US TSYS: TRADE HEADLINES CONTINUE TO WAG MARKETS

US TSY SUMMARY: Rates weaker all session -- risk-on move first triggered after

South China Morning Post (SCMP) headline: "U.S. MAY DELAY DEC. 15 TARIFFS IF

PACT NOT REACHED BY THEN". Trade headlines continued to wag markets.

- Around midmorning, another SCMP story tempered the risk-on tone as they

reported "China watching Donald Trump's response to US Hong Kong" human rights

"bill as it threatens to become new barrier to trade deal". Needless to say,

mkts remain unsettled amid the lack of firm clarity on when or how US and China

will reach a deal though the latter did extend an invitation for US trade

officials to visit Beijing. Brief short covering late session as wires reported

Trump eying "new trade probe to justify new EU tariffs". 

- As to flow, heavy Tsy futures volume as Dec/Mar futures rolling continued to

surge ahead next week Fri's first notice; modest deal-tied hedging, two-way

option-tied hedging ahead Fri's Dec option expiration contributed. Swap-tied

buying helped anchor the short end. The 2-Yr yield is up 2.5bps at 1.6005%, 5-Yr

is up 2.2bps at 1.6106%, 10-Yr is up 2.4bps at 1.7688%, and 30-Yr is up 2bps at

2.2294%.

TECHNICALS:

US 10YR FUTURE TECHS: (Z9) Uptrend Intact For Now

*RES 4: 131-02+ 76.4% retracement of Oct 4 - Nov 7 decline

*RES 3: 130-26   High Oct 11

*RES 2: 130-15+ High Nov 1 and key bull trigger

*RES 1: 130-02+ High Nov 4 

*PRICE: 129-19 @ 16:10 GMT, Nov 21

*SUP 1: 129-11 Former channel top drawn off the Oct 7 high

*SUP 2: 128-31   Low Nov 18

*SUP 3: 128-10+ Low Nov 13

*SUP 4: 127-31+ Low Nov 7 and bear trigger

10yr futures sold off the Asia-Pac highs and softened throughout the Thursday

session, but the bullish outlook is maintained following the recent break of the

bear channel resistance drawn off the Oct 8 high. Attention is on resistance at

130-15+, Nov 1 high and the next key hurdle for bulls. On the downside, support

has been defined at 128-31, Nov 18 low where a break is required to neutralize

the current bullish theme.

US TSY FUTURES CLOSE: Scaling back about half of Wed's rally in long end, Tsys

see-sawed lower much of the session, bouncing slightly in late trade. Heavy

overall volumes largely tied to surge in Dec/March rolling. Update:

* 3M10Y  +1.725, 19.8 (L: 12.609 / H: 22.111)

* 2Y10Y  +0.267, 16.772 (L: 15.297 / H: 18.075)

* 2Y30Y  -0.092, 62.831 (L: 61.301 / H: 64.725)

* 5Y30Y  -0.103, 61.731 (L: 60.344 / H: 62.786)

Current futures levels:

* Dec 2-Yr futures down 1.875/32 at 107-20.375 (L: 107-20 / H: 107-23.875)

* Dec 5-Yr futures down 5.25/32 at 118-23 (L: 118-21.5 / H: 119-01)

* Dec 10-Yr futures down 10/32 at 129-15.5 (L: 129-12.5 / H: 130-02)

* Dec 30-Yr futures down 20/32 at 159-22 (L: 159-12 / H: 160-29)

* Dec Ultra futures down 1-6/32 at 187-12 (L: 186-24 / H: 189-16) 

US TSY FUTURES: *** Late roll update, heavy volume, but a LOT remains. Reminder,

mkt closed for Thanksgiving holiday next Thursday, Nov 28, Friday Nov 29 first

notice (March futures take lead quarterly position) a shortened session. Dec

futures don't expire until mid-late Dec (10s, 30s and Ultras on 12/19, 2s & 5s

12/31). Update:

* TUZ/TUH appr 617,000 from -6.88 to -6.5, -6.62 last; 24% complete

* FVZ/FVH appr 752,000 from -11.0 to -10.25, -10.5 last; 25% complete

* TYZ/TYH appr 683,700 from -2.25 to -1.5, -1.75 last; 15% complete

* UXYZ/UXYH 112,800 from -1-14.25 to -1-12.5, -1-13 last; 12% complete

* USZ/USH appr 50,600 from 25.25 to 25.75, 25.25 last; 12% complete

* WNZ/WNH appr 115,800 from 23.0 to 23.75, 23.00 last; 29% complete

US EURODLR FUTURES CLOSE: Weaker across most of the strip after the bell, near

session lows on decent range, lead quarterly EDZ9 remained under pressure as 3M

LIBOR continues to set' higher: +0.0107 to 1.9095% (+0.0067/wk). Current White

pack (Dec 19-Sep 20): 

* Dec 19 -0.015 at 98.095

* Mar 20 -0.030 at 98.320

* Jun 20 -0.030 at 98.435

* Sep 20 -0.030 at 98.510

* Red Pack (Dec 20-Sep 21) -0.03 to -0.025

* Green Pack (Dec 21-Sep 22) -0.03

* Blue Pack (Dec 22-Sep 23) -0.03 to -0.025

* Gold Pack (Dec 23-Sep 24) -0.03 to -0.025

US DOLLAR LIBOR: Latest settles

* O/N +0.0124 at 1.5414% (+0.0046/wk)

* 1 Month -0.0076 to 1.7080% (-0.0252/wk)

* 3 Month +0.0107 to 1.9095% (+0.0067/wk)

* 6 Month +0.0023 to 1.8935% (-0.0251/wk)

* 1 Year -0.0007 to 1.9086% (-0.0525/wk)

US SWAPS: Spds running tighter across the curve, 2Y compressing late amid better

rate and spd receiving in short end in addition to +8k Eurodlr Red pack Blocks,

deal-tied flow in the mix. Note, 2Y spd near low end inverted levels first

extended during much of August through September. Lates spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Thu 1500    -1.12/-1.88    -0.38/-7.00   -0.81/-11.06   -0.25/-38.50

1345        -0.25/-1.00    -0.25/-6.88   -0.50/-10.75   -0.12/-38.38

1030        -0.69/-1.44    +0.00/-6.62   -0.12/-10.38   -0.06/-38.31

Thu Open    -0.50/-1.25    +0.06/-6.56   -0.25/-10.50   -0.25/-38.50

Thu 0715    -1.00/-1.75    +0.06/-6.56   -0.06/-10.31   +0.00/-38.25

Wed 1500    -0.27/-1.12    +0.16/-6.61   +0.06/-10.62   +0.75/-38.75

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

* Daily Effective Fed Funds Rate: 1.55%, volume: $70B

* Daily Overnight Bank Funding Rate: 1.55%, volume: $168B

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

* Secured Overnight Financing Rate (SOFR): 1.57%, $1.001T

* Broad General Collateral Rate (BGCR): 1.54%, $417B

* Tri-Party General Collateral Rate (TGCR): 1.54%, $399B

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

22-Nov 0945 Nov Markit Mfg Index (flash) (51.3, 51.4)

22-Nov 0945 Nov Markit Services Index (flash) (50.6, 51.0)

22-Nov 1000 Nov Michigan sentiment index (f) (95.7, 95.7)

22-Nov 1100 Nov Kansas City Fed Mfg Index (-3, -2)

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

22-Nov 1115 Q4 NY Fed GDP Nowcast

PIPELINE: DB launched; Duke Energy Fl and Las Vegas Sands both priced

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

11/21 $1.5B #Deutsche Bank 6NC5 +235

11/21 $750M #National Bank of Kuwait Perp non-call 6Y 4.5%

11/21 $900M *Duke Energy Florida $200M 2Y L+25, $700M 10Y Green +73

11/21 $500M *Las Vegas Sands WNG +5Y +130

11/21 $7B Centene Corp 5Y, 8Y, 10Y

Eurodollar/Tsy options: 

Eurodollar Options

* 5,000 Jun/Apr 82 put spds on screen

* 10,000 Dec 83 calls, cab vs. 98.105/0.05%

* Screen +35,000 Dec 82/83 1x2 call spds, cab

* Dec 81/82 1x2 call spds trading in pit at1.0

* +3,000 Jun 87/Red Dec 92 call spds, 0.0 for small conditional curve steepener

* -4,000 Dec 86/87 call spds, 2.0

* -6,000 short Jun 82/85 1x2 call spds, 2.25

Block, 1006:09ET,

* 10,000 Feb 87 calls, 1.25

Block post at 0923ET

* +20,000 Mar 80 puts, .75

Addng to earlier +5k Block and appr +30k Wed

* -25,000 Jun 82/83 put spds, 5.5 vs.

* +25,000 Jun 85/87 call spds, 6.5 Vs. 98.455/0.33%

Block, 0741:39ET, Dec options expire tomorrow

* +11,500 TYZ 129.25 puts, 1/64 vs.

* -11,500 TYZ 130 calls, 3/64 vs.

* +4,025 TYZ 129-22.5

Block, 0735:12ET,

* 5,000 Jun 82/83 put spds, 5.5 vs.

* 5,000 Jun 85/87 call spds, 6.5 Vs. 98.455/0.33%

Recap overnight trade

* 6,300 short Dec 82 puts

* 5,000 Dec 81/82 call spds

* 5,000 Mar 82/85/90 broken call flys

* 4,000 Jan 80 puts, 0.5

* 2,400 short Jun/Green Jun 90/95 call spd spd

Tsy options:

* Screen buyer up to 22,800 TYF 132 calls, 6/64

* in pit, 1,600 TYZ 130 calls, 3/64

Recap overnight trade, Blocks

* Block, 10,000 USF 161/163 1x2 call spds, 5/64

* 22,600 FVZ 119 calls, 2- to 3/64

* >14,000 TYZ 130 calls, 3/64

* >8,000 TYF 128.5/129.5 put spds 4/64 over TYF 131 calls

* 4,500 USF 161/163/164 call trees, 27/64

* 3,200 TYF 126.5 calls, 2/64

*** Reminder, December quarterly options expires Friday. Prelim CME Group open

interest and ATM data as of Wed's close below. ATM slightly in decline, but

massive outstanding open interest across the curve remains. 

            Calls       Puts      Total   Nearest-the-Money Strike Totals

Dec 30yr   330,408    422,632    753,040   159.5 w/ 8,537 (5,353c, 3,184P)

...........................................160 w/ 22,831 (11,571c, 11,260P)

Dec 10yr 1,379,921  1,367,422  2,747,343   129 w/ 105,720 (36,043c, 69,677p)

...........................................129.5 w/ 108,747 (62,088c, 46,659p)

...........................................130 w/ 147,750 (95,770c, 51,980p)    

Dec 5yr    638,192  1,058,333  1,696,525   118.50 w/ 38,519 (15,115c, 23,404p)

...........................................118.75 w/ 53,893 (19,179c, 34,714p)

...........................................119.00 w/ 72,118 (43,199c, 28,919p)

Dec 2yr    132,631    152,410    285,041   107.62 w/ 7,321 (4,759c, 2,562p)

...........................................107.75 w/ 12,054 (6,024c, 6,030p)

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

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