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US 10YR FUTURE TECHS

(M1)‌‌ Needle Still Points North

     US TSYS SUMMARY: US Treasuries ended Thurs lower, but well off day's lows,
after late month-end buying follows morning/afternoon slide as stocks gained on
speculation US Senate will pass GOP tax bill today or early Friday. Gold also
decline. But Sen. has hours of debate ahead on tax bill until roughly 3am ET,
with various contentious issues. 
- Tsys slid too as US House moving forward on temporary funding bills to keep US
govt open past the Dec. 8th expiration of temporary debt ceiling. 
- Technical selling too as cash 10Y note broke above 2.40% and 2.42% yld; close
will be quite important to watch. 
- Tsys month-end buying pushed aside earlier amid Congress news but resumed
late. BBG/Barclays bond index extends 0.11 yrs, today, monthend, large amount. 
- FX-tied selling in Tsys as US$ rose vs. Japanese yen. Tsy futures had heavy
volume, 100K TYH 10Ys sold from 11:09-11:24am ET from 124-09 to -06. And at
9:33am ET, was 5,000 TYH at 124-10, buy through. TYH saw 2,500 block buy, cross
on offer. 
- Tsys did not react much to weaker 63.9 Nov MNI Chicago Biz Barometer;
ISM-Milwaukee Mrfg index ebbed to 59.62 Nov. Oct PCE Core Chain Wt Px Index
0.2%, 0.4% Oct personal income. 
- Late Tsy futures buying: over 150K TYH bought 2:45-3pm ET; late blocks buy of
10K FVH 5Y futrs at 116-106; and 4,173% UXH Ultra 10Y at 133-04. 
- Tsy options had block buy 11:47am ET of 8,300 TYF 123.75 puts, 16/65; 
- US CORPS: Light issuance. 
- US SWAPS: Spreads wider. 
- US TSYS 3PM ET: 2Y 1.790%, 3y 1.903%, 5y 2.144%, 7y 2.315%, 10y 2.417%, 30Y
2.832%
US TSY FUTURES CLOSE: Heavy late session month-end buying helps futures cut
losses by the close, over +150k TYH bought in last 15 minutes of session,
TYH>290k. Current futures levels: 
* Mar Ultra bonds down 12/32 at 164-30 (163-25L/165-08H) 
* Mar 30-yr Bond futures down 13/32 at 151-25 (151-00L/152-06H) 
* Mar 10-yr futures down 12.5/32 at 124-02.5 (123-29.5L/124-13H) 
* Mar 5-yr futures down 8.5/32 at 116-11.5 (116-09L/116-18.5H) 
* Mar 2-yr futures down 2.25/32 at 107-06.25 (107-05.75L/107-08.25H)
US EURODLR FUTURES CLOSE: Trading near session lows by the bell, Greens-Golds
underperforming, moderate overall volume, little month end relief in comparison
to Tsy move. Current White pack (Dec'17-Sep'18): 
* Dec'17 +0.000 at 98.450 
* Mar'18 -0.015 at 98.260 
* Jun'18 -0.020 at 98.105 
* Sep'18 -0.025 at 98.010 
* Red pack (Dec'18-Sep'19) -0.035-0.050 
* Green pack (Dec'19-Sep'20) -0.050-0.055 
* Blue pack (Dec'20-Sep'21) -0.050-0.055 
* Gold pack (Dec'21-Sep'22) -0.055-0.050
US SWAPS: Spds running mixed by the bell, wings mildly wider vs. tighter
intermediates. Short end well off early levels, spd curve rebounding from
flatter levels. Relatively quiet, mixed flows on day w/5Y switch around
2.1975-2.1825%, $240M payer 3s at 2.07%, two-way curve flows w/2s10s flattener,
steepeners via 5s vs. 7s and 10s. Specs looking at steepeners and wideners in
the intermediates. OTC vol firmer but off earlier highs as Tsys rebound off
lows. Latest spread levels: 
* 2Y +0.12/18.12 
* 5Y -0.31/5.88 
* 10Y -0.38/-1.12 
* 30Y +0.06/-23.44
US OUTLOOK: Data/speaker calendar (prior, estimate):
- Dec 01 Nov NA-made light vehicle sales SAAR (13.8M, 13.5M)
- Dec 01 StL Fed Bullard Eco/Pol: EcoBrief, Little Rock,AK; Q/A 0905ET
- Dec 01 Dall Fed Kaplan: Guided Q/A:Border Econ McAllen TX Q/A 0930ET
- Dec 01 Nov Markit Mfg Index (final) 0945ET
- Dec 01 Nov ISM Manufacturing Index (58.7, 58.0) 1000ET
- Dec 01 Oct construction spending (0.3%, 0.5%) 1000ET
- Dec 01 Phil Fed Harker: Incl Econ Grwth: Fed Pol Forum; Phil 1015ET
- Dec 01 Q4 St. Louis Fed Real GDP Nowcast (3.21%, --) 1100ET
- Dec 01 Q4 NY Fed GDP Nowcast (3.7%, --) 1115ET
- Dec 01 Fed VC for Supervision Quarles participates in discussion on fin/reg at
Group of Thirty's Winter Plenary in New York, moderated audience Q&A. 19:00ET
Eurodollar/Treasury Option Summary:
Eurodollar options
Pit/screen:
* +10,000 long Green Dec 72/75 put spds, 7.5
* -5,000 Dec 83/85 strangles, 0.5
* 5,000 short Jun 76/78 put spds, 8.5
* total -80,000 short Dec 86 puts, 1.0, adds to heavy screen sales (outright,
flys)
* 10,000 Jun 76/77 put spds, cab
* 5,000 Green Dec 77/Green Mar 76 put spds, 3.0
* -3,000 short Jun 77/81 2x3 call spds, 24.0 vs. 97.84/0.56%
* -8,000 short Jun 76/78 put spds, 8.5 vs. 97.90/0.25% w/
* -8,000 Green Jun 73/76 put spds, 6.0 vs. 97.80/0.17%, 14.5 total credit adds
to appr -30k sold Wed
* 2,500 short Sep 71/72/73/75 put condors, 1.5 earlier
* +8,000 Red Dec 73/75 and 76/77 put spd strip, 4.5 total
* over +13,000 short Dec 77/78/80 put flys, 4.5 on screen
* additional 10,000 short Dec 78 puts sold at 1.5, still bid
* 1,250 short Feb 77 puts
* 2,000 Blue Feb 76 calls, 12.5 vs 97.655/0.55
* 1,000 Mar 83/85/86 call flys, 1.5
* +10,000 Mar 83 calls, 2.0
* Update, near -60,000 short Dec 78 puts at 1.0 on screen
* near 60,000 short Dec 78 puts,
* +21,500 short Dec 78/80 call spds, 6.5
* -3,000 Mar 83 calls, 2.0
Tsy options
Pit/screen:
* +5,000 TYF 127/128 call spds, cab-10 now, adds to +25k mostly at cab-12
* 2,000 TYG 122.5/125.5 call spds, 24/64
* +2,500 FVH 114/115/115.5 put trees, 2.5/64
Block, 1147:15ET
* +8,300 TYF 123.75 puts, 16/64 vs. 124-07/0.32%, still offered
* +20,000 TYF 127/128 call spds, cab-12 after buying 3,500 TYF 127/128 call
spds, 1/64 vs. 124-15/0.05%
* 1,000 TYG 126.5 calls, 7/64
* 2,000 TYH 124.5 straddles, 1-46/64
* total +1,000 USG 149/150 put spds at 5/64 over the USF 155 calls
* 1,000 TYF 125/125.5 1x2 call spds, 1/64 vs. 124-15.5/0.05
* 800 USG 149/150 put spds, 17/64 vs. USF 155 calls, 12/64
* +13,700 TUH 107 puts, 4.5/64 on screen
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
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