US TSYS: RISK-ON FALTERS LATE, VOL SURGES

US TSY SUMMARY: Tsys pared losses late as equities erased gains/traded lower on

back of US Trump/China Xi talk headlines, speculation over increased tariffs if

talks fail. Yld curves off steeper levels. Otherwise, relative quiet in second

half trade. 

- Vol index surges on late tone change for risk, VIX +2.75 to 26.91H (not far

from last Fri high of 27.52...prior high on Oct 11 of 28.84); US$ index firmer

(DXY +.228 to 96.587) US$/Yen making pared gains +.33 to 112.24 late.

- Tsys had extended overnight lows into early NY trade amid cautious risk-on

move w/equities rebounding after last week's equity rout. Early driver out of

Germany w/reports that Chancellor Angela Merkel will step down as head of the

CDU, Bunds sold off w/Tsys in tow. Sovereign spds narrowed significantly

(BTP/Bund 5Y -22.1).

- Busy data week while Fed in blackout ahead next wk's FOMC; data picks up in

second half w/ADP private employ, PMI, and Oct NFP.

- Tsy cash/ylds: 2Y 100-03.5 (2.814%), 5Y 99-25.75 (2.916%), 10Y 98-08 (3.081%),

30Y 93-27 (3.326%).

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: Choppy, inside range day w/Tsys paring losses in late

trade as equities erased early gains/traded lower last few minutes on back of US

Trump/China Xi talk headlines, speculation over increased tariffs if talks fail.

Yld curves off steeper levels, update:

* 2s10s -0.024, 26.498 (25.804L/28.052H);

* 2s30s +0.980, 50.932 (49.067L/51.777H);

* 5s30s +0.876, 40.477 (38.938L/41.068H);

Current futures levels:

* Dec Ultra bonds down 7/32 at 151-07 (150-14L/152-00H)

* Dec 30-yr Bond futures down 1/32 at 139-13 (138-25L/139-28H)

* Dec 10-yr futures down 1.5/32 at 118-31.5 (118-22.5L/119-05.5H)

* Dec 5-yr futures down 1.25/32 at 112-23 (112-17.75L/112-26.75H)

* Dec 2-yr futures down .25/32 at 105-14.25 (105-12.5L/105-15.25H)

US EURODOLLAR FUTURES CLOSE: Trading mostly lower after the bell, short end

outperforming, levels near mid-range out the strip. Current White pack

(Dec'18-Sep'19):

* Dec'18 +0.005 at 97.275

* Jun'19 +0.005 at 97.130

* Jun'19 +0.005 at 97.000

* Sep'18 +0.000 at 96.925

* Red pack (Dec'19-Sep'20) -0.010-0.020

* Green pack (Dec'20-Sep'21) -0.020-0.015

* Blue pack (Dec'21-Sep'21) -0.015-0.010

* Gold pack (Dec'22-Sep'22) -0.015-0.010

US DOLLAR LIBOR: Latest settles, 

* O/N +0.0021 to 2.1788% (+0.0056 last wk)

* 1 Month +0.0053 to 2.3020% (+0.0149 last wk)

* 3 Month +0.0063 to 2.5266% (+0.0432 last wk)

* 6 Month +0.0050 to 2.7817% (+0.0532 last wk)

* 1 Year +0.0070 to 3.0637% (+0.0364 last wk)

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

* Secured Overnight Financing Rate (SOFR): steady at 2.19%, $779B

* Broad General Collateral Rate (BGCR): steady at 2.17%, $413B

* Tri-Party General Collateral Rate (TGCR): steady at 2.17%, $395B

PIPELINE: $1.1B Charles Schwab 5y, 10Y priced

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

10/29 $850M *Consumer Energy $300M 10Y +73, $550M 30Y +103

10/29 $550M *Aflac WNG 30Y +145

10/29 $500M *Shinhan Bank 5Y +105

10/29 $300M *Southwestern Public Service WNG 30Y +110

10/29 $1.1B #Charles Schwab $500M +5Y +67, $600M +10Y +97

10/29 $700M #Boeing WNG $350M 10Y +67, $350M 30Y +92

10/29 $1B Oesterreichische Kontrollbank (OKB) WNG 5Y, +9a

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

- Oct 30 27-Oct Redbook retail sales m/m (0.0%, --) 0855ET

- Oct 30 Aug Case-Shiller Home Price Index (0.1, --) 0900ET

- Oct 30 Q3 housing vacancies rate 1000ET

- Oct 30 Oct Conference Board confidence (138.4, 136.8) 1000ET

- Oct 30 Oct Dallas Fed services index (25.6, --) 1030ET

- Oct 30 Sep farm prices

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +30,000 short Jun 80/83 call spd w/short Jun 80/85 call spds, 2.5 total

debit/strip

* -5,000 short Mar 71 calls, 7.0 vs. 96.825/0.10%

* +5,000 Mar 70/71 2x1 put spds, 2.0

* +5,000 short Mar 65/66/67 put trees, 1.75/legged

* +5,000 short Jan 65/66/67 put flys, 2.5

* -6,500 Mar 71/72 1x2 call spds, 0.5 earlier

* 10,000 (pit/screen) Green Jun/Blue Jun 68 straddle spds, 1.0 net

* 3,500 Blue Mar 68 straddles, 35.0

* 3,500 long Green Mar'21 66 puts, 32.5

* 3,200 short Sep 68 straddles,

* 3,000 Red Dec'19 68 straddles,

* -3,000 short Nov/short Dec 67/68/70 put fly strip, 6.0

* +6,000 Dec 73 calls, 1.75

* +7,750 short Jan 63/65/71/72 call condors, 10.5 net

* 1,500 Green Dec 66/67 put spds, 3.5 vs. 96.855

* 1,500 Dec 68 puts, 8.0 vs. 96.855

* -5,000 short Mar 62/63/65/66 put condors, 2.0

* 4,000 Dec 72 puts, 4.25 vs. 97.265

Early trade recap, vol offered on the modest risk-on tone (at least it's not

more risk off), better call buyers and with a few exceptions, put sellers --

unwinds.

* +10,000 Jun 67/68 put spds, 4.5 vs. 96.96/0.14%

* 5,000 Blue May 67 puts, 2.0 vs. 96.895/0.22%

* 2,500 short Feb 65/67 3x2 put spds, 13.0

* +4,000 Dec 73/75 1x2 call spds, 0.5

Block, 0740:53ET

* +12,000 short Jan 76/short Jun 76 call spds, 3.5 net vs. 96.83/0.05%

Block, 0626:33ET

* 5,900 Nov 73 calls, 1.0 vs. 97.28/0.15%

Tsy options, Pit/screen:

* 6,600 FVZ 109.7 puts, .5/64 on screen

* 2,000 TYF 116/117/118 put flys, 10/64

* 1,500 wk2 TY 117.5/118/118.5 put flys, 5/64

* 1,000 TYZ 117/117.5/118 put trees, 3/64

* +5,000 TYZ 121 calls, 4/64

* +2,500 TYZ 122/123.5 call spds, 1/64 on screen

* -3,000 TYF 118.5 straddles, 1-32/64

Vol for sale early:

* -2,000 TYZ 118.5/119.5 strangles, 40/64

* -3,000 TYZ 118.5 straddles, 1-6/64,

* sellers in TYZ 118 and 120 straddles as well

* -3,000 TYF 118.5 straddles, 1-32/64

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

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