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US 10YR FUTURE TECHS

‌‌(U1)‌‌ Key Directional Triggers Remain Intact

     
US TSY SUMMARY: Tsys see-sawed higher Friday, extending top-end session range on
light futures (TYU<635k), quiet summer trade and sidelined accts into the
semi-annual MonPol report release (Fed chair testimony Tue, July 17). No new
ground broken in report: policy remains accommodative, further gradual hikes,
yield curve "shifted up" while flattening continues/nears inversion. Mixed
messages from US Pres Trump: US/UK trade deal at risk on soft-BREXIT (later
denied), relationship w/PM May "very, very strong". 
- US$ index reversed early strength: DXY -0.080 to 94.747; US$/Yen see-sawed
lower -.27 to 112.28 (112.80H/112.34L); equities mildly higher (emini +5.0,
2803.5); gold weaker (XAU -6.16 1241.25); West Texas crude bounced (WTI +.46,
70.79).
- Light late wk flow included two-way/position squaring in fronts/intermediates,
option-tied selling, fund selling 30s; swap flys include 2s3s10s, 2s4s10s and
5s7s10s (rec belly). Tsy cash/ylds: 2Y 99-27 (2.578%), 5Y 99-16.75 (2.727%), 10Y
100-12 (2.829%), 30Y 103-25.5 (2.931%).
US TSY FUTURES CLOSE: Stronger, just off late session highs. Current cash 10Y
100-12 (2.829%) vs. 100-06 (2.851%) late Thursday. Curves mostly flatter:
* 2s10s -0.855, 24.687 (24.457L/26.046H);
* 2s30s -0.675, 34.941 (34.501L/36.020H);
* 5s30s +0.556, 20.318 (19.016L/20.889H);
Current futures levels:
* Sep Ultra bonds up 15/32 at 160-30 (160-10L/161-03H)
* Sep 30-yr Bond futures up 14/32 at 145-23 (145-07L/145-25H)
* Sep 10-yr futures up 6/32 at 120-11 (120-04L/120-12.5H)
* Sep 5-yr futures up 5/32 at 113-20.5 (113-15.25L/113-20.75H)
* Sep 2-yr futures up 1/32 at 105-26.5 (105-25.5L/105-27H)
US EURODOLLAR FUTURES CLOSE: Modestly higher by the bell, at/near session highs
on modest volume, Reds extend inversion w/Greens-Blues. Current White pack
(Sep'18-Jun'19):
* Sep'18 +0.010 at 97.545
* Dec'18 +0.010 at 97.345
* Jun'19 +0.015 at 97.220
* Jun'19 +0.025 at 97.130
* Red pack (Sep'19-Jun'20) +0.030-0.025
* Green pack (Sep'20-Jun'21) +0.035-0.040
* Blue pack (Sep'21-Jun'21) +0.035
* Gold pack (Sep'22-Jun'22) +0.035-0.030
US DOLLAR LIBOR: Latest settles,
* O/N +0.0000 to 1.9176% (-0.0080/wk)
* 1 Month +0.0016 to 2.0732% (-0.0130/wk)
* 3 Month -0.0032 to 2.3360% (+0.0047/wk)
* 6 Month +0.0012 to 2.5208% (+0.0127/wk)
* 1 Year +0.0015 to 2.7868% (+0.0081/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.89% prior, $747B
* Broad General Collateral Rate (BGCR): 1.87% vs. 1.89% prior, $366B
* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.89% prior, $354B
US SWAPS: Spds running mostly tighter by the bell, 5yr holding mildly wider on
light 2-way flow. Late morning flow includes steepeners in 2s vs. 3s and 5s,
flurry of flys include 2s3s10s, 2s4s10s and 5s7s10s, all receiving the belly. No
deal-tied flow amid dearth of swappable issuance heading into weekend. Expect to
see pick-up in latter next week as banks exit latest earnings season. Latest spd
levels:
* 2Y  -0.25/22.75
* 5Y  +0.12/14.12
* 10Y -0.19/6.75
* 30Y -0.62/-3.75
PIPELINE: $23.85B has priced on week
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
No new issuance Friday,
-
$5.9B priced Thursday
07/12 $2B *Sumitomo Mitsui Fncl Grp $750M 5Y fix +100, $500M 5Y FRN +86, $750M
10Y +110
07/12 $2B *TD Bank 5Y fix +78, 5Y FRN Libor +64
07/12 $400M *Northern Natural Gas 30Y +135
07/12 $1B *Nordic Investment Bank (NIB) WNG 5Y +3
07/12 $500M *Korea East/West Power 5Y
OUTLOOK: Data/speaker calendar (prior, estimate): 
- Jul 16 Jun retail sales (0.8%, 0.6%) 0830ET
- Jul 16 Jun retail sales ex. motor vehicle (0.9%, 0.3%) 0830ET
- Jul 16 Jun retail sales ex. mtr veh, gas (0.8%, --) 0830ET
- Jul 16 Jul Empire Manufacturing Index (25.0, 20.0) 0830ET
- Jul 16 May business inventories (0.3%, 0.4%) 1000ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* Update, total -65,000 (pit/screen) short Dec 70/71 put spds, 7.0
* Update, total +18,000 Mar 70/71 put spds 4.5
* 5,000 Mar 67/68 put sprd at 0.5 vs 9723/0.08%
Block, 11:19:35ET,
* +10,000 Sep 76 calls at 1.75 vs 9754.5/0.20%, adds to +10k block earlier for
total of +20k
Block, 11:08:45ET,
* +10,000 Oct 71 puts at 0.5, note +5k traded on screen
* +5,000 Oct 71 puts at 0.5 vs 9733.5/0.10%
* 12,500 Green Dec 62 puts at 1, 09:53:40ET
* +10,000 Sep 76 calls at 1.75 vs 9754.5/0.20%, 09:57:59ET
* +10,000 Long Green Dec 60/63 5x2 put sprd for 2.5 vs 9705/0.10%
* 20,000 Short Sep 72/75 call sprd vs Blue Sep 75/77 call sprd for net 1.5
* 4,000 Aug 75/76 Strangle at 1.5
* total 10,400 Red Sep19 80/81/85/86 call condors vs. Red Dec19 82/87 call spds
* 6,400 Dec 71 puts
* 3,000 Mar 70/72 put spds
Tsy options, Pit/screen:
* 3,400 TUU 105.3/106.3 call over risk reversals, .5/64
* 3,000 wk3 TY 119.5/119.75 put spds, 2/64
* +3,000 TYU 122 calls, 7/64 earlier vs. 120-09.5/0.14%
* -4,000 FVU 112.5/114.75 strangles, 7/6
* +2,250 TYU 120.5 straddles, 1-11/64, offer fades
* +4,000 TYU 121 calls, 19/64 vs. 120-09/0.32%
* +4,500 FVQ 113.75 calls, 7/64 vs. 113-17.5 earlier
* 2,000 FVQ 113.75 calls, 7/64vs. 113-17.7/0.35%
* +1,500 USU 141/149 risk reversal at even, call bought over
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com