US TSYS: RISK-OFF TEMPERED LATE

US TSY SUMMARY: Tsys bid after the bell but well off midmorning highs, near

lock-step rebound in equities of steep losses (SPX nearly traded unchanged in

late trade).

- Limited data, all about global equities that cratered overnight, strong

risk-off tone spurred heavy volume in rates (TYZ>2.7M). Hang Seng -3.08%, CSI

300 -2.66%; European indexes lower but weathered weakness better; SPX -62.0 by

midmorning to 2692.0L).

- ECB issue w/Italy budget continues to induce anxiety. BTP/Bund spd gapped

wider after Moody's annc'd sovereign downgrade as well as taking action on 12

banks, six banks and four Italian utilities.

- Fed speakers Bostic and Kaplan had little effect on mkts. Some focus on Wed's

BoC policy annc, 25bp hike to 1.75% widely anticipated; No major policy

developments are likely at this week's ECB meeting.

- Decent $38B 2Y auction (CUSIP 9128285G1) awarded a 2.880% rate (2.829%

previous) vs. 2.882% WI. Tsy cash/ylds: 2Y 99-24.25 (2.875%), 5Y 99-12.25

(3.009%), 10Y 97-17 (3.168%), 30Y 93-03.5 (3.367%).

US TSY FUTURES CLOSE: Trading moderately higher by the bell -- well off first

half highs as equities pared steep losses late; strong volume (TYZ 2.63M).

Curves steeper; update:

* 2s10s +0.347, 28.894 (25.327L/28.894H);

* 2s30s +1.123, 48.695 (45.029L/49.026H);

* 5s30s +1.761, 35.412 (32.802L/36.427H);

Current futures levels:

* Dec Ultra bonds up 16/32 at 150-06 (149-16L/151-15H)

* Dec 30-yr Bond futures up 13/32 at 138-07 (137-22L/139-07H)

* Dec 10-yr futures up 09/32 at 118-09 (117-31L/118-21H)

* Dec 5-yr futures up 06/32 at 112-8.75 (112-2.25L/112-15.25H)

* Dec 2-yr futures up 02/32 at 105-9.25 (105-6.75L/105-11H)

US EURODOLLAR FUTURES CLOSE: Trading steady to mildly higher with reds and

greens outperforming the rest of the strip; strong volume. Current White pack

(Dec'18-Sep'19):

* Dec'18 0.000 at 97.255

* Mar'19 +0.015 at 97.100

* Jun'19 +0.020 at 96.955

* Sep'19 +0.025 at 96.850

* Red pack (Dec'19-Sep'20) +0.045-0.035

* Green pack (Dec'20-Sep'21) +0.045-0.035

* Blue pack (Dec'21-Sep'21) +0.040-0.035

* Gold pack (Dec'22-Sep'22) +0.035-0.030

US DOLLAR LIBOR: Latest settles

* O/N +0.0032 to 2.1738% (+0.0027/wk)

* 1 Month -0.0052 to 2.2813% (-0.0005/wk)

* 3 Month +0.0025 to 2.4898% (+0.0127/wk)

* 6 Month +0.0182 to 2.7475% (+0.0240/wk)

* 1 Year +0.0033 to 3.0343% (+0.0140/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.19% prior, $791B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $408B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $393B

PIPELINE: 10/23 $3B *EIB WNG 5Y +6

10/23 $2B *Netflix 10.5NCL split: $800M US$ 6.25%a and E1.1B 4.625%a

10/23 $Benchmark Ukraine 10Y

10/24 $Benchmark JBIC 5Y +31a, 10Y +43a

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

- Oct 24 19-Oct MBA Mortgage Applications (-7.1%, --) 0700ET

- Oct 24 Aug FHFA Home Price Index (0.2%, --) 0900ET

- Oct 24 Oct Markit Services Index (flash) (53.5, --) 0945ET

- Oct 24 Oct Markit Mfg Index (flash) (55.6, --) 0945ET

- Oct 24 Sep new home sales (629k, 625k) 1000ET

- Oct 24 Sep bldg permits revision 1000ET

- Oct 24 Atl Fed Pres Bostic, armchair disc, LSU Energy Summit, LA, Q&A 1000ET

- Oct 24 19-Oct crude oil stocks ex. SPR w/w (6.49m bbl, --) 1030ET

- Oct 24 StL Fed Pres Bullard on US Eco/MonPol, Edinburgh, Q&A. 1130ET

- Oct 24 US Tsy $39B 5Y note auction (9128285K2) 1300ET

- Oct 24 Fed Beige Book for upcoming FOMC, 1400ET

- Oct 24 Atl Fed Pres Bostic, armchair disc, LSU Energy Summit, LA, Q&A 1400ET

- Oct 24 US Fed Gov Brainard, honored at Cncl for Economic Education's '18

Visionary Awards for promotion of economic and financial literacy, NY, moderator

Q&A. 1900ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* -12,000 Blue Dec 66/68 2x1 put sprd at 7.5

* 5,000 Jan 71 puts at 7.5 vs 9710.5/0.56%

Block, 1223:48ET,

* -10,000 short Dec 70 calls, 3.5 vs. 96.81/0.23%

* Update, +20,000 short Dec 70/73 1x2 call spds, 2.75/legs, adds to +50k at 2.5

* +10,000 Short Jun 61 puts at 1.5 over Short Mar 61 puts

* +50,000 Short Dec 70/73 call sprd at 2.5

* -30,000 Red Dec 66/67 puts sprd vs Red Dec 73 calls for 0.25, 73 call ovr

* +10,000 Dec 72/73 Strangle at 5.5, note earlier trade of 5k at 5

* +3,000 Green Nov 65/66/67 put trees, 2.5 vs. 96.795/0.10%

* +5,000Red Dec 60/62/65 put flys, 3.5

* 5,000 Red Dec 60/62/65 put fly at 3.5 vs 9678/0.10%

* 5,000 Nov 73 calls at 0.75 vs 9728.5/0.10%

* -4,000 Nov 72 calls,4.5

* 10,000 Short Dec 73 calls, on screen

* +15,000 Mar 68/70 put sprd at 2

* +4,000 short Mar 66/68 put spds, 13.0

* -2,500 Jan 70/71/72 put flys, 4.0

* -10,000 Blue Jun 67 Strangle at 44.5

* -4,000 Blue Apr 68 straddles, 38.0

* -8,750 Red Mar 65 puts at 14 vs 9674/0.37%

* +3,500 Green Dec 66 puts at 4.5 vs 9672.5/0.34%

* 3,000 Dec 72/73 Strangle at 5

* +3,000 Short Dec 68/70 1x2 call sprd at 0.5 vs 9682/0.05%

* 5,000 Red Sep 90/95 call sprd at 1

* +5,000 Mar 67/68/70 put flys, 1.5

* +5,000 Jun 66/67/68/70 put condors, 5.0 on screen overnight

Tsy options, Pit/screen:

* +5,000 TYX 118.5 calls at 7

* -7,700 TYX 119 calls at 2

* -5,000 TYX 118.25/118.75 call sprd at 17 vs 10/0.40%

* +5,000 TYX 118.25/118.5 2x1 put sprd at 0

* -2,000 TYX 118 calls at 26

* +4,000 TYX 118 puts at 3

* 6,150 FVX 112.5/112.75 1x2 call sprd at 15

* Total +150,000 TYZ 120/121 call sprd at 5, on screen

* -7,600 TYZ 122/123.5 call sprd at 1

* 5,000 TYZ 117 puts at 6 vs 118-17/0.12%

* 5,000 TUZ 105.25/105.5 1x3 call sprd at 5

* +7,500 TYZ 117.5 puts at 12

* 4,000 TYZ 119.5 calls at 13 vs 17.5/0.20%

* -10,000 TYZ 116.5/117.5 put sprd at 10

UPDATE: Total >40,000 TYX 119 calls bought from 1 to 4, pit and screen

* more TYX 119 calls, +5,000 at 4/64 (screen volume >35k from 1-4)

* 1,000 TYX 118/118.5 call over risk reversals, 7/64

* 1,000 TYX 118.25 straddles, 28/64

Decent overnight trade includes

* 4,000 wk2 TY 116.75/117.5/118.25 put flys

* 11,000 FVF 111.25/113 call over risk reversals, 2/64

Heavier volume in TYX options ahead Friday's expiry

* over 33,000 TYX 119 calls from 1- to 3/64

* over 13,000 in each to TYX 118.25 and 118.5 calls

* 8,800 TYX 119.75 calls, 1/64

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

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