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Free AccessUS TSYS REVERSE EARLY LOSSES/FIRMER CLS, MUTED FED SPEAK REACT
By Bill Sokolis
CHICAGO (MNI) -
US TSYS SUMMARY
Tsy futures see-saw to mildly higher levels after slipping to near overnight
lows after the open, thin markets buffeted by deal-tied hedging and fx-acct
sales on carry-over bid for USD.
- Sources report light two-way flow on net after large block sale of 14k TYU at
126-00 sent futures tumbling briefly. Mild prop, bank portfolio buying in short
end. FX-tied selling has evaporated.
- Little react to Fed speakers: St Louis Fed Bullard w/dovish tone, expressed
concern recent weak inflation indicators could be sign it won't return to the
Fed's 2% target anytime soon. Mn Fed Kashkari : biggest US banks are still too
big to fail.
- Rate hike probability for Dec 13 FOMC holds around 40% (MNI PINCH).
- Corporate debt issuance returns, hedging adds to earlier weakness, swap spds
ratcheted tighter/spd curve holding flatter. Some desks fading spd narrowing in
the belly, outright and vs. the short end.
- Option vol started off with mild bid but has slipped back to steady/lower
w/underlying off lows to steady/mixed.
US TSY FUTURES CLOSE
Mildly higher after the bell, near top end of narrow range on light volume, (TYU
w/less than 650K), all-in-all a quiet start to week, little react to rather
dovish Fed speakers Bullard and Kashkari in second half. Decent deal-tied
hedging keeping futures in range. Current futures levels:
* Sep Ultra bonds up 8/32 at 166-12 (165-25L/166-15H)
* Sep 30-yr Bond futures up 8/32 at 154-11 (153-28L/154-15H)
* Sep 10-yr futures up 3/32 at 126-05.5 (125-30L/126-07H)
* Sep 5-yr futures up 2/32 at 118-08.25 (118-03.75L/118-09H)
* Sep 2-yr futures up .5/32 at 108-05.5 (108-04.25L/108-05.5H)
US EURODLR FUTURES CLOSE
Steady in the short end to mildly higher out the strip, light volume (Red Dec'18
leads w/109k) on narrow range. Current White pack (Jun'17-Mar'18):
* Sep'17 +0.000 at 98.675
* Dec'17 +0.000 at 98.545
* Mar'18 +0.005 at 98.460
* Jun'18 +0.005 at 98.395
* Red pack (Sep'18-Jun'19) +0.005-0.010
* Green pack (Sep'19-Jun'20) +0.010
* Blue pack (Sep'20-Jun'21) +0.010-0.015
* Gold pack (Sep'21-Jun'22) +0.015-0.020
US SWAPS
Spds finish tighter, spd curve flatter with long end leading narrowing all day,
dragging short end off earlier wides due to influx of swappable supply today/wk.
Earlier, sources reported rate paying in 2s and receiving in 10s, corporate and
asset manager paying in the intermediates. Latest spread levels:
* 2Y -0.31/24.94
* 5Y -0.31/7.56
* 10Y -0.50/-3.88
* 30Y -0.88/-32.50
US OUTLOOK
Data/speaker calendar (prior, estimate):
- Aug 08 Jul NFIB Small Business Index (103.6, --) 0600ET
- Aug 08 05-Aug Redbook retail sales m/m ) (-1.2%, --) 0855ET
- Aug 08 Aug IBD/TIPP Optimism Index (50.2, --) 1000ET
- Aug 08 Jun JOLTS job openings level (5666K, --) 1000ET
- Aug 08 Jun JOLTS quits rate (2.2%, --) 1000ET
- Aug 08 US Tsy $24.0B 3-Year Note auction 1300ET
Eurodollar/Treasury option summary
Eurodollar options,
Block:
0756ET
+15k EOQ 81/85 strangle, 0.5 vs. 98.265/0.05%
Pit/screen:
6k EDF 81/82/83 2x3x1p flys, 1.0 net/wings ovr
-5k EDZ 86c, 2.75 vs. 98.535/0.10%
+4k EDM 85c. 7.5 vs. 98.39/0.34%
+2.5k EDX 83/85p spds, 2.25 vs. 98.545
+60k EOZ 80/81p spds, 3.25/legged
+12k EOZ 78/80/81p flys, 1.5
+5k EOZ 87c, 1.0 vs. 98.29/0.05%
-5k EOF 81 straddles, 28.0 vs.
+5k EOH 82/86 1x2c spds, 9.0 vs.
+2.5k EOF 77/80 3xp spds, 5.5
+2.5k EO/E2H 87c spds, 0.0
+6k E2U 77/83 R/R, 0.5c ovr
4k E2V 82/83 1x2c spds, cab
-3k E2U 81 straddles, 15.0 vs.
+1.5k E2Q 81 straddles, 6.0
10k E3V 81/82/83/86c condors
+5k E3V 81c w/
E3V 72/76 2x1p spds, 5.5db
Tsy options
Pit/screen:
+10k TYZ 128c, 21 vs. 126-01/0.19%
+9k TYV/TYX 124+/127 strangle spds, 26
+2k TYU 127c, 6
-2k TYZ 127c, 36-37
-2k wk2 FV 118p, 3.5
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE]
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.