US TSYS: TARIFF ROLL-BACK PHASE-I CARROT? NOT SO FAST!

US TSY SUMMARY: Risk appetite returned early overnight on headlines that US and

China officials agreed to a tariff rollback IF a mutually agreeable deal can be

reached. That drove the tone for nearly the whole session. Until late headlines

aired that any tariff roll-back was causing internal strife in WH. More: WH

Kudlow said there would be concessions if there's a phase 1 deal, while Chinese

officials said there would be NO roll-back in exchange for phase 1 deal. Who

will be better at the political and economic calculations?

- Tsys ground lower through midday, flow included real$ and bank portfolio

selling 10s and 30s, two-way option tied flow, prop and fast$ selling

intermediates, 2s and 5s vs 10s steepener as the climb in yld triggered unwinds.

No corp-deal tied hedging. Stops triggered in belly around midday. Fast$ and

prop accts bought 5s-10s late.

- Weak US Tsy $19B 30Y bond auction (912810SK5) awarded 2.430% (2.170% last

month) vs. 2.422% WI; w/ 2.23 bid/cover (2.25 prior). Indirects drew 58.79% vs.

58.52% prior, 20.48% directs vs. 18.54%, and 20.73% for dealers vs. 22.94%

prior. The 2-Yr yield is up 6.1bps at 1.6693%, 5-Yr is up 9.9bps at 1.7302%,

10-Yr is up 8.6bps at 1.9138%, and 30-Yr is up 7.7bps at 2.3929%.

US TSY FUTURES CLOSE: Sharply lower after the bell, off session lows -- as

US/China headline risk continues to wag the market. Update:

* 3M10Y  +9.427, 35.846 (L: 22.709 / H: 40.987)

* 2Y10Y  +2.772, 24.341 (L: 19.788 / H: 26.248)

* 2Y30Y  +1.632, 71.928 (L: 69.07 / H: 73.583)

* 5Y30Y  -2.391, 65.887 (L: 65.196 / H: 68.747)

Current futures levels:

* Dec 2-Yr futures down 4.5/32  at 107-15.5 (L: 107-13.50 / H: 107-20.625)

* Dec 5-Yr futures down 17/32  at 118-4.5 (L: 117-29.25 / H: 118-23.25)

* Dec 10-Yr futures down 29.5/32  at 128-13 (L: 127-31.5 / H: 129-12)

* Dec 30-Yr futures down 2-10/32  at 156-21 (L: 155-26 / H: 159-00)

* Dec Ultra futures down 3-20/32  at 182-00 (L: 180-15 / H: 185-21)

US TSY FUTURES: Late session roll update: Dec futures don't expire until

mid-late December (10s, 30s and Ultras on 12/19, 2s & 5s 12/31) -- Dec/Mar

rolling starting to occur ahead first notice (where March futures take lead

quarterly position) only three weeks away (Nov 29). Update:

* TUZ/TUH appr 54,600 from -5.75 to -4.5, -4.62 last; 7% complete

* FVZ/FVH appr 42,400 from -9.75 to -7.75, -8.25 last; 5% complete

* TYZ/TYH appr 38,100 from -0.75 to 2.0, 1.25 last; 5% complete

* UXYZ/UXYH N/A

* USZ/USH appr 4,000 from 26.25 to 27.75, 26.75 last; 1% complete

* WNZ/WNH appr 500 from 24.5 to 25.0, 24.75 last; 1% complete

US EURODLR FUTURES CLOSE: Sharply weaker across the strip, but off midday lows,

more than making up for Wed's rally as risk appetite returned. Current White

pack (Dec 19-Sep 20): 

* Dec 19 -0.010 at 98.090

* Mar 20 -0.040 at 98.275

* Jun 20 -0.065 at 98.330

* Sep 20 -0.080 at 98.370

* Red Pack (Dec 20-Sep 21) -0.12 to -0.085

* Green Pack (Dec 21-Sep 22) -0.135 to -0.125

* Blue Pack (Dec 22-Sep 23) -0.135

* Gold Pack (Dec 23-Sep 24) -0.135 to -0.13

US DOLLAR LIBOR: Latest settles

* O/N +0.0071 at 1.5436% (-0.0485/wk)

* 1 Month +0.0030 to 1.7580% (-0.0163/wk)

* 3 Month -0.0028 to 1.9014% (+0.0108/wk)

* 6 Month -0.0013 to 1.9226% (+0.0201/wk)

* 1 Year +0.0063 to 1.9830% (+0.0578/wk) 

STIR: Federal Reserve Bank of New York EFFR for prior session:

* Daily Effective Fed Funds Rate: 1.56%, volume: $81B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $192B

US TSYS: REPO REFERENCE RATES: (rate, volume),

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.083T

* Broad General Collateral Rate (BGCR): 1.53%, $457B

* Tri-Party General Collateral Rate (TGCR): 1.53%, $432B

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

08-Nov 1000 Nov Michigan sentiment index (p) (95.5, 96.0)

08-Nov 1000 Sep wholesale inventories (-0.3%, -0.3%)

08-Nov 1000 Sep wholesale sales (0.0%, 0.2%)

08-Nov 1100 Q4 St. Louis Fed Real GDP Nowcast

08-Nov 1115 Q4 NY Fed GDP Nowcast

08-Nov 1145 SF Fed Pres Daly, economics of climate change

08-Nov 2000 NY Fed Williams, moderated Q&A, global fncl sys, NY, Q&A

08-Nov 2030 Fed Gov Brainard, climate change economics conf, San Fran

PIPELINE: Still no new high-grade issuance for the day after near $25B issued by

Wed. AbbVie history

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

11/07 Nothing in the works as yet

11/?? Chatter: AbbVie jumbo issue next week? (last year, AbbVie issued $6B on

09/13: 1.25B 3Y +60, $1.25B 5Y +90, $1.75B 10Y +138, $1.75B 30Y +183)

11/?? Chatter: Sprint

11/?? Chatter: T-Mobile US 

Eurodollar/Tsy options: 

Eurodollar Options

Block, 1510:30ET,

* 10,000 short Sep 93/96/97/100 call condors, 1.0

* 10,000 short Dec 93/96/97/100 call condors, 1.5

* +15,000 Red Mar 95/96/97/98 call condors, 1.0 (lower for longer indeed!)

* -10,000 Red Dec'20 80 puts, 7.5

* 5,000 short Feb 86/87/88 call trees, 0.5

* 10,000 Mar 85/87/88 call trees, 0.0

* -5,000 short Dec 82/86 put over risk reversals, 1.0

* -5,000 Red Dec 80/82 3x2 put spds, 12.0

* +5,000 Red Mar 82/88 1x2 call spds, 4.0

* 10,000 Mar 90 calls, 0.5 and Jun 90 calls, 1.5

* +15,000 Red Dec'20 88/93 call spds, 5.5

* 5,000 Jun 87 puts, 1.0

* 15,000 Mar 92 calls, 1.0

large Red Dec'20 vol seller screen/pit/block

* Update, appr -50,000 Red Dec'20 85 straddles, 48.0

Block, 1203:50ET, adding to -37k in pit/on screen

* -10,000 Red Dec'20 85 straddles, 48.0

large Red Dec'20 vol seller

* over 20,000 Red Dec'20 85 straddles, 48.0 mostly screen with carry-over

selling in pit

* Update, some 60,000 short Mar/short Dec 92/97 call spd spd, 4.25 EOZ over

* -5,000 Jun 91/95 call spds, 1.25

* +4,000 Red Dec 88/93 call spds, 6.5

* +7,000 short Apr/short Jun 80 put strip, 7.0

* 2,000 short Dec/Blue Dec 81/82 put spd spd, 1.5 Blue Dec over

* 2,000 Green Jan/Blue Jan 86/87 call spd spd, 0.5 Green Jan over

* Screen details on +13,000 Dec 77/80/81 put flys, 4.5 (+20k at 1.25 on Oct 2,

same day some +100k Dec 77 puts bought and blocked at 1.0 -- currently marked at

cab -- futures have come down but so has vol).

Tsy options:

* 4,500 FVZ 114.5 puts, .5/64 on screen

* 1,500 TYF 129/132 strangles, 1-20

Huge covered 5Y call buy in pit

* +21,200 FVF 118.5 calls, 29.5/64 vs. 118-13.5/0.48%

Unwind of buy from last Thursday at 28-30:

* -30,000 USZ 158/160 put spds, 1-28 to 1-26/64 on screen

* -15,000 TYZ 129/130 put spds, 49/64 on screen

* 4,000 TYZ 128/128.75 2x1 put spds, 18

* 1,000 USZ 161 calls, 9/64

* 1,500 USZ 160 calls, 18/64 vs. 157-19

* 2,300 TYZ 128.5/129 put spds, 16/64 vs. 128-23

* +4,600 TYH 131.5 calls, 20/64 on screen

* -5,000 USZ 160 calls, 17/64 vs. 158-17

Overnight trade,

* +8,300 TYZ 127.5/128/128.5 put flys, 5/64

* -6,000 TYZ 128.75/129.5 put spds, 29/64

* +1,700 TYF 124/126/128 put flys, 18/64

* 2,000 FVF 119.5/120 1x2 call spds

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

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