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USDCAD TECHS

Solid Bounce

AUDUSD TECHS

Reverses In Style

EURJPY TECHS

Accelerates Off Bull Trigger

USDJPY TECHS

Still Pointing Higher

EURGBP TECHS

Bouncing Well

GBPUSD TECHS

Bulls Press Pause

     
US TSY SUMMARY: Quiet end to 2018 for rates and foreign currencies despite the
early chop. Markets close early for New Years eve. Tsy bill auctions: $39B 13W
(912796RD3), $36B 26W bills (912796RW1) and $26B 52W bills (912796RT8) passed
without incident; no react to Dallas Fed employ index 11.0/production index 7.3.
- Early equity bid on positive sounding headlines on US/China trade (WSJ article
over weekend -- "fleshing out" deal) and Italy budget acceptance.
- FI Volumes very light (Japan out most of week for various year-end holidays),
TYH just over 460k by the bell; long end futures outpaced, yld curves reverse
mixed. US$ vs. Yen slips to new 6M low, 109.66 last seen mid-June.
- Light, two-way flow, program selling in short end post LIBOR set, year-end
buying intermediates.
- Tsy cash/ylds: 2Y 100-00 (2.496%), 5Y 100-16.25 (2.513%), 10Y 103-24 (2.688%),
30Y 107-07 (3.006%)
US TSY FUTURES CLOSE: Firmer across the curve by the early close, near
midmorning highs. Tsy yld curve update:
* 2s10s -0.821, 18.982 (15.439L/21.267H);
* 2s30s +0.623, 50.829 (46.598L/52.025H);
* 5s30s +2.416, 49.002 (45.921L/49.093H);
Current futures levels:
* Mar Ultra bonds up 22/32 at 160-24 (159-24L/161-03H)
* Mar 30-yr Bond futures up 18/32 at 146-03 (145-07L/146-09H)
* Mar 10-yr futures up 13/32 at 122-01 (121-18L/122-01.5H)
* Mar 5-yr futures up 9/32 at 114-23 (114-12.5L/114-23.75H)
* Mar 2-yr futures up 2.75 at 106-05.5 (106-02L/106-05.5H)
US EURODLR FUTURES CLOSE: Well bid/session highs on early close; EDH9/EDH0
extends inversion (-0.150). Current White pack (Dec'18-Sep'19):
* Mar'19 -0.005 at 97.285
* Jun'19 +0.005 at 97.315
* Sep'19 +0.010 at 97.340
* Dec'19 +0.010 at 97.350
* Red pack (Mar'19-Dec'20) +0.025-0.040
* Green pack (Mar'20-Dec'21) +0.050-0.070
* Blue pack (Mar'21-Dec'21) +0.075-0.080
* Gold pack (Mar'22-Dec'22) +0.075-0.065
US DOLLAR LIBOR: Latest settles,
* O/N -0.0142 to 2.3782% (+0.0008 last wk)
* 1 Month -0.0172 to 2.5027% (+0.0136 last wk)
* 3 Month +0.0106 to 2.8076% (-0.0246 last wk)
* 6 Month +0.0025 to 2.8756% (-0.0348 last wk)
* 1 Year -0.0077 to 3.0054% (-0.0600 last wk)
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 2017; TIPS -0.02Y; Govt inflation-linked, -0.04Y
*.....................Projected...1Y Avg Incr..Last Dec
*US Tsys.................0.06........0.08........0.07
*Agencies................0.05........0.10........0.11
*Credit..................0.06........0.09........0.06
*Govt/Credit.............0.06........0.08........0.07
*MBS.....................0.05........0.07........0.07
*Aggregate...............0.05........0.08........0.06
*Long Govt/Credit........0.07........0.09........0.08
*Interm Credit...........0.06........0.08........0.06
*Interm Govt.............0.06........0.08........0.07
*Interm Govt/Cred........0.06........0.08........0.06
*High Yield..............0.04........0.08........0.09
US SWAPS: Spds running wider, top end session range, 30Y lagging all session.
Modest swap flow seeing better receivers in 2s-5s, mixed flys w/2s5s10s payer
and 3s5s10s receiver, small size. Latest spd levels:
Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
12:45       +1.75/16.62   +1.62/6.62     +0.50/2.50    +0.25/-17.25
10:45       +1.12/16.00   +0.88/5.88     +0.38/2.38    +0.06/-17.44
9:30        +1.12/16.00   +0.81/5.81     +0.31/2.31    +0.12/-17.38
Mon Open    +0.62/15.50   +0.44/5.44     +0.25/2.25    +0.25/-17.25
Fri 3:00    +0.38/14.12   +0.50/5.25     +0.06/2.19    -0.69/-17.38
US TSYS: *** /REPO REFERENCE RATES: (rate, volume)
* Secured Overnight Financing Rate (SOFR): 2.46%, $927B
* Broad General Collateral Rate (BGCR): 2.45%, $392B
* Tri-Party General Collateral Rate (TGCR): 2.45%, $381B
PIPELINE: No new supply on day/week
OUTLOOK: Data/speaker calendar (prior, estimate): 
01-Jan Markets closed for New Years
-
02-Jan 0855 **  29-Dec Redbook retail sales m/m
02-Jan 0945 *** Dec Markit Mfg Index (final) (53.9, --)
02-Jan 1030 **  Jan Dallas Fed services index (11.4, --)
Eurodollar/Treasury Option Summary 
Eurodollar options, Pit/screen:
Block, 1106:36ET
* 10,000 Mar 71/72 put spds, 3.25
* 7,500 short Mar 67/68 put spds, 1.5 vs. 97.395/0.10%
* 10,000 Green Mar 68/72 call spds 33.0
* 15,000 Green Jun 68 puts, 2.5 vs. 5,000 Green Jun 75/78 2x3 call spds, 14.5
* -20,000 Mar 71 puts, 1.75 on the heels of recent Block buy of 10k Mar 70 puts,
0.5
* +10,000 Jun 73/75 call spds, 3.25
* +7,500 Dec 68/71 2x1 put spds, 2.0
Block, 1002:53ET
* +10,000 Mar 70 puts, 0.5, still offered
* 3,000 Green Mar 71 puts, 2.5 vs. Green Mar 73/76 1x1.5 call spds, 7.0
* 2,000 Mar 71/72 1x2 call spds on screen
Tsy options, Pit/screen:
* +5,000 TYG 114.5/115 put strip, cab-13
* +6,000 TYH 125/127 1x2 call spds, even -- ongoing position add
* 2,000 FVH 112.5/113.5/114 put flys, 2.5/64
* +1,000 FVG 114.75/116 call spds, 10.5
* >12,000 TYG 115.5 puts, cab-7
Last Friday volume leaders:
* >80,000 TYG 121.5/123.5 call spds, 31/64 (Open Interest +63.7k and 41.2k in
respective calls)
* >55,000 FVG 114.25/115.25 call spds, 20.5-22 (Open Interest +35.6k and 45.0k
in respective calls)
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com