%
* 8,000 Green Dec 66/68/70 broken put tree at 1
* -4,300 Long Green Jun 70 Straddle at 86
US TSY OPTIONS: Latest trade,
* -2,000 TYU 118.5/120.75 Strangle at 6
* +5,000 TYV 123.5/125 call sprd at 1 
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]