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USDCAD TECHS

Bears Still in Control

AUDUSD TECHS

Tops 0.80 as Reflationary Theme Rolls On

SILVER TECHS

Volatile, Outlook Remains Bearish

     
US TSY SUMMARY: Sharp risk-off move Friday, kicked off late Thursday on US Pres
Trump threatened Mexico with massive tariff increase. Heavy volume, Sep takes
lead quarterly (TYU>2.99M). 10Y yld -.0818 at 2.1315, Sep 2017 lows. FI implied
vols surged to new highs; VIX gained but pared/held range (+1.41 at 18.71 vs.
19.72H).
- Heavy risk-off/safe haven buying across curve, month end flow w/lrge late
sales. Jun19 Eurodollar futures gap bid to 97.55F early in second half, rate cut
crowd gathers momentum (Barclays call for 3 rate cuts by yr end/starting in fall
-- aggressive call!). Potential air pocket as traders pointed out just over 22k
EDM9 traded at 97.527 but some 17k traded from 97.53-97.55. Lead quarterly came
under heavy selling soon after (EDM9 +4.75 at 97.532C). 
- Aside from mentioning negative aspect of increased Mexico tariffs on US
economy, Fed Kashkari also touched upon curve..."might be signaling Fed is
slightly restrictive".
- The 2-Yr yield is down 13.9bps at 1.9221%, 5-Yr is down 10.6bps at 1.9143%,
10-Yr is down 8.4bps at 2.1298%, and 30-Yr is down 7bps at 2.57%.
US TSY FUTURES CLOSE: US TSY FUTURES: Running a late update, extending to new
session highs with equities sinking lower. Update:
* 3M10Y  -6.087, -21.867 (L: -22.526 / H: -16.665)
* 1Y10Y  -0.264, -8.685 (L: -14.132 / H: -6.019)
* 2Y10Y  +5.581, 20.62 (L: 14.914 / H: 20.993)
* 2Y30Y  +7.204, 64.914 (L: 58.771 / H: 64.97)
* 5Y30Y  +3.647, 65.499 (L: 62.351 / H: 65.978)
Current futures levels:
* Sep 2-Yr futures (TU) up 9.75/32 at 107-11.875 (L:107-02.625/H:107-12.25)
* Sep 5-Yr futures (FV) up 18.25/32 at 117-14 (L:116-28.5/H:117-14.75)
* Sep 10-Yr futures (TY) up 26.5/32 at 126-27 (L:126-02/H:126-28)
* Sep 30-Yr futures (US) up 1-17/32 at 153-31 (L:152-16/H:154-00)
* Sep Ultra futures (WN) up 2-16/32 at 176-06 (L:173-27/H:176-09)
MONTH-END EXTENSIONS: *** FINAL Bloomberg-Barclays US month-end index
extension/forecast summary compared to the average increase for the past year
and the same time in 2018; TIPS 0.02Y; Govt inflation-linked, 0.02Y
*.....................Projected...1Y Avg Incr..Last Year
*US Tsys.................0.11........0.08........0.11
*Agencies................0.01........0.11........0.08
*Credit..................0.08........0.08........0.11
*Govt/Credit.............0.10........0.08........0.11
*MBS.....................0.05........0.06........0.07
*Aggregate...............0.09........0.08........0.09
*Long Govt/Credit........0.10........0.09........0.15
*Interm Credit...........0.08........0.07........0.08
*Interm Govt.............0.08........0.08........0.09
*Interm Govt/Cred........0.08........0.08........0.09
*High Yield..............0.04........0.06........0.08
US EURODLR FUTURES CLOSE: Just off top end broad session range, lead quarterly
hit a likely air pocket on it's way to session highs earlier as 3 rate-cut
chatter before year end gained momentum. Current White pack (Jun 19-Mar 20):
* Jun 19 +0.042 at 97.527
* Sep 19 +0.110 at 97.750
* Dec 19 +0.145 at 97.910
* Mar 20 +0.160 at 98.120
* Red Pack (Jun 20-Mar 21) +0.140 to +0.155
* Green Pack (Jun 21-Mar 22) +0.105 to +0.125
* Blue Pack (Jun 22-Mar 23) +0.075 to +0.095
* Gold Pack (Jun 23-Mar 24) +0.065 to +0.075
US DOLLAR LIBOR: Latest settles resume 
* O/N -0.0032 at 2.3545% (-0.0020/wk)
* 1 Month -0.0095 to 2.4305% (+0.0024/wk)
* 3 Month -0.0177 to 2.5025% (-0.0224/wk)
* 6 Month -0.0271 to 2.5166% (-0.0320/wk)
* 1 Year -0.0679 at 2.5102% (-0.1088/wk)
STIR: Federal Reserve Bank of New York EFFR for prior session:
* Daily Effective Fed Funds Rate: 2.39%, volume: $60B
* Daily Overnight Bank Funding Rate: 2.37%, volume: $158B
US TSYS: REPO REFERENCE RATES: (rate, volume) 
* Secured Overnight Financing Rate (SOFR): 2.40%, $1.083T
* Broad General Collateral Rate (BGCR): 2.39%, $474B
* Tri-Party General Collateral Rate (TGCR): 2.39%, $449B
OUTLOOK: *** Data/speaker calendar (prior, estimate):
03-Jun  -   May NA-made light vehicle sales SAAR (7.1m, --)
03-Jun 0945 May Markit Mfg Index (final) (50.6, 50.6)
03-Jun 1000 Apr construction spending (-0.9%, 0.4%)
03-Jun 1000 May ISM Manufacturing Index (52.8, 52.9)
03-Jun 1325 StL Fed Pres Bullard, US Economy, Mon-Pol, Union League Club,
Chicago, Q&A
03-Jun 2145 SF Fed Pres Mary Daly, Symposium on Asian Banking/Finance, Singapore
PIPELINE: Only $5.2B priced on week, well off $20B estimate, 
Date $MM Issuer/Rating/Desc/Maturity/Yld; Priced *; Launch #:
No new issuance Friday
- 
$1.9B priced Thursday
05/30 $1.25B *BoNY Mellon 2NC1 FRN L+28
05/30 $350M *Southern California Gas WNG 30Y +130
05/30 $300M *Entergy Mississippi WNG 30Y +127
Eurodollar/Tsy options:
Eurodollar options, Pit/screen:
+25,000 short Jun 80 puts, 1.5
24,000 Dec 78/83 call spds
BLOCK, 1545:43ET
* 12,500 short Dec 85/87 1x2 call spds, 1.5
BLOCK, 1442:11ET -- adding to earlier
* 5,000 Green Dec 81/85 2x3 call spds vs. 15,000 Green Dec 76 puts
* +20,000 Aug 76/78 call over risk reversals, 1.5
* +10,000 Jun 76 calls, 1.0
* +10,000 Dec 71/73 put spds, 1.0
* 15,000 short Dec 85/88 1x2 call spds
* +5,000 Red Sep 91/96
* +7,500 Blue Sep 73/76 2x1 put spds, 1.0
* +8,000 Blue Jul 76 puts, 1.0
* -7,500 Mar 78/81 call spds, 11.0 vs. 98.02/0.10%
BLOCKs,
* 10,000 Green Dec 73/82 (yes, the deep in the-money calls), 63.0 at 1334:04
Package similar to earlier Block:
* 10,000 Green Dec 81 calls, 26.0 vs.
* 15,000 Green Dec 85 calls, 11.5 vs.
* 15,000 Green Dec 76 puts, 3.0
ongoing call spd buyer vs. puts
* appr +75,000 Sep 77/78 call spds 1.0 over the Jul 76 puts vs. 97.705/0.44%
BLOCK, 1207:39ET,
* 20,000 short Aug 87/88 call spds, 1.5 vs. 98.265
BLOCK, 0936-0944ET,
* total 30,000 Sep 77/78 call spds 1.0 over the Jul 76 puts vs. 97.71/0.44%
* Update, 75,000 short Oct 87/90 call spds, 3.0 vs. 98.24/0.09%
* Update, 50,000 short Aug 87/88 call spds, 2.0 vs. 98.23/0.05%
* over 35,000 Sep 72/75 put spds, 1.0 on screen
* +25,000 Blue Sep 76 puts, 2.0
* 5,000 Dec 78/80/81 1x3x2 call flys, 2.0 net /belly
* +20,000 Sep 72/75 put spds, 1.0
* +27,000 Dec 77/80 call spds, 10.0
* >+5,000 Dec 71/72/73/75 put condors
* +10,000 short Jul 75 puts, 1.0
* -6,500 Jul 76/77 call spds, 5.5
* total +75,000 (25k Blocked) Green Dec 73 puts, 1.5 vs. 98.175
* +23,000 Sep 76/77 call spds vs. 34,500 Sep 75 puts, 7.5-8.5 on the 2x3 package
* +7,500 Green Sep 81/83 call spds, 11.0
* +15,000 Green Dec 81/83 call spds vs. 22,500 Green Dec 76 puts, 12.5 net on
2x3
* +5,000 Sep 76/77 call spds vs. Sep 76 puts, 0.0
Tsy options, Pit/screen:
* 4,000 FVU 120/121 call spds, 3.5/64 vs. 117-11.25
* +8,300 TYQ 121/121.5 put strips, 4/64
Odd ratio calendar-spread package:
* 8,600 TYU 133 calls, 5/64 w/
* 3,750 TYU 133.5 calls, 5/64 w/
* 6,629 TYN 129 calls, 4/64 vs.
* 18,980 TYN 131.25 calls, 1/64
* Update, over +65,000 TYQ 121.5 puts, 2/64 mostly in pit, paper still sizing up
offers
* Update, over 30,000 TYN 132.25/TYQ 123.5 call spds, 3/64
* -5,000 TYN 128 calls, 10/64 earlier
Earlier Block, 1037:37ET
* -9,283 TYN 125 calls, 1-36/64 vs.
* +13,858 TYQ 127 calls, 46/64
* 7,000 FVN 116/116.5 2x1 put spds, 3.5
* 1,500 FVQ 116/118 strangles, 26/64
* 5,000 TYN 124.5/125.25 2x1 put spds, 4/64
* 5,000 TUQ 106.5/106.75 2x1 put spds, .5/64
* 1,500 wk2 TY 124.2/125.2 2x1 put spds, 4/64
* 1,500 USN 149/150.5 2x1 put spds, 4/64
* 3,200 TYN 127.5 calls, 18/64 vs. 126-18.5/0.25%
* +5,000 TYU 124 puts, 14/64
* over 5,000 TYQ 128 calls, 26/64
* +3,000 TYN 122 puts. cab-5
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com