US TSYS SAFE-HAVEN RALLY ON KOREA EBBS:BLK BOXES SWITCH POSITN

     US TSYS SUMMARY: Treasuries ended higher, but well off day's price high,

amid black-box hedge fund selling in Tsys/buying US$/yen then such accounts

reversed overnight UK trades and earlier NY trades in late NY, said traders. 

- Tsys rallied overnight as N.Korea missile hit sea near Hokkaido, Jpn, which

spurred muted safe-haven bid in TOKYO. But in UK and NY, Tsys rallied strongly,

amid black-box safe-haven buying in Tsys/sales in dollar/yen, said traders. -

Treasuries bid waned late morning on firm US Conf Board consumer confidence,

higher 15.1 US Dallas Fed Aug. Servc Activity Index and 0.1% US June

Case-Shiller Seas Adjusted Home Px Index. Sources cited about 6,000 S&P 500

Futures bought at 10:43am ET (Big, not E-minis). Tsys morning buying in cash,

futures belly, and pre-auction hedging shorts/sales into 7Y auction. 

- Tsy $28B 7Y auction demand: 1.941% rate, strong 68.8% indirects, 16.6%

directs, 14.6% dealers. 

- Tsy futures 1:05pm ET block sale: TYU 5,000 at 127-09, sell thru. Tsys Sep/Dec

futures roll volume healthy. Options: better upside call sprd buying on net.

- TSYS 3PM ET: US 2Y 1.325%, 3Y 1.432%, 5Y 1.712%, 7Y 1.955%, 10Y 2.140%, 30Y

2.749

US TSY FUTURES CLOSE: Higher, but well off early session highs. Geopol concerns

never far from front burner these days, EGBs/Tsys traded broadly higher coming

into the session on concerted safe haven bid for risk-off assets following N

Korea missile launch that flew over northern Japan. Tsy futures gradually worked

off session highs as USD bounced off lows, higher vs. Yen, equities rebounded

and Gold traded lower late. Current futures levels: 

* Sep Ultra bonds up 8/32 at 169-12 (169-05L/171-00H) 

* Sep 30-yr Bond futures up 8/32 at 157-00 (156-26L/158-04H) 

* Sep 10-yr futures up 6.5/64 at 127-06.5 (127-01L/127-19H) 

* Sep 5-yr futures up 4.5/32 at 118-25.5 (118-21.75L/118-31.75H) 

* Sep 2-yr futures up 1.25/32 at 108-09 (108-08L/108-10.5H)

US EURODLR FUTURES CLOSE: Modestly higher by the bell, well off first half highs

to near session lows as USD and equities recovered after midday. Current White

pack (Sep'17-Jun'18): 

* Sep'17 +0.000 at 98.670 

* Dec'17 +0.000 at 98.580 

* Mar'18 +0.015 at 98.535 

* Jun'18 +0.020 at 98.495 

* Red pack (Sep'18-Jun'19) +0.025-0.030 

* Green pack (Sep'19-Jun'20) +0.030-0.035 

* Blue pack (Sep'20-Jun'21) +0.030-0.020 

* Gold pack (Sep'21-Jun'22) +0.020

US SWAPS: Spds mildly wider (2and 5yr roll adjusted) to steady in the long end

amid modest two-way in 2s-5s, paying in 7s and 10s. OTC vol steady/lower, off

better levels in the first half. Latest spread levels: 

* 2Y +0.56/20.50 

* 5Y +0.25/5.50 

* 10Y +0.44/-6.00 

* 30Y +0.00/-36.00

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

- Aug 30 25-Aug MBA Mortgage Applications (-0.5%, --) 0700ET

- Aug 30 Jul ADP private payrolls (178K, --) 0815ET

- Aug 30 Q2 GDP (2nd) (2.6%, 2.7%) 0830ET

- Aug 30 Q2 GDP Price Index (1.0%, 1.0%) 0830ET

- Aug 30 Fed Gov Powell: Big Fncl Firms' Brd, conf Chicago Q/A 0915ET

- Aug 30 Aug help-wanted online ratio (1.18, --) 1000ET

- Aug 30 25-Aug crude oil stocks ex. SPR w/w (-3.3MM bbl, --) 1030ET

- Aug 30 Jul farm prices (-0.1%, --) 1500ET

Eurodollar/Treasury option summary

Eurodollar options,

Blocks:

0408ET

5k EDZ 86/EOZ 85c spds, 2.0

0521-0815ET,more in pit

+15k EOU/E2U/E2Z 90c strip, 1.0

0637-0655ET

17k EOX 85/87c spds, 3.5

0739-0744ET, more in pit

+20k E2Z 85/86c spds, 2.0 w/

+20k E2Z 85/87c spds, 3.0

0750ET

+10k EOH 82/83c spds, 7.5 vs.

-10k EOH 80p, 3.5 vs. 98.37/0.30%

1057ET, more in pit

10k EOF 81/82p spds, 3.5

1335ET

+10k EOU 81p, cab vs. 98.44/0.05%

Pit/screen:

+22k EDZ 82p, cab

10k EDZ 85/86/87c flys, 4.25

+3k EDZ 83/85p spds, 2.0 vs. 98.60

+2k EDU'18 85 straddles, 30.0

+23k EOU/E2U/E2Z 90c strip, 1.0

+20k EOZ 80/81p spds, 1.0

-14k EOM 87c vs.

+EOM 76/78/81p trees, 0.75cr

+10k EOZ 85c, 5.5

10k EOH 82/83c spds, 7.5 vs.

15k EOH 78p, 2.0 vs. 98.375

-5k EOH 82/83c spds vs.

+EOF 80p, 5.0

+5k EOX 80p, 0.5

+5k EOF 81/82p spds, 3.5, also Blck'd

+3k EOZ 80/81/82p flys, 1.5

-2k EOX 83/E2X 82 straddle spds, 39.5

+25k E2Z 85/86c spds, 2.0 w/

+25k E2Z 85/87c spds, 3.0, also Blck'd

2k E2U 83/85c spds, 2.0 vs. 98.27

3.5k E2H 75/77/80 2x3x1p flys, 0.5

+30k E3Z 75p, 2.0 vs. 98.045/0.10%

+10k E3U 76/77/81/82p condors, 9.0

+10k E3Z 75/77p spds, 3.0

+10k E3U 78/80/81p flys, 3.0 vs. 98.13

Tsy options

Pit/screen:

+17.8k TYX 136c, 1

+10k TYZ 129c, 28-30

8k TYV 127/127+c spds, 13

4.5k TYV 126+p, 16

+4k TYV 126+p, 16

-4k TYV 127.2 straddles, 102-104

+4k TYV 127+/TYZ 129+c spds, 3

+3.9k TYX 129/131c spds, 10

+2.5k TYZ 124/128 R/R, 37c ovr

+2.3k TYX 123+/125+p spds, 13

2k TYV 127+/129+c spds, 2

-2k TYV 125+/126+/127+c trees, 29

-1.69k TYX 127p vs.

+2.5k TYZ 129c, 7

1k TYX 129/131c spds, 11

-3k TUZ 108.3c vs.

TUZ 107.8/108.1p spds, 1.0-0.5

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]