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Free AccessBRIEF: ECB's Panetta-Time To Start Thinking Of NGEU Successor
MNI China Daily Summary: Wednesday, Aug 21
US TSYS WEAKER: 2-PART SELLOFF, STEEPENER; HOUSE OKS TAX BILL
US TSYS SUMMARY: Treasuries ended Wed lower in 2-part selloff with brief
break as US stocks faltered, and Tsys repair some technical losses. Then Tsys
continued to slide amid afternoon bear-steepening. US House re-voted: approved
US tax bill.
- Tsys began NY weaker after overnight 2way flow, then ebbed since about 5:36am
ET. Tsys 10-year note hit a 2.499% session high yield; highest in months, after
breaking over 2.48%, nearing key 2.5%.
- Lg end underperformed; 30Y yield hit session high yield of 2.878% at 3pm ET.
Tsy ylds thus flirted with multi-month highs.
- Tsys saw selling in 10Ys, out curve: pensions, MBS-tied, hedge funds and CTAs,
in cash and in futures. Tsys saw 3rd day of yld curve steepening. But stocks
faltered midmorning, which helped Tsys briefly: S&P Eminis hurt by morning big
$4.6B 36.4K-contract S&P Eminis sale amid VIX action, sell-stops. DJIA index,
S&P 500 and Nasdaq weaker late. Tsys saw off-run buyers.
- Pres. Trump held late afternoon bill "passage" ceremony (but will be Trump
bill signing at later unspecified date).
- TSYS 3PM ET: 2y 1.861%, 3y 1.991%, 5Y 2.243%, 7Y 2.403%, 10Y 2.499%, 30Y
2.878%.
US TSY FUTURES CLOSE: Rates broadly lower -- extending session lows late, ylds
at multi-month highs (10Y +.0308 at 2.4952 vs. 2.4970 -- March highs; 30Y +.0569
at 2.8767 vs. 2.8775 -- 4-week highs). Sources report multiple acct selling in
10s on out the curve: pension, mortgage, hedge fund and CTAs, cash and futures.
Third consecutive day yld curve steepening. Late curve update:
* 2s10s +2.632, 63.412 vs. 63.618H
* 2s30s +4.849, 101.173 vs. 101.964H
* 5s30s +4.096, 63.788 vs. 64.374H. Current futures levels:
* Mar Ultra bonds down 1-17/64 at 163-18 (163-16L/165-21H)
* Mar 30-yr Bond futures down 30/32 at 150-18 (150-17L/151-28H)
* Mar 10-yr futures down 8/32 at 123-14 (123-13.5L/123-26.5H)
* Mar 5-yr futures down 3.75/32 at 115-30 (115-29.5L/116-04H)
* Mar 2-yr futures down .5/32 at 107-01.75 (107-01L/107-02.75H)
US EURODLR FUTURES CLOSE: Lower across the strip, just off session lows on
modest volume, Blues-Golds underperforming. Current White pack (Mar'18-Dec'18):
* Mar'18 -0.005 at 98.210 * Jun'18 -0.005 at 98.055
* Sep'18 -0.005 at 97.950 * Dec'18 -0.010 at 97.855
* Red pack (Mar'19-Dec'19) -0.010-0.025
* Green pack (Mar'20-Dec'20) -0.020-0.025
* Blue pack (Mar'21-Dec'21) -0.025-0.030
* Gold pack (Mar'22-Dec'22) -0.025-0.030
US SWAPS: Spds running mixed into the close, spd curve near session flats vs.
steeper Tsys, long end extending inversion. Light flow on net with 2-way earlier
in 5s around 2.25873-2.26632%, $94k 2s3s5s fly/receiving the belly. More
recently, $154.8k 2Y-5Y-7Y fly (receiving the belly), spd curve flatteners in 2s
vs. 5s and 7s, $100M receiver 5s at 2.27223%. OTC vol firmer across the surface,
gamma outpacing longer vega (1M10Y outperforming), while exchange traded option
vol chops around mixed levels after showing gains around midmorning as
underlying rates sold off. Ongoing interest in low delta put buying for the most
part. Latest spread levels:
* 2Y +0.25/21.56
* 5Y +0.06/4.56
* 10Y -0.44/-2.38
* 30Y -1.50/-22.50
US OUTLOOK: Data/speaker calendar (prior, estimate):
- Dec 21 16-Dec jobless claims (225k, 235k) 0830ET
- Dec 21 Q3 GDP (3rd) (3.3%, 3.3%) 0830ET
- Dec 21 Q3 GDP Price Index (2.1%, 2.1%) 0830ET
- Dec 21 Dec Philadelphia Fed Mfg Index (22.7, 22.0) 0830ET
- Dec 21 Oct FHFA Home Price Index (0.3%, --) 0900ET
- Dec 21 17-Dec Bloomberg comfort index 0945ET
- Dec 21 Nov leading indicators (1.2%, 0.4%) 1000ET
- Dec 21 15-Dec natural gas stocks w/w 1030ET
- Dec 21 US Treasury $14B 5-year TIPS reopening 1300ET
- Dec 21 20-Dec Fed weekly securities holdings 1630ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen:
Block, 1254:45 ET
* 10,000 short Mar 83 calls, 0.5
* +9,000 Jun 77/78 put spds, 0.75
* total 10,000 short Feb 76/77/78 put flys, 3.5 vs. 97.825
Block, 1236:49 ET
* +10,000 Jun 80 puts, 5.0, still offered
Block, 11150:16ET
* 10,000 Sep 76/77/78 put trees, 2.5 vs. 97.985/0.06%
* +10,000 Jun 78/80 put spds, 4.0 vs. 98.05/0.22%
* 3,500 short Feb 76/77/78 put flys, 3.5 vs. 97.825
* +10,000 short Jan 77 puts, 3.0 vs. 97.77/0.10% earlier
* +5,000 Jun 80/83 2x1 strangles vs. -15,000 Jun 81 puts, 21.0 net cr
* +5,000 Jan 85/86/87 call flys, cab
* +5,000 Jan 77/78/80 put flys, cab
* Block, 10,000 Jun 80 puts, 5.5 vs. 98.05-0.40% at 1100:33ET
* total +19,846 short Jun 80/81/82/85 broken call condors, 1.0
* +5,000 Jan 85/86/87 call flys, cab
* +5,000 Jan 77/78/80 put flys, cab
* +18,000 short Mar 83 calls, 0.5 vs. 97.81
* Update, total +32,000 Jun 78/80 2x1 put spds, 2.5 vs.
* -16,000 Apr 78/80 put spds, 3.5
* Update, total 12,000 short Mar 76/77 put spds, 4.0 vs. 97.815/0.10%
* 10,000 short Mar 76/77 put spds, 4.0 vs. 97.815/0.10%
* 5,000 Dec 75/76 put spds, 2.5
Tsy options, Pit/screen
* +5,000 TYG 125.5/126 call spds, 2/64 vs. 123-22/0.10%
* +/-1,100 TYH 121.5/125.5 risk reversals, 0.0
* total 8,000 TYG 123/124 put spds, 31- to 30/64
* total -14,600 TYG 123 puts vs. +10,500 TYF 123.5 puts, 9- to 10/64 net
* 2,500 TYF 123 puts, 2/64 vs. 123-14.5
* 5,200 TYF 123.5 puts, 10/64
* 2,000 FVH 115.7/116.2 put spds, 16.5/64
* +/-3,000 TYG 123.5 straddles, 104-105
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.