US TSYS: SO-SO 30Y AUCTION, DJIA RESUMES FALL, SOWN OVER 1035

US TSYS SUMMARY: Rates running mixed late Thu, well off early lows on heavy

volume (TYH>2.9M), late support as DJIA tumbled>1,025pts, eminis down over 77.0

by the bell. CDX IG nearly 5.5pts higher -- imminent credit event? Choppy trade

post so-so 30Y bond auction, weaker w/slight 1bps tail, awarded 3.121% rate

(stopped out at 2.867% previous); 2.26 bid/cover. Crude extending Wed's late

second half drop (WTI -1.01, 60.78).

- Tsys opened lower/off post-BoE annc lows, curves steeper on heavier volume,

heavy selling TYH 120-27 to 120-24 before making new session lows of 120-17.

Wkly claims -9k to 221k, Dec housing Px +3.3%. Fed Harker sees 2 hikes in '18,

Dudley 4 but can be patient. 

- Massive duration weighted 10s/Ultra-bonds flattener Block faded week's

steepening (-33.6k TYH 120-17 vs. +8.6k ULH 156). Deal-tied flow. 

- Heavy real$ selling in intermediates to long end earlier, 2-way curve flow

after large flattener block, 5s and 7s vs. 30s steepeners, 10s30s flatteners.

Real$ selling off the run 5s and 10s to get current.

- Late ylds: 2Y 2.114%, 3Y 2.310%, 5Y 2.548%, 7Y 2.740%, 10Y 2.833%, 30Y 3.132%

US TSY FUTURES CLOSE: Trade weaker after the bell, near middle 2-point range in

long end, heavy volume (TYH>2.8M) after some post auction chop, so-so $16B 30Y

auction tailing 1.bps. Latest curve update:

* 2s10s +0.521, 71.550 (74.235H/69.168L);

* 2s30s +1.299, 100.137 (103.047H/97.889L);

* 5s30s +1.358, 56.931 (58.019H/54.067L);

Current futures levels:

* Mar Ultra bonds down 17/32 at 156-16 (155-22L/157-16H)

* Mar 30-yr Bond futures down 19/32 at 144-01 (143-20L/144-31H)

* Mar 10-yr futures down 3/32 at 120-29 (120-17L/121-08H)

* Mar 5-yr futures down .25/32 at 114-18 (114-11.75L/114-24.25H)

* Mar 2-yr futures steady at 106-20.5 (106-19.5/106-22.5H)

US EURODOLLAR FUTURES CLOSE: Current White pack (Mar'18-Dec'18):

* Mar'18 -0.020 at 98.055

* Jun'18 -0.020 at 97.855

* Sep'18 -0.020 at 97.745

* Dec'18 -0.010 at 97.610

* Red pack (Mar'19-Dec'19) steady to +0.010

* Green pack (Mar'20-Dec'20) steady to +0.050

* Blue pack (Mar'21-Dec'21) -0.005-0.015

* Gold pack (Mar'22-Dec'22) -0.015-0.025

US SWAPS: Spds running mostly tighter by the bell, long end compression pulling

5s and 10s lower, short end wider all session. Decent two-way flow, deal- and

auction tied hedging in the wings. Curve action light and 2-way, prop rate

receiving 10s. OTC swaption vol see-sawed higher, pick-up in payer buying 1-3M

on 5s10s. Latest spread levels:

* 2Y  +0.88/23.50

* 5Y  -0.12/9.12

* 10Y -0.12/1.81

* 30Y -1.56/-17.12

PIPELINE: $1.75B JP Morgan Priced, $2B Citibank 2-Part Supply Launched

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

02/08 $1.75B *J.P. Morgan Chase Bank NA 2NC1 FRN 3ML+25a

02/08 $1.3B #Citibank NA $1.3B 3Y Fxd +55; $700M 3Y FRN 3ML+35

Potential upcoming issuance in the near term:

Chatter, 3M (MMM) A1/AA-

Chatter, Bank of New Zealand (BZLNZ) A1/AA-

Chatter, KeyBank 

Chatter, Fifth Third Bank (FITB) A3/A

Chatter, State Street Corp (STT) A1/A

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

- 09-Feb Dec wholesale inventories (0.8%, --) 1000ET

- 09-Feb Dec wholesale sales (1.5%, --) 1000ET

- 09-Feb Q1 St. Louis Fed Real GDP Nowcast 1100ET

- 09-Feb Q1 NY Fed GDP Nowcast (3.2, --) 1115ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 5,000 Blue Jun 61/82 strangles, 2.5

* +60,000 Jun 78 puts, 8.5

Block, 1212:14ET,

* total 20,000 Green Mar 73 calls, 5.0

* total 20,000 Gold Mar 71 calls, 7.0

Block, 1142:30ET,

* 15,000 Jun 78/80 2x1 put spds, 1.5

Block, 1120:35ET,

* 10,000 Jun 78 calls, 5.5

* +40,000 Dec 73 puts, 4.0, 10k in pit w/+30k Blocked 1108:52-1114:42ET (+20k

more on put strip Block earlier)

* 15,000 short Mar 73/75/76 put flys w/short Jun 70/71/72/73 put condors, 7.5

Block, 1021:00ET,

* 10,000 May 77 puts, 1.75 crossed on bid

* 10,000 Red Dec19 63/67 2x1 put spds, 2.0

Block, 1017:45ET

* +10,000 Green Mar 70/71 put spds, 3.5 vs. 97.20/0.20%

Block, 1011:17ET,

* 10,000 Mar 80/81 1x2 call spds, 0.0

Block, 1003ET

* total +30,000 Jun 78 puts, 8.0

* +30,000 Jun 75 puts, cab

* +5,000 Jun 76/77/78 put flys, 4.25

* +4,000 May 77/78 put spds, 5.5,

* 11,800 long Green Mar'20 63/66 put spds, 4.5

* Update, total +20,500 Sep 75/76/77 2x3x1 put flys, 0.5/belly over

* +10,000 Sep 75/76/77 2x3x1 put flys, 0.5/belly over

Blocks, 0924ET, 16.0 total db

* +20,000 Jun 78 puts, 7.0 mid-mkt

* +20,000 Sep 76 puts, 5.0 offered

* +20,000 Dec 73 puts, 4.0 mid-mkt

* +10,000 Jun 76/77 2x1 put spds, 1.0 vs. 97.86/0.15%

* +5,000 Green Apr 68/70 put spds, 2.5 vs. 97.20/0.10%

Blocks,

* 20,000 Apr Apr 78 straddles, 9.0 at 0840ET

* 10,000 Mar 80 puts, 1.0 vs. 98.055/0.18% at 0844:29

Tsy options, Pit/screen:

Late screen trade after the bell

* -14,700 TYH 120.5 puts, 23/64

* 13,000 TYJ 118.5/120 put spds, 28/64 on screen

* +14,000 TYH 121.25 calls, 22- to 20/64, screen

* -10,000 TUH 106.5 puts,

* 3,600 TYH 120/120.75 2x1 put spds, 3/64

* 3,000 TYH 120/120.25/120.5 put trees, 11/64

Low delta put buying continues to underpin skew/vol in general, ATM vol selling

into strength.

* +8,000 FVH 114.25 puts, 11/64

* +6,000 TYH 120 puts, 15/64

* 1,000 TYH 121/122.5 3x1 put spds, 8/64

* 1,000 TYH 120.5/122 3x1 put spds, 14/64

* 1,000 TYJ 122/122.5 call spds, 4/64

Block, 0812:52ET

* 10,000 USH 142.5 puts, 41/64 -- went up at same time as futures, delta only

.29% however

* 5,000 USH 143-31, Blocked on the bid at time, trading 144-03 last

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

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