US TSYS: TSYS TAKE RANDOM WALK, EQUITIES REVERSE EARLY GAINS

US TSY SUMMARY: Quiet wk opener for Tsys, marginally higher for most part, near

low end narrow range, yld curves recover from early bull flattening. Decent

early futures volume really petered out after London went home. 

- No data or speaker events Mon, just $45B 13wk and $39B 26wk bill auctions that

both tailed slightly; $38B 2Y note auction Tuesday, multiple Fed speakers on

day. US Data doesn't really pick up until Wed, focu on Fri's Q3 GDP (3.3% est).

- Implied vol rather stable on the inside range day in Tsys, correlation to

equities not a factor as rates pared gains even as equities traded negative

(traders cited Google for weighing on FANG index, Citi downgrade of HSBC weighed

on financial shares.

- Heavy front-end Eurodollar futures buying, EDZ8 +0.030 to 97.26 (>310k), EDH9

+0.025 to 97.09 (>215k); 3M FRA/OIS slipped tighter on the move -2.22, to 33.17.

Some Tsy volume associated w/option hedges vs. soon to expire Nov options.

- Tsy cash/ylds: 2Y 99-22 (2.908%), 5Y 99-06.5 (3.048%), 10Y 97-10 (3.194%), 30Y

92-25.5 (3.385%).

US TSY FUTURES CLOSE: Trading slightly higher near the bottom of a tight range;

moderate volume (TYZ 1.24M); curves mixed; update:

* 2s10s -0.430, 27.978 (27.299L/29.306H);

* 2s30s +0.002, 46.869 (45.343L/47.618H);

* 5s30s +0.521, 33.381 (32.139L/33.641H);

Current futures levels:

* Dec Ultra bonds up 02/32 at 149-23 (149-18L/150-12H)

* Dec 30-yr Bond futures up 04/32 at 137-27 (137-20L/138-07H)

* Dec 10-yr futures up 02/32 at 118-0.5 (117-28L/118-04H)

* Dec 5-yr futures up 01/32 at 112-03 (112-01L/112-05H)

* Dec 2-yr futures up 0.5/32 at 105-7.25 (105-6.5L/105-7.75H)

US EURODOLLAR FUTURES CLOSE: Trading slightly to mildly higher at the top of a

tight range, parallel shift across the strip on decent volume. Current White

pack (Dec'18-Sep'19):

* Dec'18 +0.025 at 97.255

* Mar'19 +0.020 at 97.085

* Jun'19 +0.020 at 96.935

* Sep'19 +0.015 at 96.825

* Red pack (Dec'19-Sep'20) +0.015-0.010

* Green pack (Dec'20-Sep'21) +0.015-0.010

* Blue pack (Dec'21-Sep'21) +0.010

* Gold pack (Dec'22-Sep'22) +0.015-0.010

US DOLLAR LIBOR: 

* O/N -0.0005 to 2.1706% (+0.0000 last wk)

* 1 Month +0.0047 to 2.2865% (+0.0021 last wk)

* 3 Month +0.0102 to 2.4873% (+0.0407 last wk)

* 6 Month +0.0058 to 2.7293% (+0.0714 last wk)

* 1 Year +0.0107 to 3.0310% (+0.0570 last wk)

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

* Secured Overnight Financing Rate (SOFR): 2.19% vs. 2.19% prior, $785B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.18% prior, $413B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.18% prior, $398B

PIPELINE: $3B EIB and $2B Netflix US$/Eur split to price Tue

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

10/22 $2.15B *Constellation Brands $650M 3NC1 +70, $500M 7Y +130, $500M 10Y

+150, $500M 30Y +190

10/22 $500M Keycorp WNG 7Y +105a

10/23 $3B EIB WNG 5Y +7a

10/23 $2B Netflix 10.5NCL US$/Eur split

10/23 $Benchmark Ukraine 10Y

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

- Oct 23 Oct Philadelphia Fed Nonmfg Index (37.4, --) 0830ET

- Oct 23 20-Oct Redbook retail sales m/m (0.1%, --) 0855ET

- Oct 23 MN Fed Pres Kashkari, Innovtn Early Childhd Devel Conf, MN, 0930ET

- Oct 23 Oct Richmond Fed Mfg Index (29, --) 1000ET

- Oct 23 US Tsy $38B 2Y note auction (9128285G1) 1300ET

- Oct 23 Atl Fed Pres Bostic, Eco Outlook, MonPol, LSU, Baton Rouge, Q&A. 1330ET

- Oct 23 Dal Fed Pres Kaplan, 7th Ann Eco Dev' Summit, Galveston, Tx, Q&A.

1415ET

- Oct 23 Chi Fed Pres Evans, Eco Outlook, MonPol, Northwestern, IL, Q&A. 1815ET

- Oct 23 KC Fed Pres George, "Disruption in the Payments Landscape", SIBOS'18

Int Conf, Sydney, Australia, Q&A. 2000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +5,000 Green Dec 66/67 put strip at 16.5 vs 9672/0.90%

* +5,000 Dec 71 puts at 1 vs 9725/0.05%

* +10,000 Mar 68/72 call over risk reversals, 1.5 net vs. 97.085/0.30%

* +15,000 Red Dec19 65/66 put spds 5.0 earlier

* 7,000 Jun 65 puts at 1 vs 9693.5/0.10%

* -40,000 Dec 71/72 2x1 put spds, 2.75

* +4,500 Dec 71/73 call over risk reversals, 0.0 net vs. 97.245

* +5,000 Green Nov 67/68 call spds, 3.0

* +3,000 Dec 71/72/73 call flys, 5.5

* +4,000 Green Nov 67/68 call sprd at 3

* -10,000 Short Jun 65/67 put sprd vs Green Jun 58/63 put sprd for net 5.25

* +17,000 Dec 73 calls, 1.0 screen

Highlight overnight trade

* appr 15,000 Dec 72/73/75 call flys make up lion's share of volume

Tsy options, Pit/screen:

* total +30,000 TYZ 116.5/117.5 put spds bought at 13/64  on screen

* elsewhere +2,000 TYZ 116/117/117.5 2x3x1 broken put fly in pit at 7.0 credit

* +2,600 FVZ 112.7/113.25 1x2 call spds, 2/64

* 1,000 TYX 118 straddles, 26/64

* 1,000 TYZ 118 puts, 35/64 vs. 117-29.5

* Total +10,000 TYZ 121 calls at 2

* 3,200 TYZ 118.5/119.5 put spds on screen, 13/64

* 1,000 TYZ 117.5/118 2x1 put spds, 6/64

* TYZ 118 straddles sold at 1-1/64 on open after buy at 1-2/64

* 20,000 TYZ 116.5 puts, 7/64, total volume in call just over 33,000 w/116.5 spd

off vs. 117.5 put, 14/64 net

* 1,000 TYX 117.75/118.75/119.5 1x3x2 call flys

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

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