US TSYS: RISK-OFF END TO WEEK, EQUITIES FALTER

US TSY SUMMARY: Tsy futures trade higher after the bell, but well off midday

highs as early risk-off momentum tempered by bounce off new lows in equities.

Nov Tsy option expiry helping keep TYZ futures near 119-00, pin-risk/hedging

helped keep underlying anchored.

- Second half bounce in equities didn't last, SPX heading south again late

(-46.0)' after AMZN and GOOGL disappointed late Thu, next wk's Apple and

Facebook reports adding to angst.

- US$ index reversed, near lows late; Gold firmer (XAU +3.5); WTI crude bounced,

+.26 at 67.59; VIX vol index all over the place, +3.0 early to down near 1.0

early in second half is trading +2.0 after FI close.

- Heavy futures volume (TYZ>2.4M) two-way flow/better buying on net, banks and

real$ out the curve, two-way curve flow levels moderated in second half. 

- Tsy cash/ylds: 2Y 100-04 (2.806%), 5Y 99-27 (2.907%), 10Y 98-09 (3.077%), 30Y

94-00 (3.317%).

MONTH-END EXTENSIONS: *** Preliminary Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2017; TIPS 0.06Y; Govt inflation-linked, 0.06Y

*.....................Projected...1Y Avg Incr..Last Oct

*US Tsys.................0.06........0.08........0.06

*Agencies................0.19........0.08........0.07

*Credit..................0.06........0.09........0.04

*Govt/Credit.............0.07........0.09........0.06

*MBS.....................0.08........0.07........0.07

*Aggregate...............0.07........0.08........0.06

*Long Govt/Credit........0.05........0.10........0.06

*Interm Credit...........0.06........0.08........0.04

*Interm Govt.............0.07........0.08........0.07

*Interm Govt/Cred........0.06........0.08........0.06

*High Yield..............0.05........0.09........0.07

US TSY FUTURES CLOSE: Trading higher, near middle of the range; strong volume

(TYZ 2.41M); curves flatter; update:

* 2s10s +0.124, 26.724 (26.146L/28.297H);

* 2s30s +1.189, 50.470 (48.614L/52.231H);

* 5s30s +2.480, 40.701 (37.514L/41.626H);

Current futures levels:

* Dec Ultra bonds up 27/32 at 151-15 (150-24L/151-27H)

* Dec 30-yr Bond futures up 24/32 at 139-15 (138-28L/139-25H)

* Dec 10-yr futures up 16.5/32 at 119-1.5 (118-21.5L/119-06H)

* Dec 5-yr futures up 11/32 at 112-24.5 (112-16.5L/112-28H)

* Dec 2-yr futures up 3.75/32 at 105-14.5 (105-12L/105-16.5H)

US EURODOLLAR FUTURES CLOSE: Trading moderately higher by the bell with Reds and

Greens leading the strip; Strong volume. Current White pack (Dec'18-Sep'19):

* Dec'18 +0.025 at 97.275

* Jun'19 +0.035 at 97.130

* Jun'19 +0.050 at 97.000

* Sep'18 +0.060 at 96.925

* Red pack (Dec'19-Sep'20) +0.090-0.075

* Green pack (Dec'20-Sep'21) +0.090-0.085

* Blue pack (Dec'21-Sep'21) +0.080-0.075

* Gold pack (Dec'22-Sep'22) +0.075-0.065

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0025 to 2.1767% (+0.0056/wk) 

* 1 Month +0.0018 to 2.2967% (+0.0149/wk) 

* 3 Month +0.0111 to 2.5203% (+0.0432/wk) 

* 6 Month +0.0026 to 2.7767% (+0.0532/wk) 

* 1 Year +0.0050 to 3.0567% (+0.0364/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.19% vs. 2.18% prior, $822B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.16% prior, $425B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.16% prior, $395B

PIPELINE: Quiet end to week

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

No new issuance Friday, just over $16.5B priced on week

10/25 $2.25B *Province of Alberta 5Y +25

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

- Oct 29 Sep personal income (0.3%, 0.4%) 0830ET

- Oct 29 Sep current dollar PCE (0.3%, 0.4%) 0830ET

- Oct 29 Sep total PCE price index (0.1%, 0.2%) 0830ET

- Oct 29 Sep core PCE price index (0.0%, --) 0830ET

- Oct 29 NY Fed Sn VP Testa, LBMA/LPPM Precious Metals Conf, Boston, MA. 0900ET

- Oct 29 Chi Fed Pres Evans, 6TH Ann Summit Reg'l Competitiveness, Chi, Q&A.

0945ET

- Oct 29 Oct Dallas Fed manufacturing index (28.1, --) 1030ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 10,000 Long Green Dec 66 puts at 28 vs 9688/0.36%

* Total 25,000 Front Nov/Front Dec 73 call sprd at 1.25

* 12,000 Front Nov/Front Dec 73 call sprd at 1.25

* 6,000 Dec 73/75 call sprd at 0.5, note +5k bought at 1 earlier

* 7,000 Green Dec 71 calls at 6.5 vs 9692/0.25%

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

* -10,000 Short Dec 76 calls vs Front Dec 75/76 call sprd at 0

* 5,000 Mar 70/75 puts over risk reversal at 2 vs 9713/0.39%

* 10,000 Jun 66/67/68 put fly at 2

* 10,000 Mar 68/70/71 put fly at 3.25

Block, 09:25:41ET,

* +27,787 Green Dec 65/70 Strangles at 7.5

* Total -25,000 Short Nov 67/70 call over risk reversal at 0 vs 9684.5/0.44%

* Total +10,000 Short Dec 71/73/76 call tree at 1.5 vs 9688/0.10%

* 5,000 Short Dec 71/72 call sprd at 1

* 5,000 Short Dec 70 calls at 5 vs 9686.5/0.30%

* -25,000 Jun 66/67/68 put fly at 2 vs.

* +25,000 Mar 72/73/75 1x2x3 call fly for net 4.5

* +5,000 Dec 73/75 call sprd at 1

* -5,000 Jun 66/68/77 put fly at 2.25

* 5,000 Short Dec 71/73/76 call tree at 1.5 vs 9688/0.10%

* 5,000 Short Mar 62/63/65/66 put condor at 2 vs 9686.5/0.10%

Block, 0632:07ET

* +5,000 Jun 66/67/68/70 put condors, 4.5 net

Tsy options, Pit/screen: 

Block, 1212:26ET

* -8,425 TYZ 119 calls, 35/64 vs. 119-00.5/0.49%

Block, 1159:34ET appears to be a sale

* 17,220 TYZ 120.5 calls, 8/64, post-time bid/still bid

Block, 11:27:48ET,

* 14,193 TYX 119 call at 4

* 8,269 TYZ 119.5 calls at 25

* 5,500 FVZ 113.5/116 call spds, mostly 8.5/64

* 5,000 TYZ 119/120 call sprd at 20 vs 30.5/0.28%

* 2,000 TYF 118.5/119.5/121 1x3x2 broken call flys, 10/64 net/belly over

* +10,000 TYZ 116/117 2x1 put sprd at 2 vs 20/0.05%

* 1,000 TYZ 116.5/117.5 put spds, 6/64 vs. 118-24.5/0.10%

* 1,000 TYZ 115/115.5 put strip, 2

Salient screen trades include

* >13,000 TYZ 117/121 call over risk reversals, 2/64

* >+12,000 TYX 119 puts mostly 10- to 11/64

* +10,000 TYZ 120/120.5 call spds, 4- to 5/64

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

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