US TSYS: US$ CONTINUES TO STRENGTHEN AMID TURKISH TROUBLES

US TSY SUMMARY: Tsys trading lower into the bell on strong volume (TYU 1.90M),

curves steeper; Headline out this morning stating US Pastor Brunson to be

released from house arrest sent Tsy falling. Shortly after that headline,

"[RTRS]*U.S. EMBASSY OFFICIAL IN ANKARA SAYS HAS NOT PUT OUT STATEMENT REGARDING

U.S. PASTOR BRUNSON" leaving his status in question;

-"[RTRS]*ITALY'S LEAGUE ECONOMY SPOKESMAN CALLS FOR ECB TO PROVIDE "GUARANTEE"

TO LIMIT BOND SPREADS IN EURO ZONE OR "EURO WILL BE DISMANTLED"

-West Texas Crude (WTI -0.31, 67.32), has pared early session losses after

recent headline, "EIA: U.S. Shale-Oil Output to Rise 93K B/D to 7.52M B/D in

Sept. -BFW"; EIA revises Aug. shale-oil forecast to 7.43m b/d from 7.47m b/d

-DXY continues its run (+.035, 96.392); Equities lower (emini -11.75, 2,825.00),

US$/Yen slightly down but has steadily climbed off session lows (JPY -0.13,

110.70); Gold (XAU -17.40, 1194.30); Tsy cash/ylds: 2Y 100-0.75 (2.608%), 5Y

100-0.5 (2.745%), 10Y 100-10.50 (2.820%), 30Y 99-02 (3.047%).

US TSY FUTURES CLOSE: Trading lower on a tight range with strong volume (TYU

1.88M), Curves mixed; update:

* 2s10s -0.226, 26.265 (25.130L/27.448H);

* 2s30s +0.955, 43.154 (41.821L/44.699H);

* 5s30s +1.443, 29.823 (28.159L/30.946H);

Current futures levels:

* Sep Ultra bonds futures down 23/32 at 158-02 (157-23L/158-29H)

* Sep 30-yr Bond futures down 11/32 at 144-10 (144-01L/144-25H)

* Sep 10-yr futures down 04/32 at 120-08 (120-04L/120-15.5H)

* Sep 5-yr futures down 2.75/32 at 113-19.75 (113-17.75L/113-25H)

* Sep 2-yr futures down 01/32 at 105-26.5 (105-25.5L/105-28.25H)

US EURODOLLAR FUTURES CLOSE: Trading mixed with strong volume on a tight range.

Parallel shift across Reds through Golds. Current White pack (Sep'18-Jun'19):

* Sep'18 +0.005 at 97.635

* Dec'18 -0.005 at 97.405

* Jun'19 -0.010 at 97.265

* Jun'19 -0.015 at 97.155

* Red pack (Sep'19-Jun'20) -0.020

* Green pack (Sep'20-Jun'21) -0.020-0.015

* Blue pack (Sep'21-Jun'21) -0.020

* Gold pack (Sep'22-Jun'22) -0.020-0.015

TECHNICALS: 

US DOLLAR LIBOR: Latest settles,

* O/N 0.0000 to 1.9125% (0.0000/wk)

* 1 Month -0.0041 to 2.0627% (-0.0041/wk)

* 3 Month -0.0055 to 2.3138% (-0.0055/wk)

* 6 Month -0.0045 to 2.5076% (-0.0045/wk)

* 1 Year -0.0125 to 2.8030% (-0.0125/wk)

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

* Secured Overnight Financing Rate (SOFR): 1.90% vs. 1.91% prior, $735B

* Broad General Collateral Rate (BGCR): 1.87% vs. 1.90% prior, $399B

* Tri-Party General Collateral Rate (TGCR): 1.87% vs. 1.90% prior, $380B

US SWAPS: Latest spd levels:

* 2Y -0.30/18.75

* 5Y +0.08/13.08

* 10Y -0.07/5.99

* 30Y -0.61/-7.49

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

- AUG 14 Jul NFIB Small Business Index 107.2 -- 0600ET

- AUG 14 Jul imports price index -0.4 0.1 % 0830ET

- AUG 14 Jul exports price index 0.3 -- % 0830ET

- AUG 14 11-Aug Redbook retail sales m/m 0.9 -- % 0855ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 20,000 Dec 77 calls at 1 vs 9738/0.10%, note 10k earlier

* 14,000 Short Sep 71 puts at 8.5 vs 9709.5/0.58%, BLOCK

* 10,000 Dec 77 calls at 1 vs 9738.5/0.10%

* 15,500 Oct 75 calls at 3 vs 9741.5/0.29%, note adding to 10k block earlier,

BLOCK

* 10,000 Green Dec 66/71 2x1 put sprd at 13.5 vs 9706/0.26%

* -4,000 Short Sep 70 Straddle at 13.5

* 7,000 Short Dec 67/68/70 put fly at 2

* Total 53,260 Green Dec 67 puts at 6 vs 9705.5-9706/0.25%, BLOCK

* 10,000 Front Dec/Short Dec 77 call sprd at 0.5 vs 9702/0.10%

* 10,000 Mar 68/70/71 put fly at 2 vs 9728/0.10%

* 37,540 Green Oct 67 Puts at 2.5 vs 9705.5/0.16%, BLOCK

* 10,000 Short Oct 67/68/70 put fly at 2.5 vs 9704.5/0.10%

* 10,000 Short Nov/Short Dec 67/68/70 put fly for net 4

UPDATE: Total 31,000 Green Dec 65 puts at 2 vs 9706.5/0.10%

* 5,000 Short Dec 67/68/70 Put Tree at 1.5 vs 9705/10%

* 4,000 Dec 76/77 call sprd at 9740.5/0.28%

* 5,250 Short Sep 70/71 2x1 put sprd at 3

UPDATE: Total -30,000 Front Dec/Short Dec 75 call sprd at 0.5

* 5,000 Green Dec 62/63/75/76 Call Condor at 11 vs 9708.5/0.05%

* Total 10,000 Oct 75 calls at 3 vs 9741.5/0.29%, BLOCK

     US TSY OPTIONS

* -20,000 TYU 121/122 call sprd at 4

* -4,000 TYX 119 puts at 24 vs 120-01/0.26%

* +4,000 TYV 122 calls at 7

* +3,000 TYV 118-119 put sprd at 8 vs TYZ 120-03/0.14%

* 10,000 TYU 120/120.5/121/121.5 Call Condor at 11

* 6,000 TYU 120 puts at 13

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

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