US TSYS: TSY RALLY AS EQUITIES TAKE A HIT

     US TSY SUMMARY: Tsys trading higher into the bell, volume (TYU 1.65M),

curves mixed; 5's30's up but remain below 30.000 (+.166, 29.529) as 2's10's and

2's30's remain lower; Data today started with Aug Empire MFG, Retail Sales,

non-farm prod., and unit labor costs where all came in stronger than expected,

Tsy ultimately ignored the release; July Industrial prod. missed expectations

while

business inventories came in line with expectations; Barclays are bearish the

2Y(TU), 5Y(FV) & 30(WN) calendar future rolls, "given persistent long asset

manager positioning". Positioning in WN "is at recent high"

-Headlines today,"*QATAR PLEDGES $15B IN DIRECT INVESTMENT IN TURKEY:

ANADOLU-BFW", followed by "*USD PARES GAINS VERSUS EUR, AUD, GBP AFTER REPORT ON

QATAR-BFW"

-DXY has reversed lower on the session (-.068, 96.663, 96.984H/96.657L);

Equities fell today (emini -26.00, 2,815.00), US$/Yen lower (JPY -0.52, 110.63);

West Texas Crude (WTI -2.03, 65.01); Gold weaker (XAU -17.82, 1176.30); Tsy

cash/ylds: 2Y 100-01 (2.604%), 5Y 100-03.25 (2.726%), 10Y 100-05 (2.855%), 30Y

99-16.5 (3.024%).

US TSY FUTURES CLOSE: Trading higher at top of the range, mild volume (TYU

1.62M), Curves mixed; update:

* 2s10s -1.227, 24.515 (23.408L/26.303H);

* 2s30s -0.832, 41.778 (40.483L/43.507H);

* 5s30s +0.245, 29.608 (28.931L/30.764H);

Current futures levels:

* Sep Ultra bonds futures up 31/32 at 158-21 (157-14L/158-30H)

* Sep 30-yr Bond futures up 23/32 at 144-24 (143-28L/145-00H)

* Sep 10-yr futures up 10/32 at 120-13.5 (120-01.5L/120-18H)

* Sep 5-yr futures up 05.5/32 at 113-22.5 (113-15.5L/113-25.75H)

* Sep 2-yr futures up 01.75/32 at 105-27 (105-24.5L/105-28H)

US EURODOLLAR FUTURES CLOSE: Trading higher across the strip at the top of the

range, long end outperforming the short end, moderate volume. Current White pack

(Sep'18-Jun'19):

* Sep'18 +0.0175 at 97.6425

* Dec'18 +0.015 at 97.395

* Jun'19 +0.025 at 97.255

* Jun'19 +0.035 at 97.155

* Red pack (Sep'19-Jun'20) +0.045-0.040

* Green pack (Sep'20-Jun'21) +0.050-0.040

* Blue pack (Sep'21-Jun'21) +0.050-0.040

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

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N +0.0005 to 1.9138% (+0.0013/wk)

* 1 Month -0.0035 to 2.0600% (-0.0068/wk)

* 3 Month -0.0034 to 2.3118% (-0.0075/wk)

* 6 Month -0.0018 to 2.5106% (-0.0015/wk)

* 1 Year +0.0014 to 2.8149% (-0.0006/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.93% vs. 1.91% prior, $729B

* Broad General Collateral Rate (BGCR): 1.91% vs. 1.89% prior, $398B

* Tri-Party General Collateral Rate (TGCR): 1.91% vs. 1.89% prior, $382B

US SWAPS: Latest spd levels:

* 2Y -1.00/19.07

* 5Y -0.40/13.60

* 10Y -0.19/6.69

* 30Y -0.59/-7.34

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

- Aug 16 ** 11-Aug jobless claims 213 214 k  0830ET

- Aug 16 *** Jul housing starts 1.173 1.270 m  0830ET

- Aug 16 *** Jul building permits 1.292 1.313 m  0830ET

- Aug 16 ** Aug NY Fed Business Leaders Index 14.8 --  0830ET

- Aug 16 ** Aug Philadelphia Fed Mfg Index 25.7 22.0  0830ET

- Aug 16 * 12-Aug Bloomberg comfort index -- --  0945ET

- Aug 16 ** 10-Aug natural gas stocks w/w 46 -- Bcf  1030ET

- Aug 16 ** 15-Aug Fed weekly securities holdings -- -- t USD  1630ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 10,000 Dec 70/77 calls over risk reversal at 0.5 vs 9742/0.05%

* 10,000 Dec 73/75 put sprd at 8 vs 9738/0.10%, BLOCK

* 6,000 Sep 76 calls at 3 vs 9763/0.10%

* -10,000 Short Sep 70 puts at 2.5 vs 9709/0.26%

* 5,000 Red Mar 57/61 7x2 put sprd at 1.5

* Total 30,000 Short Dec 66/68 put sprd at 5 vs 9705.5/19% BLOCKED, 10k in pit

* +5,000 Dec 71/72 call sprd at 4.5 vs 9705.5/0.07%

* +25,000 Green Sep 68/72 call over risk reversal at 1 vs 9706.5/0.32%, note

+10k just blocked and +15k in pit

* -6,000 Short Sep 70 puts at 3 vs 9707.5/0.30%

* +5,000 Dec 73/75 put sprd at 8 vs 9738.5/0.20%

* +16,500 Short Jun 65 puts at 6 vs 9703.5/0.10%

* -10,000 Front Dec 77 calls vs 9741/0.08% vs Short Dec 77 calls vs 9703/0.08%

for net 0.5

* 7,000 Long Green Mar 53/58 7x2 put sprd at 2

* 4,500 Dec 71/72 put sprd at 1.5

* -5,500 Short Sep 72/73 call sprd at 1 vs 9706.5/0.08%

* 3,500 Dec 75/76 call sprd at 2

     US TSY OPTIONS

US TSY OPTIONS: Latest trade,

* -3,600 TYV 120.5 calls at 29 vs 9706/0.39%

* 2,600 TYU 120.5/121.5 call sprd at 11 vs 12.5/0.38%

* +3,000 TYU 119.5/120 put sprd at 5

* +4,000 TYU 119.5/120 2x1 put sprd at 4

* +1,300 TYV 121.5 calls at 11

* 5,000 TYU 120 calls at 32, BLOCKED

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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