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$]