US TSYS UP: RISK-OFF MOOD ON FLYNN; SEN TAX BILL VOTE AWAITED

     US TSYS SUMMARY: Treasuries end wild Friday higher as ex-Trump NSA Advisor

Flynn pled guilty to lying to federal agents, will cooperate with Spec Counsel

Mueller; Flynn said wld testify vs US Pres. Trump. http://Wh.House: Flynn plea

only pertains to Flynn. Tsys thus had safe-haven rally on Flynn news, after Tsys

declined earlier on view the US tax plan can pass in Senate. 

- Tsys later turned focus back to Senate, where most GOP holdouts' wants appear

to have been put into tax bill; GOP leaders said they have votes to pass bill;

not clear when final vote is. Dems' moves to delay such bill did not succeed. 

- Massive risk-off sales in US Stocks on Flynn news, gold surged, US$ had

fallen. Tsys heavy buying, stops hit on way up, curve flatteners/ steepener

unwinds, large Block buying in 10s. Block sales as Tsys trimmed gains, very

choppy trade on heavy volume (TYH>2.75M). Heavy Block sale -28.5k FVH early,

cash sales 2s and 3s, multiple flatteners. Tsys scale back gains early in second

half as focus turned back to Tax vote. 

- TSYS 3PM ET: US 2Y 1.778%, 3Y 1.889%, 5Y 2.118%, 7Y 2.271%, 10Y 2.363%, 30Y

2.760%.

US TSY FUTURES CLOSE: Broadly higher by the bell but well off late morning

highs, tale of two-sessions. Tsys had been scaling back late morning gains to

little better than opening levels early in second half. Renewed buying late as

tx-bill debate continues on Senate floor. Current futures levels: * Mar Ultra

bonds up 2-10/32 at 167-06 (164-28L/168-12H) 

* Mar 30-yr Bond futures up 1-19/32 at 153-10 (151-23L/154-06H) 

* Mar 10-yr futures up 12/32 at 124-13.5 (123-30L/124-27.5H) 

* Mar 5-yr futures up 3.75/32 at 116-14.75 (116-06.5L/116-22.75H) 

* Mar 2-yr futures up .25/32 at 107-06.75 (107-04.25L/107-09.25H)

US EURODLR FUTURES CLOSE: Higher across the strip but well off midday highs by

the the close. Heavy volume w/better buying preceding two-way flow, Red Dec18

leads w/over 610k. Current White pack (Dec'17-Sep'18): 

* Dec'17 +0.002 at 98.452 

* Mar'18 +0.002 at 98.275 

* Jun'18 +0.015 at 98.120 

* Sep'18 +0.015 at 98.025 

* Red pack (Dec'18-Sep'19) +0.015-0.020 

* Green pack (Dec'19-Sep'20) +0020-0.030 

* Blue pack (Dec'20-Sep'21) +0.030-0.035 

* Gold pack (Dec'21-Sep'22) +0.040-0.050

US SWAPS: Spds running mixed by the bell, spd curve steeper vs. flatter Tsy

curve all session. Little react in spds to Tsys gapping higher earlier. Modest

two-way squaring ahead the weekend, little in the way of deal-tied hedging or

adding to risk. OTC vol higher across the surface but off late morning highs

after Tsys pared back gains. Latest spread levels: 

* 2Y -0.62/18.38 

* 5Y -0.19/5.88 

* 10Y +0.19/-0.19 

* 30Y +0.81/-21.81

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

- Dec 04 Nov ISM-NY current conditions (51.6, --) 0945ET

- Dec 04 Oct factory new orders (1.4%, -0.3%) 1000ET

- Dec 04 Oct factory orders ex transport (0.7%, --) 1000ET

- Dec 04 US Tsy $42.0B 13-Week Bill auction 1130ET

- Dec 04 US Tsy $36.0B 26-Week Bill auction 1130ET

Eurodollar options

Pit/screen:

* -15,000 Blue Jun 72/73 put spds, 3.0 vs. 97.62/0.10%

* -5,000 short Jun 76/78 put spds w/Green Jun 73/76 put spds, 14.5

* +2,000 Blue Jun 76 straddles, 38.0

* +5,000 short Mar 76/77 put spds, 2.5

* +5,000 short Apr 75/76/78 put flys, 8.0

* +10,000 Green Dec 76/Blue Dec 75 put spds, 3.0 vs. 97.74

* +40,000 short Jun 75 puts, 4.0

* +10,000 short Jun 73/76 put spds, 4.5

* +10,000 short Dec 80/81 call spds, 2.0

* 40,000 short Jun 75 put/short Jun 81 call 2x1 combo, 2.0/put over

Latest Block, 1017:03

* 10,000 short Jan 77 puts, 2.5

* 20,000 short Jan 77 puts, 2.0 vs. 97.86/0.10%

* 3,500 Sep 77/78/80/81 put condors, 4.0

* 3,000 Green Dec 78 calls, 1.5 vs. 97.77

* 2,000 Mar 83/85/87 broken call flys, 1.0

* +22,000 Green Dec 76 puts, 1.0

* 6,000 Green Dec 76/77/78 call trees

* 6,000 Mar 81/82/83 put flys

Tsy options

Pit/screen:

* 4,300 wk1 TY 124 puts, 6/64 vs. 124-12.5/0.26%

* 2,000 wk2/wk3 TY 124.5 straddle spds, 13/64

* +4,000 TUH 107.3/107.5/107.6 call trees, 1/64

* -1,500 TYH 122/126.5 strangles, 25/64 earlier now trades 28/64

* -7,500 TYH 122.5/125.5 strangles, 41- to 40/64

* -3,000 TYF 123.5 puts, 10/64

* 2,700 TYF 123/125.5 call over risk reversals, 0.0 vs. 124-08/0.28%

* +5,700 TYF 124.5/125 call spds, 12/64

* +5,200 TYF 125.5 calls, 6/64

* +5,000 TYF 123.75 puts, 12/64

* +4,600 TYF 123/124 put spds from 18- to 14/64

* +4,000 TYH 125/126 call spds, 18.0

* +3,000 TYF 124.5/125/125.5 call trees, 5/64, still offered

* -1,700 TYF 123 calls vs. 124.25/124.5 call spds

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]