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US TSYS: US STILL TARIFF HEADLINE SENSITIVE; BREXIT SECONDARY

US TSY SUMMARY: Rates mildly mixed after the bell, long end underperforming,
short end Eurodlr futures under duress later in second half. Gist of day: while
Brexit debate and resignation watch was US$ positive earlier, US mkts insulated
for much of session. What really gets domestic markets moving is trade tariff
headlines.
- Decent risk-on move w/equities making new session highs after Lighthizer
comments that some tariffs already on hold (denied late in day). Good feeling
gone late -- risk-on scaled back after Trump admin Ross headline: "U.S. STILL
PLANS CHINA TARIFF INCREASE TO 25% IN JANUARY" bbg.
- Heavy volume day (TYZ>2.2M), two-way flow on net, curve steepener theme
maintained, but off highs (5s30s +1.72 at 42.55); 5s30s steepener Block
1351:22ET (+11,430 FVZ 112-20.25 buy through -19.5 post time offer vs.
* -3,000 USZ 138-26, bid). Heavy Eurodlr, Tsy option flow. Friday: Industrial
Production (0.0%) and Capacity Utilization (78.1%) rounds out the week. Tsy
cash/ylds: 2Y 100-01 (2.854%), 5Y 99-23 (2.935%), 10Y 100-04 (3.109%), 30Y
100-08.5 (3.359%).
US TSY FUTURES CLOSE: Trading mixed with the short end outperforming; strong
volume (TYZ 2.15M); curves mixed; update:
* 2s10s -0.404, 25.050 (24.328L/25.941H);
* 2s30s +0.661, 50.284 (48.133L/51.284H);
* 5s30s +1.393, 42.222 (39.659L/43.201H);
Current futures levels:
* Dec Ultra bonds down 04/32 at 150-12 (149-29L/151-03H)
* Dec 30-yr Bond futures up 02/32 at 138-30 (138-18L/139-14H)
* Dec 10-yr futures up 4.5/32 at 118-28.5 (118-19.5L/119-03H)
* Dec 5-yr futures up 03/32 at 112-20.25 (112-14.5L/112-24.5H)
* Dec 2-yr futures up 0.75/32 at 105-12.5 (105-10.75L/105-14.25H)
US EURODOLLAR FUTURES CLOSE: Trading mixed with the long end outperforming; in
the middle of the range; strong volume. Current White pack (Dec'18-Sep'19):
* Dec'18 -0.015 at 97.245
* Jun'19 0.000 at 97.125
* Jun'19 0.000 at 96.995
* Sep'18 0.000 at 96.915
* Red pack (Dec'19-Sep'20) +0.010-EVEN
* Green pack (Dec'20-Sep'21) +0.015-0.010
* Blue pack (Dec'21-Sep'21) +0.015
* Gold pack (Dec'22-Sep'22) +0.015-0.010
US DOLLAR LIBOR: Latest settles, 
* O/N +0.0036 to 2.1797% (+0.0043/wk)
* 1 Month -0.0078 to 2.3025% (-0.0119/wk)
* 3 Month +0.0110 to 2.6400% (+0.0219/wk)
* 6 Month -0.0032 to 2.8602% (+0.0022/wk)
* 1 Year -0.0113 to 3.1183% (-0.0257/wk)
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.20% vs. 2.20% prior, $803B
* Broad General Collateral Rate (BGCR): 2.17% vs. 2.17% prior, $440B
* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.17% prior, $415B
US SWAPS: Spds hold mostly wider, spd curve extends flatter w/wings on
respective session range limits. Corp issuance hedging playing limited role in
short end. Otherwise flow over the last couple hours includes modest 2-way in 2s
around 3.0329-.0413%, rate payer in 4s at 3.062%, two-way in 10s between
3.1565-3.1775%, and 2s5s10s receiver fly. Latest spd levels:
* 2Y +0.75/19.75
* 5Y +0.38/14.50
* 10Y +0.06/6.44
* 30Y -0.44/-10.62
PIPELINE: PRICED $1b NWB 3Y MS +6
Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:
11/15  $1B *NWB 3Y MS +6
11/15  $750M *CAF 5Y MS +79
11/15  $620M *The Government of Bermuda Long 10Y +175
OUTLOOK: 
- Nov 16 NY Fed Business Leaders Index (9.4, --) 0830ET
- Nov 16 Industrial Production (0.3%, 0.1%) 0915ET
- Nov 16 Capacity Utilization (78.1%, 78.1%) 0915ET
- Nov 16 Advance NSA Service Revenue 1000ET
- Nov 16 BLS state payrolls 1000ET
- Nov 16 Nov Kansas City Fed Mfg Index (8, --) 1100ET
- Nov 16 Q4 St. Louis Fed Real GDP Nowcast (2.9%, --) 1100ET
- Nov 16 Q4 NY Fed GDP Nowcast (2.7%, --) 1115ET
- Nov 16 Chi Fed Pres Evans, moderated Q&A/FI Forum, Q&A, IL 1130ET
- Nov 16 Sep net TICS flows 1600ET
- Nov 16 Sep long term TICS flows 1600ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
block, 14:06:46ET
* +10,000 Dec 70/71 put sprd at 0.5 w/another 10k in pit
block, 13:47:35ET
* 10,000 Short Dec 70 calls at 3.5 vs 9688/0.25%, note earlier -55k sold at 3.5
covered 9687.5
* 10,000 Short Dec 67/68 2x1 put sprd at 3, note earlier -10k sold at 2.5
* over -75,000 Short Dec 70 calls at 3.0-3.5 vs 9687.5/0.25%
* over +40,000 Green Mar 66 puts at 5.5 vs 9690.5/0.23%
* 5,000 Dec 71 puts at 0.5 vs 9723/0.02%
* 4,000 Short Nov/Green Nov 67 put sprd at 0
* 30,000 Jun 75 calls at 2.5 vs 9703/0.10%
* 15,000 Green Jun/Blue Sep 68 Straddle Sprd at 7.5
Total -20,000 Short Dec 65/66/67/68 put condor at 4.5 vs 9690/0.10%
Total 5,500 Short Jan 67/68 2x1 at 1
* 5,000 Short Jan 67/68 2x1 at 1
* 6,000 Short April 62/65 put sprd at 2.5 vs 9686.5/0.10%
* 5,000 Short Dec 65/66/67/68 put condor at 4.5 vs 9690/0.10%
* 4,000 Short Nov 68 calls at 3 vs 9688.5/0.52%
* 3,000 Green Dec 67 puts at 3 vs 9690/0.22%
* 5,000 Short Mar 70 calls at 11 vs 9688/0.38%
* -10,000 Short Dec 67/68 2x1 put sprd at 2.5
* 5,000 Green Sep 76/81 call sprd at 5
Sources say +80,000 Blue Sep 80 calls at 4
* 5,000 Short Mar 66/67 put sprd at 4 vs 9689.5/0.10%
* 4,000 Short Dec 66/67/68 put fly at 3.5
Tsy options, Pit/screen:
### POV, PARSING MASSIVE 10Y OPTION FLOW
* Over -137,000 TYF 121 calls sold at 5/64. Taken alone, sale is an opener
w/open interest coming into the session only 25,997. NOT a lot of gravy on the
sale -- opening a massive unlimited upside risk call sale for only 5/64 profit
potential. That said, Jan options EXPIRE on December 21, after the final 2018
FOMC and well before the Jan'19 29-30 FOMC. In context, however, sale could be
vs. heavy TYG call buying from a week ago (+20k 122/123.5 1x2c spds, >+65k
118.5c, >35k 119c).
- Or conversely, could be legged sale vs. large buying >60,000 TYF 119.5 calls
today, or vs. the heavy contingency of TYZ calls traded outright and on spd
(59,000 TYZ 119.25 calls, from 11- to 9/64; -10,000 TYZ 119/119.5/120/120.5 call
condors, 6/64 more recently). One trader even suggests the call sale could be a
cross asset curve trade vs. buy of some 80,000 Blue Sep Eurodlr 80 calls 4.0 
- Policy tie-in, rate hike probability for Dec 17-18 FOMC has risen to mid-80%
(MNI PINCH model). Fed ch Powell came out less hawkish last night, but remains
in hawk camp, majority of dealers still est 3-4 hikes next year.
Recent FOB (Five over Bonds) synthetic flattener (duration weighted)
* +8,000 FVF 112.5 puts, 20/64 vs. 112-19.5 vs.
* -2,650 USF 137 puts, 41/64 vs. 138-16
* +5,000 TYZ 118.25/118.75 2x1 put spds, 5/64 (large >115k offer remains)
* +20,000 FVZ 112.75/-FVF 113 call diagonal at 5.5
* -10,000 TYZ 119/119.5/120/120.5 call condors, 6/64 vs. 118-29 in pit
* +4,000 wk5 TY 117.25/117.75/118.25 put flys, 3/64
* just over 59,000 TYZ 119.25 calls, from 11- to 9/64 last few minutes (OI
33,095 coming into session)
* over 58,000 TYF 119.5 calls, 21/64
* Update, over -121,000 TYF 121 calls, 5/64 (open interest only 25,997 coming
into session)
* just over +32,000 TYF 121 calls over last 45 minutes at 5/64
* 2,300 TYZ 117.5/118 3x1 put spds, 0.0
Highlight overnight trade includes
* >23,000 TYZ 119 calls
* >17,000 TYZ 119.5 calls
* >12,000 TYZ 117.5/118 put spds, from 2- to 4/64
* 11,000 TYF 120.5 calls, 8/64
--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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