US TSYS PULL OUT OF TECHNICAL TAILSPIN; OK 2Y FRN, 5Y AUCTIONS

     US TSYS SUMMARY: Treasuries prices ended Wed weaker, but the market managed

pulled out of a sharp tailspin selloff, limiting technical damage to cash 10-yr

note (which hit 2.472% high yield, but ended 2.443%) 

- Tsys digested okay $15B 2Y FRN auction (4.8 DM, 60.2% indirects) and fairly

good $34B 5Y sale: 2.058% rate, 61.6% indirect, 11.1% direct, 27.4% dealers. 

- Tsys futures weaker into 5Y auction, but well off morning lows on heavy volume

(TYZ>1.60M). Tsys began weaker w/Bunds on open, pressure from Germany 10Y sale,

firm German Ifo, weak UK Gilts, firm UK GDP. Stronger US$ vs. Yen earlier fueled

selling. Some sidelined into Thu ECB policy/taper news or await US Pres Trump to

name Fed chair (Politico said he may not name this week). 

- Tsys declined on 2.2% Sep durable goods new orders, stops hit on way down

after brief fast$ buying, corporate debt, pre-auction short setting; real$, bank

& insurer portf sales ebbed by midmorning. Yen rebound, N.Korea worry reverse

rate sell-off as did broad selloff in US equities, decent sell-programs noted

amid talk asset allocation from stocks to equities

- TSYS 3PM ET: 2Y 1.607%, 3Y 1.733%, 5Y 2.056%, 7Y 2.279%, 10Y 2.443%, 30Y

2.953%

     US TSY FUTURES CLOSE: Tsy futures trading weaker by the close, well off

first half lows to near middle session range into midday on heavy volume

(TYZ>1.82M); 10Y yld holding above 2.4% at 2.437% vs. 2.4736% session high.

Cautious two-way trade off lows w/accts hitting sidelines ahead Thu ECB

policy/taper annc and word from U.S. pres on Fed chair appt (Fox interview

tonight at 1900ET). Current futures levels: 

* Dec Ultra bonds down 25/32 at 162-18 (161-22L/163-07H) 

* Dec 30-yr Bond futures down 21/32 at 151-01 (150-14L/151-20H) 

* Dec 10-yr futures down 7.5/32 at 124-16 (124-06L/124-22H) 

* Dec 5-yr futures down 3.75/32 at 116-31.25 (116-26.5L/117-02H) 

* Dec 2-yr futures down .75/32 at 107-21.5 (107-20.25L/107-22.5H)

US EURODLR FUTURES CLOSE: Lower across the strip/off lows to near middle of

day's range on moderate volume, EDZ8 ahead w/362k. Decent option volume not as

heavy as Tuesday, flow little more two-way, some put consolidation as underlying

moved off lows. Current White pack (Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.490 

* Mar'18 -0.005 at 98.350 

* Jun'18 -0.020 at 98.225 

* Sep'18 -0.015 at 98.145 

* Red pack (Dec'18-Sep'19) -0.025 

* Green pack (Dec'19-Sep'20) -0.025 

* Blue pack (Dec'20-Sep'21) -0.030-0.035 

* Gold pack (Dec'21-Sep'22) -0.040-0.045

US SWAPS: Spds running steady/mixed by the close, spd curve steeper as short end

narrows. Modest flow on the day with:

* small receiver $170M 6Y at 2.195% after 

* 5Y6Y7Y fly, receiving the belly 

* earlier payers on light size (<$200M) in 6- and 10Y (2.2344% and 2.447%

respectively. Deal-tied hedging in the mix. Latest spread levels: 

* 2Y -1.56/22.31 

* 5Y +0.00/7.56 

* 10Y -0.12/-2.06 

* 30Y +0.12/-28.88

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* 10,000 Green Nov 76 puts, 2.0 vs. 97.79/0.10%

* 5,000 short Dec 78/80/82 put trees, 13.0

* 12,000 Sep 80 puts vs. 6,000 Blue Sep 73 puts, 4.0, Blue Sep over

* +5,000 Green Nov 75/76 put spds, 1.0 vs. 97.82/0.10%

* +11,000 Green Mar/Green Dc 77 straddle spds from 12.5-13.0, mostly 13.0

* +10,000 short Dec 80/82 put over risk reversals, 4.5

* +25,000 Jun 78/81 put spds w/Sep 77/80 put spds, 12.0 total debit on strip.

Same bought over 75k Tues at 10.5 vs. 150k short Dec 80/81 put spd as macro fund

rolled down strikes (OI down 175-195k in both strikes as a result of yesterday's

trade; Jun and Sep puts up like amounts)

* +10,000 short Dec 80/81 2x1 put spds, 0.5

* total +10,000 Blue Dec 73/78 call over risk reversals, 0.5

* total +10,000 Green Mar 72/82 put over risk reversals, 0.5

* 5,000 Green Nov 75/76/77/78 put condors, 5.0 vs. 97.81

* Block, 10,000 Green Dec 76/77/80 put flys, 12.0

* Block, 10,000 Blue Dec 75/76/77 put trees, 1.0

* +28,000 Blue Nov 75 puts vs. -14,000 Dec 85 straddles, 1.0-0.5 net

* +4,000 Mar 81/82/83 put flys, 3.25

* +5,000 Red Dec'18 78/80 put spds, 5.5 vs. 98.005/0.10%

* +10,000 short Mar 77/78 put sds vs. Mar 81/82 put spds, 1.5 net debit on

conditional bear curve steepener earlier

------------------

* +4,000 Blue Dec 73 puts, 4.0

* 2,500 short Dec 80/81 put spds,

* +5,000 Green Dec 71 puts, 0.5 on screen

* total +10,000 Blue Dec 73/78 call over risk reversals, 0.5 vs. 97.635/0.40%

* -8,000 Jun 81/82 put spds legged 5.75

* +4,000 short Mar 76/77/80 put trees, 6.5 vs. short Mar 82 calls, 4.5, 2.0 net

debit on package, adding to 10k Block

* +10,000 Dec 86/Jan 85 call spds, 0.5

* -10,000 Red Dec'18 76/77/81 put trees, 6.0

* 3,000 short Dec 81/82/83 put flys, 2.0 vs. 98.06

* +5,000 Green Nov 76 puts, 2.5

* 2,000 Blue Nov 75/76/77 put flys, 3.5

* -4,000 Gold Dec 73/75 put spds, 5.5 vs. Gold Dec 80/81 call spds, 0.5

* Block, +10,000 short Mar 76/77/80 put trees, 6.5 vs. short Mar 82 calls, 4.5

Tsy options

Pit/screen:

* +7,000 TYZ 126.5/127.5 call spds, 3/64 vs. 124-16

* 2,000 TYZ 125.5calls, 16/64 vs. 124-17.5

* -5,500 TYZ 123/126 put over risk reversals, 2/64 vs. 124-13/0.34%

* -1,100 FVF 115/117.5 strangles, 19/64

* -10,000 TYZ 123 puts, 10/64 on screen recently. Saw TYZ clawing off lows, +20k

from 124-12.5 to -14.5

* 1,150 TYZ 121/123 put spds, 9/64

* total 5,000 TYZ 123.5/125.5 put over risk reversals, 2- to 1/64 vs.

124-15.5/0.45%

* 7,500 TYZ 123/124/126 put flys on screen, 1-4/64

* 2,800 TYZ 123.5/125.5 put over risk reversals, 2/64 vs. 124-15.5/0.45%

* -2,500 FVX 116.5/117 2x1 put spds, 8.5/64

* 1,750 FVX 116.7/117.5 put spds, 33/64

* +7,000 TYZ 125 calls 21- to 22/64 as underlying claws off lows

* -2,000 TYH 124 straddles, 2-32/64

* 3,000 TYX 124.5/TYZ 123.5 put spds, 1/64

* 2,000 TYX 124 puts, 8/64 vs. 124-08/0.34%

* 2,800 TYZ 123/125 strangles, 34/64

* 1,000 TYZ 123/124.5 2x1 put spds, 21/64 vs. 124-07.5/0.12%

* 1,000 FVX 117/117.75 put spds, 43/64

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

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