US TSYS SHORT END WEAK, LONG END HIGHER AS 5/30Y CURVE FLATTEN

     US TSYS SUMMARY: US Treasuries end Tuesday higher after slowly creeping

higher in two-way flows since about 8am ET. Tsys had seen late asset allocation

as US stocks declined, and amid talk of 737-name stock sale program. 

- Tsys in late action made new session high prices. Mkt saw fairly muted trade

into Wed 8:30am ET ADP private payrolls and Fri 8:30am ET US Nov. nonfarm

payrolls data. 

- Tsys futures earlier afternoon traded mixed, curve flatter, bonds rebound.

Short-term tactical focus, position-squaring in futures, options heading into

Fri expiration of debt limit lifting. 

- Gold hammered earlier, similar to week-ago flow: $1B nominal seller that

dropped gold unexpectedly; last week's gold selloff timing coincided with

chatter over large Mideast/Saudi Acct cashing in. Latest move does NOT appear

related to a fairly small US$ blip higher. 

- Tsy futures had 6,000 contracts sold in a block at 1:16pm ET , sell through at

124-07. 5/30Y curve flattened to +58.1 bps. Also had been a late 3:30pm ET buy

of 6,700 TYH 10Y Tsy futures at 124-12; and a 3:27pm ET block buy of 11,000 FVH

5Y Tsy futures, and block buy in Eurodlr futures at 3:17pm ET for 1,000 Red

packs (EDZ8-EDU9). 

- 3pm ET: US 2Y 1.826%, 3Y 1.939, 5Y 2.151%, 7Y 2.283%, 10% 2.356%, 30Y 2.732%.

US TSY FUTURES CLOSE: Trading mixed after the bell, curve continuing to pancake

to new 10+ year lows (2s10s -3.222, 52.977; 5s30s -3.660, 58.280). Late session

allocation: equities slipping (hearing 737 name sell program, regional bank

names heavy) while Tsys made new session highs. Current futures levels: 

* Mar Ultra bonds up 1-4/32 at 167-31 (166-11L/167-04H) 

* Mar 30-yr Bond futures up 22/32 at 153-23 (152-21L/153-26H) 

* Mar 10-yr futures up 2.5/32 at 124-10.5 (124-02.5L/124-11.5H) 

* Mar 5-yr futures down 1/32 at 116-08.5 (116-05.25L/116-11.25H) 

* Mar 2-yr futures down 1/32 at 107-04 (107-03L/107-05.25H)

US EURODLR FUTURES CLOSE: Trade steady to mixed after the bell, long end of

strip outperforming in late trade, mirroring renewed flattening in Tsy curve to

new 10+ year lows. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.012 at 98.427 

* Mar'18 -0.010 at 98.240 

* Jun'18 -0.015 at 98.085 

* Sep'18 -0.010 at 97.995 

* Red pack (Dec'18-Sep'19) -0.005 

* Green pack (Dec'19-Sep'20) steady to +0.005 

* Blue pack (Dec'20-Sep'21) steady to +0.010 

* Gold pack (Dec'21-Sep'22) +0.010-0.015

US SWAPS: Spds steady to mixed after the bell, spd curve on late session steeps

vs. further flattening in Tsys. Note, 10Y dis-inverted Monday and continued to

widen to mid-2015 wides earlier; 30y spd still inverted but also at mid-2015

"highs". Flow included better front end rate receivers early, spd curve

steepeners into Tsy flattening. Sporadic insurance portfolio paying in 30s

around midday to late in the session. OTC vol running steady to mixed, vol curve

flatter w/gamma outperforming ahead Fri's Nov NFP. Latest spread levels: 

* 2Y -0.62/17.38 

* 5Y -0.44/5.56 

* 10Y +0.00/+1.69 

* 30Y +0.44/-19.56

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

- Dec 06 01-Dec MBA Mortgage Applications (-3.1%, --) 0700ET

- Dec 06 Nov ADP private payrolls (235K, --) 0815ET

- Dec 06 Q3 non-farm productivity (f) (3.0%, 3.3%) 0830ET

- Dec 06 Q3 unit labor costs (f) (0.5%, 0.2%) 0830ET

- Dec 06 Dec help-wanted online ratio (1.21, --) 1000ET

- Dec 06 01-Dec crude oil stocks ex. SPR w/w (-3.43M bbl, --) 1030ET

- Dec 06 Nov Treasury STRIPS Holdings 1500ET

Eurodollar/Treasury Option Summary:

Eurodollar options

Pit/screen:

* -10,000 Feb 82/83 call spds, 2.75

* +5,000 Red Dec 72/75/77 put flys, 4.0

Latest Block, 1235-1236ET

* -20,000 Red Sep'19 77/85 call spds, 21.0 vs. 97.75/0.37%

* +30,000 Jan 81/82 put spds, 3.0

* +10,000 Mar 80 puts, 0.5 vs. 98.20

* -10,000 short Dec 78 puts, 2.5

* 2,000 Sep 75/76/77 put flys, 1.0

* 5,000 short Mar 76/77 3x2 put spds, 4.5 vs. 97.82

* +15,000 Feb 83/85 2x1 put spds, 0.5

* +10,000 short Mar 75 puts, 1.5

* -30,000 short Jan 76 puts w/-7,500 Green Dec 77 puts, 10.0 total credit

* +5,000 Sep 76/77 2x1 put spds, 0.5 (+25k+ bought on 1:1 ratio earlier)

Latest Block, 0920:11, adds to 15k in pit

* 10,000 Sep 76/77 put spds, 2.0

* 20,000 Green Jan 76/77 put spds, 6.0

* +37,000 (12k screen) Mar 80 puts, 0.5 vs. 98.20/0.05%

* 8,400 Jan 82/83 strangles, 3.25 vs.

* 8,400 Mar 81/82 2x1 put spds, 3.5

* 4,000 Mar 78/82 put spds, 5.5

* 2,000 Jan 82/83/85 call flys, 1.75

* >12,000 Jan 81 puts, cab on screen

Latest Block, 0804:23ET,

* 10,000 Jun 80/81 put spds, 6.0 vs. 98.085/0.23%

* earlier Block, +5k Mar 83/85 call spds 0.5 over the Mar 81 put

Tsy options

Pit/screen:

* 1,500 TYF 125/125.5 call spds, 5/64 vs. 124-05

* 2,600 TYF 125.25/126.25 call spds, 5/64 vs. 124-08.5

* 1,500 TYF 124 puts, 20/64

* 2,600 wk2 FV 116/116.5 put spds, 18.5 vs.

* 2,600 FVF 115.75/116.25 put spds, 12.5

* 1,500 TYF 124.5/125 call spds, 9/64 vs. 124-07

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

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