US TSYS: The Pain, The Pain

     US TSY SUMMARY: Pain for Risk-Parity knows no bounds.

- Risk- and Risk-off assets very unsettled: Treasury yields actually higher

(well off highs, however) even as equities continue to collapse n late trade:

SPX -100.0 at 2788.25.

- The "whole buy treasuries and spy and risk parity saves the day seems to be

having a really bad week," one dealer desk said. May have to extend that for the

month when all said and done.

- Add another pain trade: West Texas crude (WTI) hammered in late trade (72.76,

-2.20) despite appr 42% of gulf oil output knocked out due to Hurricane Michael

-- upgraded to category 4 as it made landfall on Florida panhandle.

- Other late items: short vol? Not looking so good either with VIX climbing over

6.86 in late trade to 22.81.

- Treasury futures rebounding in late trade as equities crater.

US TSY FUTURES CLOSE: Late update, futures surge on Globex as equities tumble

over 105.0. Currently:

* 2s10s +0.701, 32.408 (31.476L/34.922H);

* 2s30s +2.964, 50.892 (47.692L/52.753H);

* 5s30s +3.824, 34.939 (30.791L/34.404H);

Current futures levels:

* Dec Ultra bonds up 7/32 at 150-04 (148-23L/150-13H)

* Dec 30-yr Bond futures up 9/32 at 138-00 (136-29L/138-06H)

* Dec 10-yr futures up 10.5/32 at 118-04.5 (117-17.5L/118-05.5H)

* Dec 5-yr futures up 7.5/32 at 112-08.5 (111-28.25L/112-08.75H)

* Dec 2-yr futures up 2.75/32 at 105-10.5 (105-6.5L/105-10.5H)

US EURODOLLAR FUTURES CLOSE: Level on close below. Actually trades +0.025-0.045

in Reds through Golds on Globex late. Current White pack (Dec'18-Sep'19):

* Dec'18 0.000 at 97.330

* Mar'19 +0.005 at 97.135

* Jun'19 +0.010 at 96.965

* Sep'19 +0.010 at 96.845

* Red pack (Dec'19-Sep'20) EVEN

* Green pack (Dec'20-Sep'21) EVEN

* Blue pack (Dec'21-Sep'21) -0.005-EVEN

* Gold pack (Dec'22-Sep'22) -0.010-EVEN

US DOLLAR LIBOR: Latest settles,

* O/N +0.0065 to 2.1720% (+0.0003/wk) 

* 1 Month -0.0039 to 2.2832% (+0.0065/wk) 

* 3 Month +0.0048 to 2.4252% (+0.0171/wk) 

* 6 Month +0.0072 to 2.6362% (+0.0133/wk) 

* 1 Year +0.0071 to 2.9691% (+0.0108/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.15% vs. 2.16% prior, $855B

* Broad General Collateral Rate (BGCR): 2.13% vs. 2.14% prior, $434B

* Tri-Party General Collateral Rate (TGCR): 2.13% vs. 2.14% prior, $415B

PIPELINE: Waiting on Sumitomo multi-tranche

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

10/10 $1.4B *TransCanada Pipeline $400M tap 4.25%, $1B 30Y +170

10/10 $750M *CPPIB Capital Inc +3

10/10 $500M *Jackson National Life 2Y +30

10/10 $2.5B #Sumitomo Mitsui Financial Grp (SMFG) $1.85B 5Y fix/FRN, $650M 10Y

+112

10/10 $1B #Sumitomo Mitsui Banking Corp 2Y +37

10/10 $Benchmark KFW 3Y +4a

10/10 $Benchmark Province of Ontario Canada 5Y +25

Chatter $3B total US$ denominated PBOC 5Y, 10Y and 30Y

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

- Oct 11 06-Oct jobless claims (207k, 206k) 0830ET

- Oct 11 Sep CPI (0.2%, 0.2%) 0830ET

- Oct 11 Sep CPI Ex Food and Energy (0.1%, 0.2%) 0830ET

- Oct 11 07-Oct Bloomberg comfort index 0945ET

- Oct 11 05-Oct natural gas stocks w/w 1030ET

- Oct 11 05-Oct crude oil stocks ex. SPR w/w 1100ET

- Oct 11 US TSY $15B 30Y Bond auction (912810SD1) 1300ET

- Oct 11 Sep Treasury budget balance (-$214.1B, $62B) 1400ET

- Oct 11 10-Oct Fed weekly securities holdings 1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

Block, 13:32:19ET,

* 10,000 Red Jun 57 puts at 3, note 5k traded in pit

* Total +30,000 Short Dec 70 calls at 2.5

* 20,000 Short Dec 70 calls at 2.5

* 5,000 Green Dec 67 Straddle at 23 vs 9672/0.10%

* 6,500 Green Nov 67/68 1x2 call sprd at 0.5 vs 9673/0.0.05%

* 5,000 Red Jun 57 puts at 3 vs 9668.5/0.10%

* +100,000 Red Sep 55/57 put spds, 2.5

* 5,000 short Jun 62/65/67 put flys, 5.0

* 11,000 Long Green Mar 55/58 5x4 put sprd at 20

* 7,700 short Dec 70/71 call spds, 1.0 vs. 96.68

* 2,000 short Dec 65/66/67 put strips 10.5 over short Dec 70 calls

* -20,000 Green Dec 65/70 strangles legged, 6.75 earlier

* Update, total -100,000 Blue Nov 65/68 call over risk reversals on day, 1.0 net

vs. 96.73

* +20,000 Dec 73/75 1x2 call sprd at 1.25

* 5,500 Short Mar 63/66/68 1x1x4 put tree at 90.5

* 10,000 Short Nov 67/70 1x2 call sprd at 4

* +70,000 Jun 65 puts at 1 vs 9693/0.10%

UPDATE: Total 30,000 Long Green Dec 52/57 3x2 put sprd at 8

* 10,000 Short Dec 70/72 1x2 call sprd at 1 vs 9679/0.05%, note recent 20k

blocked

* 10,000 Green Mar 61/62/70/71 call condor at 9 vs 9667/0.10%

* 10,000 Long Green Dec 52/57 3x2 put sprd at 8

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

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