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USDCAD TECHS

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US TSYS

FI Support Evaporates Amid Late Month End Selling

AUDUSD TECHS

Remains Vulnerable

CANADA

Late Risk Off Sees USDCAD Eye Cycle Highs

US TSY OPTIONS

BLOCK, Late Puts

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US TSY SUMMARY: The steady appetite for risk since NFP faltered Wed, rates broke
higher early w/Bunds on German finmin headlines re: stimulus. Large Tsy call
option buy (100k TYZ 131 calls) in addition to over +13k TYZ futures block buys
continued to support Tsys through midmorning.
- But it was midday headlines that US/China official will delaying trade talk to
December followed by Europe NOT the US would be continent where deal MAY be
signed if one can be agreed upon. Rates gap lower then surge back to near
session highs. Despite trade apprehension, chances of fourth rate cut in
December remained below 10%.
- In addition to option hedging and block buys, flow included decent deal-tied
hedging, program, prop and fast$ buying across the curve on headlines. Strong US
Tsy $27 10Y note auction (912828YS3) stopped through: awarded 1.809% rate
(1.590% in October) vs. 1.818% WI; 2.49 bid/cover (2.46 previous). Indirects
drew 64.54% vs. 58.53%, directs 12.37% vs. 12.79%, and 23.09% for dealers.
- The 2-Yr yield is down 2bps at 1.6045%, 5-Yr is down 3.6bps at 1.6278%, 10-Yr
is down 4.3bps at 1.8159%, and 30-Yr is down 3.9bps at 2.2994%.
US TSY FUTURES CLOSE: Well bid but off late session highs after the bell, decent
volume (TYZ >1.3M) as risk appetite over last few sessions moderates. Update:
* 3M10Y  -4.065, 25.613 (L: 24.631 / H: 29)
* 2Y10Y  -1.872, 20.91 (L: 20.276 / H: 24.075)
* 2Y30Y  -1.63, 69.157 (L: 68.372 / H: 72.02)
* 5Y30Y  -0.378, 66.901 (L: 65.749 / H: 67.875)
Current futures levels:
* Dec 2-Yr futures up 1.25/32 at 107-19.75 (L: 107-18.625 / H: 107-21)
* Dec 5-Yr futures up 6/32 at 118-21 (L: 118-15.25 / H: 118-22.75)
* Dec 10-Yr futures up 12/32 at 129-9.5 (L: 128-30 / H: 129-12.5)
* Dec 30-Yr futures up 1-1/32 at 158-29 (L: 157-31 / H: 159-05)
* Dec Ultra futures up 1-19/32 at 185-16 (L: 184-04 / H: 185-31)
US TSY FUTURES: *** Roll update: Dec futures don't expire until mid-late
December (10s, 30s and Ultras on 12/19, 2s & 5s 12/31) -- Dec/Mar rolling
starting to occur ahead first notice (where March futures take lead quarterly
position) only three weeks away (Nov 29). Update:
* TUZ/TUH appr 25,600 from -5.75 to -5.5, -5.62 last; 7% complete
* FVZ/FVH appr 17,700 from -9.75 to -9.25, -9.5 last; 4% complete
* TYZ/TYH appr 8,000 from -0.5 to -0.00, -0.5 last; 5% complete
* UXYZ/UXYH N/A
* USZ/USH appr 1,000 from 26.0 to 26.25, 26.25 last; 1% complete
* WNZ/WNH appr 2,700 from 24.25 to 24.0, 25.0 last; 1% complete
US EURODLR FUTURES CLOSE: Firmer across the strip, near top end of decent range
by the bell. Current White pack (Dec 19-Sep 20): 
* Dec 19 +0.020 at 98.105
* Mar 20 +0.020 at 98.315
* Jun 20 +0.025 at 98.390
* Sep 20 +0.030 at 98.445
* Red Pack (Dec 20-Sep 21) +0.035 to +0.040
* Green Pack (Dec 21-Sep 22) +0.035 to +0.040
* Blue Pack (Dec 22-Sep 23) +0.035 to +0.040
* Gold Pack (Dec 23-Sep 24) +0.035 to +0.045
US DOLLAR LIBOR: Latest settles
* O/N -0.0106 at 1.5365% (-0.0556/wk)
* 1 Month -0.0149 to 1.7550% (-0.0193/wk)
* 3 Month +0.0107 to 1.9042% (+0.0136/wk)
* 6 Month -0.0024 to 1.9239% (+0.0214/wk)
* 1 Year +0.0098 to 1.9766% (+0.0515/wk) 
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 1.56%, volume: $81B
* Daily Overnight Bank Funding Rate: 1.55%, volume: $192B
US TSYS: REPO REFERENCE RATES: (rate, volume),
* Secured Overnight Financing Rate (SOFR): 1.58%, $1.062T
* Broad General Collateral Rate (BGCR): 1.55%, $468B
* Tri-Party General Collateral Rate (TGCR): 1.55%, $441B
OUTLOOK: *** US Data/speaker calendar (prior, estimate):
07-Nov 0730 Oct challenger layoff plans
07-Nov 0830 02-Nov jobless claims (218k, 215k)
07-Nov 1030 01-Nov natural gas stocks w/w
07 Nov 1300 US Tsy $19B 30Y Bond auction (912810SK5)
07-Nov 1305 Dallas Fed Pres Kaplan, Dallas Rgnl CoC Year Ahead Summit, Q&A
07-Nov 1500 Sep consumer credit ($17.9B, +15.0B)
07-Nov 1630 06-Nov Fed weekly securities holdings
07-Nov 1910 Atl Fed Bostic, NY Money Marketeers on monetary policy, Q&A
PIPELINE: Cheniere Corpus upsized to $1.5B and launched
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
11/06 $2.8B #Equinix $1B 5Y +100, $600M 7Y +120, $1.2B 10Y +140
11/06 $1.5B #Cheniere Corpus 10Y +190
11/06 $750M #Healthpeak Properties +10Y +123
11/06 $400M #Ryder WNG 7Y +118
11/06 $1.25B *Swedish Export Credit 3Y +13
11/06 $Benchmark Athene Global Funding 7Y +140a
11/?? Chatter: Sprint
11/?? Chatter: T-Mobile US 
Eurodollar/Tsy options: 
Eurodollar Options
Block, 1444:15ET,
* 10,000 Green Mar 85 straddles, 33.5
* +10,000 Mar81/82/83 put flys, 3.5
* +10,000 Red Jun'21 100 calls, 1.5 (open interest already 37,291 coming into
session)
* +2,500 Mar/Jun/Sep 81/82/83 put fly strips, 8.0
* +3,000 short De/Green Dec 86 call strip, 6.0
* Update, appr 10,000 Dec 80/81/82 call flys, 2.75
* +5,000 Red Dec 83/85/86 call flys, 1.0
* 5,000 Feb 81/82 put spds 1.5 over short Feb 81 puts
* +3,000 Dec 80/81/82 call flys, 2.75
* +6,000 Jan 86 calls, 1.25 on screen
* +6,000 Mar 80/81/82 put flys, 3.0
* Update, appr -6,000 Dec 81 straddles, 10.0
* 5,000 Mar 80 puts, 1.0 vs. 98.30/0.08%
* -5,000 Jun 91/93 call spds, 1.0 vs. 98.38/0.05
Block, 0812:56ET,
* 10,000 Mar 80 puts, 1.0 vs. 98.30/0.08%, adds to +5k in pit
Overnight flow and Block recap
* Block +40,000 short Feb 86/87/88 call trees, 0.0 net, additional 5.5k/screen
* Block total -60,000 short Feb 83/85 put spds, 5.5-6.0
* 15,000 Dec 81 calls, 3.5, another 4k Dec 81 calls vs. 82 calls on 1x1.5 ratio
* 5,000 Dec 83/85 call spds, cab
Tsy options:
* 1,000 TUZ 107.7 put, 9.5 vs. 500 TYZ 130 puts, 7/64
* 1,200 USG 152/158 2x1 put spds, 1-33/64
* 1,000 TYZ 128.5 puts, 12/64
* 5,000 TYZ 129.5/130.5/131.5 call flys, 12/64 on screen earlier
Block, 0736:30ET, adding to +54K on screen
* +50,921 TYZ 131 calls, 3/64
Latest screen trade,
* over 47,000 TYZ 131 calls, 3/64
Overnight flow and Block recap
* Block, -5,000 USZ 158/159 put spds, 34/64 vs.
* Block, +7,500 USF 153/155/157 put trees, 25/64
* 3,500 TYZ 131.5/132.5 call spds
* 5,000 TYZ 128.5 puts, 15/64
* 5,000 TYZ 127.75 puts
* 5,000 TYF 127.5 puts, 16/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]

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