US TSYS STRONG FI RALLY AFTER DOVISH ECB DRAGHI, SAFE HAVEN UP

By Bill Sokolis

     CHICAGO (MNI) - 

US TSYS SUMMARY

     Broadly higher by the bell, off post-Draghi highs, lvls rebound late after

some

consolidation during second half. Delayed react to dovish ECB Draghi comments

after steady policy annc earlier; weaker equities (emini -2.25, 2461.5) and USD,

strong move gold (1349.79/H) added to risk-off. 

- Little react to wkly claims +62k to 298K, Tsys ratcheted higher w/EGBs. Flow

included prop and fast$ buying 5s and 10s, bank port', real$ buying 10s, 30s,

stops triggered on way up, fast$ sales short end. Second round of buying late

morning w/real$, bank and insurance portfolio buying long end prop, fast- and

real$ buying 5s and 10s, 5- and 10s vs. 30s flatteners. Sporadic profit taking

on way up, deal-tied selling and rate paying as spd curve flattened. 

- Another decent copr supply day >$16B, $55B on week!

- USD/Yen tested 10M lows (108.34), as did 10- and 30Y Tsy ylds (2.035% and

2.653% resp); sovereign peripherals mostly tighter vs. Bunds. 

- Swap spds wider early, modest paying in 2s, 5s and 10s w/5- and 10yr spds

2-3bp wider, appr 4-wk highs, ongoing repo specials that adds to widening.

- 3pm ET: 2Y 1.266%, 3Y 1.372%, 5Y 1.630%, 7Y 1.875%, 10Y 2.049%, 30Y 2.667%

     US TSY FUTURES CLOSE

     Broadly higher across the board, long end leading charge all session. Off

post-Draghi highs, lvls rebound late after some consolidation during second

half. Current futures levels:

* Dec Ultra bonds up 1-25/32 at 170-30 (169-06L/171-12H)

* Dec 30-yr Bond futures up 1-8/32 at 157-19 (156-11L/157-30H)

* Dec 10-yr futures up 16.5/32 at 127-19.5 (127-03L/127-23H)

* Dec 5-yr futures up 9/32 at 118-28.75 (118-20L/118-31H)

* Dec 2-yr futures up 2.25/32 at 108-08.75 (108-06.5L/108-09.5H)

     US EURODLR FUTURES CLOSE

     Higher across the strip after the bell, off first half highs but not by

much --

recovering ground after prices pared gains in second half. Current White pack

(Sep'17-Jun'18):

* Sep'17 +0.007 at 98.687

* Dec'17 +0.025 at 98.615

* Mar'18 +0.025 at 98.560

* Jun'18 +0.030 at 98.525

* Red pack (Sep'18-Jun'19) +0.030-0.040

* Green pack (Sep'19-Jun'20) +0.045-0.050

* Blue pack (Sep'20-Jun'21) +0.050-0.055

* Gold pack (Sep'21-Jun'22) +0.050-0.055

     US SWAPS

     Spd update, running mostly wider after the bell, 5yr leading move, long end

off

narrows lat. Deal-tied selling and rate paying as spd curve flattens. Incoming

supply not enough to counter effect of safe-haven/risk-off bid in Tsys (N Korea

tension, Hurricanes Harvey, Irma) and ongoing repo specials that adds to

widening. Receiver unwinds in the mix as weaker hands throw in the towel. OTC

and exchange traded option vol higher/off highs on days sudden rate rally

following EGBs on delayed ECB Draghi react. Latest spread levels:

* 2Y +0.75/23.69

* 5Y +1.12/8.50

* 10Y +0.38/-3.50

* 30Y -0.19/-33.88

     US OUTLOOK

     Data/speaker calendar (prior, estimate):

- Sep 08 Phil Fed Harker: Cnsmr Fin/Crd conf, Philadelphia 0845ET

- Sep 08 NY Fed Dudley interview on CNBC 1000ET

- Sep 08 Jul wholesale inventories (0.4%, --) 1000ET

- Sep 08 Jul wholesale sales (0.7%, --) 1000ET

- Sep 08 Q3 St. Louis Fed Real GDP Nowcast 1100ET

- Sep 08 Q3 NY Fed GDP Nowcast 1115ET

- Sep 08 Jul consumer credit ($12.4B, $15.0B) 1500ET

- Sep 08 Aug Treasury Allotments (final) 1500ET

     Eurodollar/Treasury option summary

     Eurodollar options, 

Blocks:

1022ET

  10k EOH 82/83c spds, 7.0 vs. 98.37/0.15%

1240ET

  12k EOM 88c, 4.0

  10k E2M 88c, 4.5

Pit/screen:

-30k EDZ 82/83/85p flys, 1.5

-15k EDZ 83/85/86p flys, 2.75-2.50

+10k EDZ 83/85p spds, 1.5

+10k EDX/EDZ 85p strips, 1.0

+10k EDZ 85/87 R/R, 1.0p ovr

-8k EDZ 83/85/87 2x3x1c flys, 10.0

5k EDZ 78/81/83 2x1x1p trees, 3.5

4k EDX 83/86/87 1x3x2c flys, 15.5

4k EDV 83/85c spds, 12.0

4k EDV 86/87c spds, 1.25

2k EDZ 85/87 1x2c spds, 11.5

+25k EDZ18 82p, 12.0 vs. 98.395

3k EDH'19 72/77p spds, 3.5 vs. 98.38

+20k EOF 80/81p spds, 2.0

+10k EOZ 85/86c spds vs. EOZ 81p, 1.5-1.25db

-2k E2V 82 straddles, 15.5

+8k E3F 80/E3Z 81 straddle spds, 4.5

-4k E3U 80p vs. +2k E3U 82c

     Tsy options

Blocks:

0759ET

  3.75k wk2 TY 126.2/126.7p spds, 1

  3.75k wk2 TY 126.2/126.7p spds, 6

  225 TYZ 127-07.5

Pit/screen:

>7k TYV 128/TYZ 130c spds, 2.0-0.0

+5.5k TYZ 125+/126+p spds, 16-17

-5k TYV 126+p, 5

3.25k TYX 128/129c spds, 20

3k TYV 127.2/128c spds, 23

2k TYX 125+/126+p spds, 12

1.6k TYZ 125.5/127.5 straddle spds, 39

1k TYV 127.2/128c spds, 23

-1k TYX/TYZ 127+ straddle strip, 331

2.7k wk3 TY 126.7/127.2p spds, 9

1.05k wk2 TY 156+/157+c spds, 4

1k FVV 118/118+p spds, 4

10k TUZ 108.3/108.6c spds, 4.5

+5k TUZ 107.5/107.6/107.8 1x1x2p trees, 3-3.5

-1k TUZ 107.6/107.7/107.8/108p condors, 1.5

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

[TOPICS: MTABLE]