US TSYS: US$ CLIMBING/CPI EXPECTED TO RISE

US TSY SUMMARY: Tsys trading higher into the bell near the top of the range,

light volume (TYU 970k), curves flattening; US TSY 30Y $18B Bond auction came in

with a yld at 3.09% which was 0.3 bps higher than the WI of 3.087% at the

auction deadline; data today was light and had little impact on Tsy, PPI came in

slightly under expectations, Initial unemployment claims were below expectations

at 213k vs 220k expected however Claims were revised up to 219k in the July 28

wk; Looking ahead to tomorrows CPI data where analysts expect overall and core

PCI to rise +0.2% in July; 

-Fed's Evans spoke today on inflation saying there's "GOOD REASON TO EXPECT INFL

TO STAY AROUND 2%" and "INFL AT 2.25%-2.5% CLD BE IN LINE WITH SYMMETRIC OBJ".

-West Texas Crude (WTI -0.09, 66.85), US$/Yen (JPY +0.09, 111.07,

111.18H/110.71L); DXY climbing to new session highs (+0.437, 95.529); Equities

higher (emini +3.50, 2,858.75); Gold falling (XAU -2.28, 1211.67); Tsy

cash/ylds: 2Y 99-30.25 (2.649%), 5Y 99-22.75 (2.811%), 10Y 99-15.5 (2.933%), 30Y

100-27.5 (3.080%).

US TSY FUTURES CLOSE: Trading mildly higher at the top of the range, light

volume (TYU 960k), Curves flattening; update:

* 2s10s -0.854, 27.965 (27.511L/29.061H);

* 2s30s -1.298, 42.553 (42.153L/44.617H);

* 5s30s -0.931, 26.804 (26.394L/28.650H);

Current futures levels:

* Sep Ultra bonds futures up 1-03/32 at 157-02 (155-31L/157-07H)

* Sep 30-yr Bond futures up 22/32 at 143-10 (142-19L/143-14H)

* Sep 10-yr futures up 07/32 at 119-23 (119-16L/119-25H)

* Sep 5-yr futures up 3.75/32 at 113-09.75 (113-5.75L/113-11H)

* Sep 2-yr futures up 1.75/32 at 105-24 (105-22.25L/105-24.25H)

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

range. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.015 at 97.610

* Dec'18 +0.015 at 97.360

* Jun'19 +0.025 at 97.215

* Jun'19 +0.030 at 97.105

* Red pack (Sep'19-Jun'20) +0.035-0.030

* Green pack (Sep'20-Jun'21) +0.030

* Blue pack (Sep'21-Jun'21) +0.025

* Gold pack (Sep'22-Jun'22) +0.030

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.9163% (+0.0007/wk)

* 1 Month +0.0039 to 2.0673% (-0.0148/wk)

* 3 Month -0.0025 to 2.3380% (-0.0102/wk)

* 6 Month +0.0001 to 2.5171% (-0.0165/wk)

* 1 Year -0.0003 to 2.8275% (-0.0046/wk

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

* Secured Overnight Financing Rate (SOFR): 1.88% vs. 1.87% prior, $738B

* Broad General Collateral Rate (BGCR): 1.87% vs. 1.86% prior, $391B

* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.86% prior, $378B

US SWAPS: Latest spd levels:

* 2Y -0.19/19.53

* 5Y -0.13/12.75

* 10Y +0.36/5.99

* 30Y +0.33/-6.35

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

10-Aug      -      ***  CN  Money Supply

10-Aug      -      ***  CN  New Loans

10-Aug      -      ***  CN  Social Financing

10-Aug  2350/0850  *    JP  CGPI

10-Aug  2350/0850  ***  JP  GDP (p)

10-Aug  0130/1130  ***  AU  RBA Statement on Monetary Policy

10-Aug  0645/0845  **   FR  non-farm payrolls

10-Aug  0645/0845  *    FR  industrial production

10-Aug  0830/0930  **   UK  Index of Services

10-Aug  0830/0930  **   UK  Output in the Construction Industry

10-Aug  1230/0830  ***  US  CPI

10-Aug  1230/0830  ***  CA  Labour Force Survey

10-Aug  1500/1100  **   US  St. Louis Fed Real GDP Nowcast

10-Aug  1515/1115  **   US  NY Fed GDP Nowcast

10-Aug  1800/1400  **   US  Treasury Budget

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* -22,500 Green Sep 68 puts vs 9698/0.37% vs Green Dec 67 puts vs 9697.5/0.31%

for net 3.5, BLOCK

* +10,000 Jun 66/67 2x1 put sprd at 0.5 vs 9707.5/0.10%

* -20,000 Short Sep 68/70/71 Put Tree at 6.5 vs 9705/0.10%

* 5,000 Short Sep 71 calls at 3.5 vs 9704/0.24%

* -5,000 Sep 76/77 put sprd at 10.5 vs 9762.5/0.25%

* 5,500 Long Green Dec 57/62 3x1 put sprd at EVEN

* +8,000 Sep 75 puts at 0.25

* 4,000 Oct/Dec 72 put sprd at 1.5

* -10,000 Sep 76 puts at 3

* +6,700 Jun 66/67/68 put fly at 2 vs 9705/0.05%

* -5,500 Sep 71/72/76/77 Put Condor at 11

* 8,000 Oct 72/75 Strangle at 2.25

* 4,000 Green Dec 68/70 Strangle at 26.5

* 10,000 Oct 72 puts at 1, BLOCK

US TSY OPTIONS: Latest trade,

* +2,000 TYZ 123/124 call sprd at 3

* +1,500 USU 143 calls at 33 vs 143-03/0.41%

* -52,000 TYU 120/122 call sprd at 12, on screen exit trade

* -5,000 TYV 118 puts at 8

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

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