US TSYS: QUIET BULL FLATTENING AHEAD MIDTERM ELECTIONS

US TSY SUMMARY: US TSY SUMMARY: Tsys bid after the bell, well off midday highs

on relatively quiet trade (TYZ just over 1.1M futures). Not a lot of trade flow

in the lead-up to Tuesday's Midterm elections, implying markets have priced

in/already positioned for a split Congress: Republicans retaining control of the

Senate, while Democrats take control of the House.

- Equities higher/near late session highs (SPX 2743.75), Gold softer (XAU -2.25,

1230.70), vol index mildly higher/lower half of range (VIX +.37, 19.88).

- Tsy $37B 3Y (9128285LO) tailed slightly / awarded a 2.983% rate vs. 2.980% WI

going into auction (2.989% previous) w/bid/cover 2.54 vs. 2.56 previous (3.09

avg).

- Eurodollar futures/Blocks, +7k EDH9 1Y bundle +0.010 followed by +4k Green

packs (EDZ0-EDU1) (+0.005).

- Tsy futures Block, -12k TUZ 105-08.5. Light Eurodlr/Tsy option volume.

- Tsy cash/ylds: 2Y 99-29.75 (2.907%), 5Y 99-09.5 (3.026%), 10Y 97-08.5

(3.201%), 30Y 91-30 (3.433%).

US TSY FUTURES CLOSE: Trading slightly to mildly higher in the middle of the

range; strong volume (TYZ 1.08M); curves flattening; update:

* 2s10s -1.735, 28.732 (27.971L/30.901H);

* 2s30s -2.638, 52.015 (51.268L/55.393H);

* 5s30s -1.470, 40.453 (40.071L/43.001H);

Current futures levels:

* Dec Ultra bonds up 16/32 at 148-13 (147-28L/148-25H)

* Dec 30-yr Bond futures up 12/32 at 137-17 (137-04L/137-25H)

* Dec 10-yr futures up 03/32 at 118-4.5 (118-01L/118-08H)

* Dec 5-yr futures up 1.25/32 at 112-6.25 (112-5.25L/112-8.75H)

* Dec 2-yr futures up 0.25/32 at 105-8.25 (105-08L/105-9.5H) 

US EURODOLLAR FUTURES CLOSE: Trading slightly higher in the middle of a tight

range, parallel shift across the strip; mild volume. Current White pack

(Dec'18-Sep'19):

* Dec'18 +0.015 at 97.240

* Jun'19 +0.015 at 97.095

* Jun'19 +0.015 at 96.940

* Sep'18 +0.015 at 96.840

* Red pack (Dec'19-Sep'20) +0.010

* Green pack (Dec'20-Sep'21) +0.010-0.005

* Blue pack (Dec'21-Sep'21) +0.010

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

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0006 to 2.1752% (-0.0021 last wk) 

* 1 Month -0.0018 to 2.3160% (+0.0211 last wk) 

* 3 Month -0.0031 to 2.5892% (+0.0720 last wk) 

* 6 Month +0.0069 to 2.8357% (+0.0521 last wk) 

* 1 Year +0.0120 to 3.1168% (+0.0481 last wk)

US TSYS: *** /REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): 2.25% vs. 2.22% prior, $853B

* Broad General Collateral Rate (BGCR): 2.24% vs. 2.20% prior, $437B

* Tri-Party General Collateral Rate (TGCR): 2.24% vs. 2.20% prior, $416B

SWAPS: Spds mixed by the bell, spd curve steeper with short end marching tighter

in second half, long end pulling 10s off early narrows. Decent flow includes

steady rate and spd receiving in 2s around 3.1%, steepeners in 2s vs. 3s and

10s, 3s5s6s payer fly and paying in 10s at 3.25%. Latest spd levels:

* 2Y -1.38/19.38

* 5Y -0.21/14.38

* 10Y +0.06/6.31

* 30Y +0.31/-11.06

PIPELINE: Rentenbank 5Y to Price Tuesday

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

11/05 $500M Ameren Illinois WNG 30Y +110a

11/05 $Benchmark Duke Energy Carolinas 3Y +55a, 10Y +90a

11/06 $Benchmark Rentenbank 5Y +6a

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

- Nov 06 03-Nov Redbook retail sales m/m (0.1%, --) 0855ET

- Nov 06 Nov IBD/TIPP Optimism Index (57.8, --) 1000ET

- Nov 06 Sep JOLTS job openings level (7.136m, --) 1000ET 

- Nov 06 Sep JOLTS quits rate (2.4%, --) 1000ET

- Nov 06 US Tsy $26B 52W bill auction (912796RM3) 1130ET

- Nov 06 US Tsy $27B 10Y note auction (9128285M8) 1300ET

- Nov 06 Oct Treasury STRIPS Holdings 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* -2,500 short Jan 66/68 strangles vs. short Jan 71 calls, 9.0

* -5,500 Short Dec 67 Straddle at 16

7,500 Short Mar 63/65 put sprd vs Short Mar 73/76 call sprd at 0

Block, 10:15:18ET,

* -10,000 Dec 73 calls at 1

* 5,000 Short Mar 73/76 call sprd at 1.5

* 5,000 Dec 70/71 put sprd at 0.75

* Total +5,000 Short Jan 67/70 call sprd vs Green Jan 68/71 call sprd, 2.0

net/EOF over

* -5,000 Green Dec/Blue Dec 67 put strip, 16.5

* 2,000 Green Nov 65/66 put sprd at 1 vs 9676.5/0.12%

* +5,000 short Dec 65/66 put spds vs. Blue Dec 63/66 put spds, 1.0/E3Z over

Block, 0727:54ET, adds to >50k bought last week 1.25-1.5

* +5,000 Mar 68/70/71 2x3x1 put flys, 1.5 net/wings over

Tsy options, Pit/screen

* 12,125 wk2 TY 117.25/118 put spds on screen, 12/64

* -4,000 TYZ/TYF 1118 put spds, 22/64

* 1,500 TYZ 118 straddle follows at 2-5/64

* 2,000 TYZ 119/119.5 call spds, 5/64

* -4,000 TYF/TYZ 134 put spds, 22/64

* 1,250 TYZ 119/119.75 2x3 call spds, 5/64

* 1,000 USZ 132/134 put spds, 6/64

* Update +2,500 TYZ 116.5/117/117.5/118 put condors, 8/64 earlier

Block, 0941:28ET, takes it bid

* +24,616 wk2 TY 118 puts, 17/64

* +1,000 TYZ 116.5/117/117.5/118 put condors, 8/64

* -2,000 TYF 120 calls, 9/64 vs. 117-29/0.10%

* -4,200 USZ 138 puts, 1-18/64

* sellers TYZ 118.25 straddles, 59/64

* Total -6,500 TYZ 117/118 1x2 put sprd at 11

* Total -4,200 USZ 138 puts at 118

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]