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(U2)‌‌ Uptrend Accelerates

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US TSY SUMMARY: Rates weaker all day, futures near second half lows by the bell
albeit on modest volumes, TYZ just over 1M. Post Sep FOMC minutes react: muted
with brief risk-on unwind before rates shifted lower again on back of stronger
equities.
- US/China trade headlines (soybean purchases, China open to partial trade deal
despite tech blacklist) spurred risk-on move coming into the session. Nascent
chatter over "partial" trade deal helped keep risk-on momentum rolling after
midday. Rates also partially pressured by corporate ($10.065B/day) and Tsy
supply related hedging.
- Right on the screws, latest US Tsy $24B 10Y note auction (912828YB0) awarded
1.590% rate (1.739% in September) vs. 1.590% WI; 2.43 bid/cover (2.46 previous).
- Not much of a lasting react to Sep FOMC minutes, economic outlook evolves
w/some Fed officials think expectations for cuts are overdone.
- The 2-Yr yield is up 4.6bps at 1.4657%, 5-Yr is up 4.9bps at 1.4004%, 10-Yr is
up 5.1bps at 1.5802%, and 30-Yr is up 5.1bps at 2.08%.
US TSY FUTURES CLOSE: Weaker all day, futures near second half lows by the bell.
Post Sep FOMC minutes react: muted with brief risk-on unwind before rates
shifted lower again on back of stronger equities. Yld curves mostly flatter,
update: 
* 3M10Y  +6.764, -10.344 (L: -19.5 / H: -9.404)
* 2Y10Y  +0.651, 11.195 (L: 9.995 / H: 13.912)
* 2Y30Y  +0.311, 60.895 (L: 59.725 / H: 64.765)
* 5Y30Y  -0.059, 67.534 (L: 66.896 / H: 70.217)
Current futures levels:
* Dec 2-Yr futures down 3.375/32 at 108-0 (L: 107-31.5 / H: 108-04)
* Dec 5-Yr futures down 8/32 at 119-25.5 (L: 119-25 / H: 120-03.75)
* Dec 10-Yr futures down 13/32 at 131-9.5 (L: 131-08.5 / H: 131-26)
* Dec 30-Yr futures down 29/32 at 163-21 (L: 163-14 / H: 164-24)
* Dec Ultra futures down 1-16/32 at 193-19 (L: 193-09 / H: 195-21)
US TSYS/10Y: Right on the screws, latest US Tsy $24B 10Y note auction
(912828YB0) awarded 1.590% rate (1.739% in September) vs. 1.590% WI; 2.43
bid/cover (2.46 previous). Indirects drew 58.53% vs. 62.61% prior, directs
12.79% vs. 12.72% (12.7% avg), and 28.68% for dealers vs. 24.67% prior (appr
26.0% avg).
US EURODLR FUTURES CLOSE: Weaker across the strip -- largely reversing Tuesday's
move, tail-end of Whites through Reds leading sell-off. Current White pack (Dec
19-Sep 20): 
* Dec 19 -0.010 at 98.165
* Mar 20 -0.045 at 98.455
* Jun 20 -0.060 at 98.570
* Sep 20 -0.070 at 98.650
* Red Pack (Dec 20-Sep 21) -0.07 to -0.06
* Green Pack (Dec 21-Sep 22) -0.055 to -0.045
* Blue Pack (Dec 22-Sep 23) -0.04 to -0.04
* Gold Pack (Dec 23-Sep 24) -0.035 to -0.035
US DOLLAR LIBOR: Latest settles
* O/N -0.0155 at 1.7900% (-0.0308/wk)
* 1 Month -0.0114 to 1.9274% (-0.0501/wk)
* 3 Month -0.0253 to 1.9843% (-0.0428/wk)
* 6 Month -0.0206 to 1.9428% (-0.0079/wk)
* 1 Year -0.0066 at 1.8819% (+0.0288/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.82%, volume: $69B
* Daily Overnight Bank Funding Rate: 1.80%, volume: $157B
US TSYS: REPO REFERENCE RATES: (rate, volume),
* Secured Overnight Financing Rate (SOFR): 1.85%, $1.070T
* Broad General Collateral Rate (BGCR): 1.82%, $454B
* Tri-Party General Collateral Rate (TGCR): 1.82%, $431B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
- 10-Oct 0830 05-Oct jobless claims (219k, 220k)
- 10-Oct 0830 Sep CPI (0.1%, 0.1%); Ex Food and Energy (0.3%, 0.2%)
- 10-Oct 1030 04-Oct natural gas stocks w/w
- 10-Oct 1100 Sep Kansas City Fed LMCI
- 10-Oct 1130 $50B US Tsy 4W (912796WD7), $40B 8W (912796WH8) bill auctions
- 10-Oct 1230 SF pres Daly, fireside chat, livestream
- 10-Oct 1300 $16B US Tsy 30Y Bond (912810SJ8) auction/Re-open
- 10-Oct 1400 Sep Treasury budget balance
- 10-Oct 1500 StL Fed Bullard mon-pol panel discussion
- 10-Oct 1530 SF pres Daly, business lunch, San Diego
- 10-Oct 1630 09-Oct Fed weekly securities holdings
- 10-Oct 1730 Clev Fed Mester, John Carroll University speaking event
- 10-Oct 1830 Atl Fed Bostic, Rainbow Push Coalition conf
PIPELINE: Italy 3-parter priced late; total $10.065B priced on day
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
10/09 $7B *Rep of Italy $2.5B 5Y +105, $2B 10Y +150, $2.5B 30Y +235
10/09 $1B *Bank of Nova Scotia +3Y +60
10/09 $1B *NIB (Nordic Investment Bank) 3Y +8
10/09 $565M *Thai Oil 30Y +145
10/09 $500M *Suntory Holdings Ltd 5Y +88
Later in week/month:
10/10 $350M EBRD (European Bank for Reconstruction & Development) 3Y SOFR+26
10/10 $Benchmark ADB (Asia Development Bank) 5Y +14
10/?? $Benchmark Industrial Bank of Korea
Eurodollar/Tsy options: 
Eurodollar Options (October options expire Friday)
* 10,000 Jan 86/88 call spds, 4.5
* +5,000 short Mar 91/95/97 call flys, 4.5
* +5,000 Mar 86/88 2x3 call spds, 5.5
* +5,000 Dec 78/80 put spds, 2.0
* +8,000 short Nov 87/88/91 put flys, 0.0 on screen
* +4,500 short Dec 81/83/85 put flys, 0.5
* +5,000 Blue Dec 85 puts, 6.5
* +28,000 Nov 88 calls on screen at cab
* +/-26,500 Oct 82 calls, 0.75 on screen a few minutes prior
* +5,000 Dec 86/87 call spds, 0.5
* +4,000 Mar 86/91 1x2 call spds, 6.25
* 4,500 Dec 80 put/87 call spd on 3x4 ratio, 6.0
* -15,000 Feb 83 puts, 10.0-11.0
spreading upside insurance from late '21 through '22
* +4,000 long Green (EDZ1, EDH2, EDM2, EDU2) 100 call strip, 28.0
* +4,000 Sep 87/91 2x3 call spds 1.5 over Sep 80 calls x3
* +4,000 Dec 88 calls, 0.75 on screen, Nov 88 calls trade cab small
* -1,500 Green Oct 87 straddles, 7.5
* -5,000 Dec 80/81/82 call flys, 2.0
* +2,500 Jun/Red Dec'20 90/93/97 call fly strips, 7.5
* 5,000 short Dec 82/85/86 put flys, 0.0
* over 12,000 Mar 78/80/81/82 put condors, 2.5 on screen
* over +17,900 Oct 82 calls, 0.75 last (Oct options expire Friday, see 0828ET
bullet for details)
--
Reminder, October Eurodollar options expire Friday tions expire Mon morning at
6:00 am ET while Red through Purple midcurves expire at 5:00 pm ET Fri). Final
OI coming into session according to CME Group Data below: 
-- Apr serial OI: 2,253,240 (1,272,454 calls, 980,786 puts);
-- Apr 1yr midcurve (Red) OI: 1,461,067 (626,697 calls, 834,370 puts);
-- Apr 2yr midcurve (Green) OI: 832,685 (354,738 calls, 477,947 puts);
-- Apr 3yr midcurve (Blue) OI: 377,421 (231,394 calls, 146,027 puts);
-- Apr 4yr midcurve (Gold) OI: 53,554 (29,399 calls, 24,155 puts);
That's a total of 4,977,967 options (2,724,727 of which are midcurves) coming
off the sheets.
Tsy options:
* 4,700 TYX 131/131.5 strangles on screen 54/64
* Update, some 45,000 TYX 135 calls between pit/screen, 1/64
* +3,000 TYZ 132/134 call spds, 31/64 over TYZ 128 puts vs. 131-23.5
Earlier screen and pit trade:
* +10,000 wk3 TY 130.5 puts, 6-7
* over +13,000 TYX 130 puts, 6/64
* 5,500 TYX 130.25 puts, 8-9
* over 2,000 FVX 120 straddles, 44.5
* -2,000 FVZ 120.5 calls, 24/64
--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
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com

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