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Free AccessUS TSYS: Tsy Curve Grinds To New 10+ Year Lows
By Bill Sokolis
CHICAGO (MNI) -
US TSYS SUMMARY: Tsys trading mixed by the close, long end outperforming as
March'18 Ultra bond made new session highs in late trade, curves back to making
new 10+yr lows: 2s10s -2.298, 51.125; 2s30s -4.912, 84.210; 5s30s -3.960,
52.661. Tsy correlation to US$ breakdown, dollar bounce not translating to
weaker long end rates. Quiet end to wk on light volume (TYH<800k).
- Equities made new highs in late trade, emini +25.25, 2681.25; gold higher as
well, XAU +2.90, 1255.82. Choppy reacts to any word on tax bill from DC.
- Knock-on support for long end Tsys after Gilts rallied in early trade. W/FOMC,
BOE and ECB policy annc's in the rear mirror, desks set sites on clearing the
books for upcoming holiday closures and thin volumes.
- After a mixed open, swap spds narrowed across the curve, sources cited program
receiving as Tsy curve resumed flattening; flow includes $109.8k DV01 5s7s
steepener after appr $100k DV01 2s5s flattener and 10Y switch around
2.351-.35125%.
- Eurodollar futures finish mildly weaker across the strip on light volume.
- TSY 3PM ET: 2Y 1.836%; 3Y 1.948%; 5Y 2.154%; 7Y 2.276%; 10Y 2.351%; 30Y 2.683%
US TSY FUTURES CLOSE: Finish mixed, long end making new session highs late.
Current futures levels:
* Mar Ultra bonds up 27/32 at 169-13 (168-04L/169-13H)
* Mar 30-yr Bond futures up 12/32 at 154-15 (153-22L/154-15H)
* Mar 10-yr futures down 2.5/32 at 124-15.5 (124-07L/124-17.5H)
* Mar 5-yr futures down 3.5/32 at 116-11 (116-07L/116-13.5H)
* Mar 2-yr futures down 1.5/32 at 107-03.25 (107-02.25L/107-04.75H)
US EURODLR FUTURES CLOSE: Weaker across the strip on light volume, quiet end to
the week. Current White pack (Dec'17-Sep'18):
* Dec'17 -0.010 at 98.375
* Mar'18 -0.015 at 98.225
* Jun'18 -0.020 at 98.075
* Sep'18 -0.020 at 97.990
* Red pack (Dec'18-Sep'19) -0.020-0.015
* Green pack (Dec'19-Sep'20) -0.020-0.015
* Blue pack (Dec'20-Sep'21) -0.015-0.010
* Gold pack (Dec'21-Sep'22) -0.010-0.005
US SWAPS: After a mixed open, spds have compressed across the curve in early
trade -- holding near lows into the close. Sources cited program receiving as
Tsy curve resumes descent to new 10+ year lows (2s10s -2.298, 51.125; 5s30s
-3.733, 52.888). Additional flow includes $109.8k DV01 5s7s steepener after appr
$100k DV01 2s5s flattener and 10Y switch around 2.351-.35125%. OTC and exchange
traded option vols declined amid lack of delivered vol on the day. Latest spread
levels:
* 2Y -0.88/18.69
* 5Y -1.12/4.38
* 10Y -1.00/-1.44
* 30Y -0.12/-20.38
US OUTLOOK:
- Dec 18 Tsy $45B 3-Month Bill auction 1130ET
- Dec 18 Tsy $39B 6-Month Bill auction 1130ET
- Dec 18 Dec NY Fed Business Leaders Index (18.9, --) 0830ET
- Dec 18 Dec NAHB home builder index (70, --) 1000ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
* -12,500 Green Dec 75/76/77 put flys, 3.5
* -4,500 Green Dec 76/77 call spds, 8.5
* -2,000 short Jan 78 straddles, 10.5
* +25,000 Jun 78/80 2x1 put spds 1.75 over -12,500 Apr 78/80 put strip
* +7,000 Red Jun 77 straddles, 41.0
* total +15,000 short Mar 81/82 1x2 call spds, 0.0 -- one leg over
* -15,000 short Dec 77/78/80 put flys, 10.0
* -15,000 short Jun 73/76 put spds, 5.0 vs. 97.785 -- mostly on screen
* -16,000 Jun 78/81 put spds w/Sep 76/80 put spd, 20.25 total cr
* 20,000 Jun 78/80 2x1 put spds, 2.5
* +5,000 short Apr 75/76 put spds, 2.0
* +4,000 Jun 80 puts 1.0 over the Jun 81/82 call spds
* +2,500 Mar 82/83 1x2 call spds 1.25 over Mar 81 put
* +10,000 short Dec 78/Blue Dec 76 put spds, 0.0
* +2,000 Green Jan 77 straddles, 12.5
* +3,000 short Jan 77 puts, 1.5
* -2,500 Jan 82 puts, 3.75
* -2,500 Blue Jun 76/78 1x2 call spds, 1.75
* screen, 62.2k EDZ 83 puts, cab -- closing into today's Dec expiry
* 13,700 Green Dec 77 calls, cab while Green Dec 77 puts trade 3.0
Tsy options, Pit/screen,
* >+3,500 USG 150/154/158 iron flys (w/2x strangles), 1-50/64
* 1,700 TUG 107.2/107.5 call spds, 2.5/64
Large buyer USG puts late Thursday is back in this morning
* +7,500 USG 153 puts, 1-01/64. Yesterday: +42,919 from 103-105 (7.26 to 7.38%
vol) ... open interest +31,061 to 45,141
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.