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US TSYS: QUIET RATE RALLY CONTINUES TO WEIGH ON TSY CURVE

US TSY SUMMARY: Rather quiet rate rally kicked off kicked off the week, futures
hovering near session highs after paring gains slightly around midday. Average
volume (TYU>1.1M), weak shorts covered as curve extends bull flattening. 
- US$ index softer: DXY -0.205 to 95.896; US$/Yen near lows -.30 to 110.21
(110.52H/110.19L); equities firm (emini +7.5, 2859.75); gold firm (XAU +5.78,
1190.83); West Texas crude mildly higher (WTI +0.53, 66.44). 
- No "info" driver on rally, EM sedate with geopolitical risks on simmer. Comes
down to consolidation ahead Wed's minutes and Jackson Hole (Thu night through
Saturday). Traders note buyers into/through TYU resistance at 120-16, -17
last/session high. guys looking at 121-00 next level if mkt closed at or above
-16.
- Swap spds finish mixed amid decent two-way flow -- mild consolidation ahead
mid-late week event risk (FOMC minutes, Jackson Hole eco symposium). Sep/Dec Tsy
futures roll kicks off, heavy option volume Dec out-of-the-money put buying
replacing soon to expire Sep options. 
- Tsy cash/ylds: 2Y 100-02 (2.557%), 5Y 100-07 (2.701%), 10Y 100-14.5 (2.823%),
30Y 100-09 (2.985%).
US TSY FUTURES CLOSE: Trading higher near the top of the range, lower volume
(TYU 1.11M), curves mixed with 5's30s back above 28; update:
* 2s10s -2.310, 22.941 (22.706L/25.435H);
* 2s30s -2.069, 39.120 (38.390L/41.094H);
* 5s30s +0.346, 28.033 (26.685L/28.271H);
Current futures levels:
* Sep Ultra bonds up 1-08/32 at 159-26 (158-21L/159-30H)
* Sep 30-yr Bond futures up 31/32 at 145-16 (144-19L/145-17H)
* Sep 10-yr futures up 12.5/32 at 120-20.5 (120-09L/120-21H)
* Sep 5-yr futures up 7.25/32 at 113-26 (113-19L/113-26H)
* Sep 2-yr futures up 1.75/32 at 105-27.75 (105-26L/105-28H)
US TSY FUTURES: *** Roll from Sep to Dec futures getting started ahead first
notice date: August 31. September future's staggered expiration on September 19
for 10s, 30s and Ultras, and September 28 for 2s and 5s. Latest volume:
* TUU/TUZ appr 10k from 4.0-4.5; 4.25 last
* FVU/FVZ appr 7.6k from 7.75-8.25; 8.0 last
* TYU/TYZ appr 12k from 3.75-4.25; 4.0 last
* USU/USZ appr <500, 24.25 last
* WNU/WNZ appr 2.4k, 9.5 last
US EURODOLLAR FUTURES CLOSE: Trading higher at the top of the range, parallel
shift
across Reds through Golds. Current White pack (Sep'18-Jun'19):
* Sep'18 +0.0100 at 97.6475
* Dec'18 +0.020 at 97.405
* Jun'19 +0.030 at 97.265
* Jun'19 +0.040 at 97.165
* Red pack (Sep'19-Jun'20) +0.050-0.045
* Green pack (Sep'20-Jun'21) +0.055-0.050
* Blue pack (Sep'21-Jun'21) +0.055-0.050
* Gold pack (Sep'22-Jun'22) +0.050
US DOLLAR LIBOR: Latest settles,
* O/N +0.0006 to 1.9175% (+0.0044 last wk)
* 1 Month -0.0024 to 2.0670% (+0.0026 last wk)
* 3 Month -0.0023 to 2.3096% (-0.0074 last wk)
* 6 Month -0.0022 to 2.5086% (-0.0013 last wk)
* 1 Year +0.0000 to 2.8130% (-0.0025 last wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.90%, $799B
* Broad General Collateral Rate (BGCR): 1.90%, $413B
* Tri-Party General Collateral Rate (TGCR): 1.90%, $397B
US SWAPS: Spds turn by the closing bell, wings tighter vs. wider intermediates
amid decent two-way flow -- mild consolidation ahead mid-late week event risk
(FOMC minutes, Jackson Hole eco symposium). First half highlights include rate
receivers in 4s (2.85575%) and 5s (2.85571%), 2s3s and 3s4s steepeners, 2s3s4s
receiver fly, 3s6s7s payer fly. Latest spd levels:
* 2Y  -0.62/20.19
* 5Y  +0.66/14.75
* 10Y +0.25/7.50
* 30Y -0.06/-6.25
PIPELINE: Very quiet start to corporate issuance this week
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
08/20 $500M #Pricoa Global Funding 5Y +75
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Aug 21 Aug Philadelphia Fed Nonmfg Index (44.3, --) 0830ET
- Aug 21 18-Aug Redbook retail sales m/m (0.1%, --) 0855ET
- Aug 21 US Tsy 4-Week Bill auction (912796PZ6) 1130ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/Screen:
* -4,000 Blue Dec 66/67 2x1 put spds, 0.5, 2-leg over
* +5,000 Mar 70/71 put spds, 3.5
* +5,000 EDU 66/67p spd w/EDZ 75/76c spd strip, 5.5 total
* +5,000 short Sep 71/72 call spds, 2.5
* +5,000 Mar 70/71/72 put flys, 2.0
* +4,000 short Sep 68/70 3x1 put spds, 0.75
* -8,000 Green Oct 68/71 strangles vs. +4,000 Green Oct 70 straddles, 2.0 net
* +10,000 Dec 72/73 put spds vs. 75 calls
* over 40,000 Dec 72 puts, 1.75
Latest Block, 13:23:38ET,
* 60,000 Oct 73 puts at 3.25 vs 9740.5/0.20%, note recent 20k block for a total
of 80k blocked
* -3,500 Short Oct 67/68/70 put fly at 3.5
* +5,000 70/71 2x1 put sprd at EVEN
* 10,000 Mar 68 puts at 1
* 4,000 Oct 75 Straddle at 14
* 7,000 Red Jun20 58/61 5x2 put spds, 0.5 credit (58 put sold over)
Block, 08:33:36ET,
* -10,000 Dec 70/71/72/73 Put Condor at 4.5, adds to prior 10k block, appears to
be sale
Block, 07:44:44ET,
* -10,000 Dec 70/71/72/73 Put Condor at 4.5
Tsy options, Pit/screen:
* +3,000 TYX 119.5 puts, 24/64
* over 4,000 FVV 113.5 straddles from 42- to 41/64
Volume picking up as paper buys way-OTM puts (replacement
for Sep puts that are going to go out worthless at Friday's expiration):
* appr +100k (15.8k screen) FVZ 107.25 puts at .5.
* FVU OI: 91.8k 106.25 puts, 82.5k 106.5 puts, 64.7k 106.75 puts, 29.8k 107 puts
expect to see similar buying (maybe rolling) to replace similar way-OTM TYU puts
* -6,000 USV 143 calls, 2-9/64 vs. 145-14
* +5,000 TYV 119.5 puts, 11/64 vs. 120-14.5/0.20%
* 1,500 USU 145.5/USV 147 call spds, 2/64
* -4,500 USX 143 puts 1-0 to 61/64
* +4,000 TYV 121 calls, 19/64 vs. 120-12/12.5
* +2,000 TYX 121.5/122.5 call spds, 12/64
* 2,500 TYU 120.5/121 call spds, 5/64
* 1,500 TYV 120.5/121.5 1x2 call spds, 7/64
* +5,000 TYV 122 calls, 7/64
* 5,000 TYV 118 puts at 2
* -7,500 TYU 120.5/121.5 1x2 calls sprd at 4
* -5,000 TYV 122 calls at 6
* +2,500 TYV 119 puts at 7
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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