US TSYS WEAKER; SPECULATION AS TRUMP TO NAME FED CHR BY NOV.3

     US TSYS SUMMARY: Treasuries ended Fri weaker, US stocks higher amid Fed

Chair speculation, and Thu GOP-led Senate passage of fiscal 2018 budget; spurred

tax reform hopes. Rising chances of Dallas Fed Powell as next Fed chair (58%, up

19% after Pres Trump met Fed Chr Yellen late Thu) added to move, with Tsy

futures making new lows for wk. 

- Tsys rose on news Fed Chr Yellen at Wh.Hse then fell as mtg Cohn, not Trump.

Fox Bix News: Trump may pick Taylor and Powell to Chr or VC (or vice versa), as

that would placate. DJIA briefly hit new all-time high 23,317.29 at 2;24pm ET). 

- Tsys: large sellers of old cash 30Y bond, real$, fast$ sold cash long end

Tsys, 5/30Y flattener unwind; TIPS outperform nominals. 

- Massive sale Eurodlr futures, -92k EDZ7 mostly at 98.495 and some -30k Mar18

from 98.355 to 98.35. Heavy option volume, some put sales/taking profits. 

- Swap spds tighter amid decent two-way flow, receivers in front end, intermed

payers, 2way curve and fly flow on light size. 

- TSYS 3pm ET: 2Y 1.576%; 3Y 1.717%; 5Y 2.020%; 7Y 2.230%; 10Y 2.381%; 30Y

2.893%.

US TSY FUTURES CLOSE: Risk-on into weekend, Tsys broadly lower, off lows, curve

bear steepening, futures making new lows for wk. 

- Gold resumes slide (-10.81, 1279.29), equities gaining (emini +10.75, 2571.25;

DJIA new all-time high 23296.01.). Current futures levels: 

* Dec Ultra bonds down 1-29/32 at 164-05 (163-18L/165-31H) 

* Dec 30-yr Bond futures down 1-10/32 at 152-07 (151-25L/153-18H) 

* Dec 10-yr futures down 14/32 at 124-26.5 (124-25L/125-13.5H) 

* Dec 5-yr futures down 5.75/32 at 117-03 (117-02.5L/117-13.25H) 

* Dec 2-yr futures down 1.25/32 at 107-21.5 (107-21.5L/107-24.75H)

US EURODLR FUTURES CLOSE: Lower across the strip, near session lows, long end

underperforming. Massive sale Eurodlr futures, -92k EDZ7 mostly at 98.495 and

some -30k Mar18 from 98.355 to 98.35. Heavy option volume, some put sales/taking

profits. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.005 at 98.490 

* Mar'18 -0.005 at 98.355 

* Jun'18 -0.015 at 98.235 

* Sep'18 -0.020 at 98.145 

* Red pack (Dec'18-Sep'19) -0.025-0.035 

* Green pack (Dec'19-Sep'20) -0.040-0.055 

* Blue pack (Dec'20-Sep'21) -0.050-0.065 

* Gold pack (Dec'21-Sep'22) -0.065-0.070

US SWAPS: Spds cinched tighter amid decent two-way flow, spd curve flattening

further in late trade. Earlier flow included receivers in front end, payers in

intermediates, two-way curve and fly flow on light size. Convexity related

paying in intermediates keeping spd narrowing tethered there. OTC vol mostly

firmer, gamma outpacing heading into the weekend, 1M10Y bid late. Latest spread

levels: 

* 2Y -0.88/23.69 

* 5Y -0.62/7.94 

* 10Y -0.31/-2.32 

* 30Y -0.38/-30.38

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

- Oct 23 US Tsy $42.0B 13-Week Bill auction 1130ET 

- Oct 23 US Tsy $36.0B 26-Week Bill auction 1130ET 

- Oct 23 Oct Treasury Allotments (p) 1500ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +10,000 short Mar 76/77/78 put trees, 1.0 vs. 98.045/0.05%

* Block, 20,500 Green Nov 76 puts, 1.0

* Block, 20,500 Green Dec 73 puts, 0.5

* -2,500 Green Dec 76/77 call spds vs, Green Dec 75 puts, 7.5 net

* +12,000 Apr/Jun 81 put spds, 2.0

* +5,000 Green Mar 75/81 put over risk reversals, 0.5 vs. 97.81/0.45%

* +3,000 short Mar/short Sep 81 call spds, 4.0 vs. 97.89/0.34% flattener

* Block, 10,000 Blue Dec 76/77/78 put trees, 0.0 vs. 97.695/0.20%

* -20,000 Dec 85 puts, 3.75, just as massive sale hits Dec'17 futures

* 2,000 short Jun/short Sep 71/72/75 put fly strip, 5.0

* Block, -15,000 Dec 85 puts, 3.75, midmarket cross

* Block, -10,000 Dec 85 straddles, 7.0,

* -5,000 Dec 85 straddles, 7.25

* 7,000 Blue Nov 76/Blue Dec 75 put spds, 0.5

* +5,000 short Dec 77/78/80 put trees, 2.5

* 4,000 Green Dec 82/85 call spds

* +10,000 Green Nov 76 puts, 1.5

* +10,000 Blue Nov 75 puts, 1.5

* +15,000 short Dec 77 puts, 1.0 w/

* +15,000 Green Nov 76 puts, 1.5 w/

* +15,000 Blue Nov 75 puts, 1.0, 3.5 total for puit strip

* total -10,000 Dec 85/86 call spds vs. -Dec 85 puts, 6.5 net.

* Block, -5,000 short Dec 77/80/81 put trees, 5.5

* Block, +10,000 short Dec 77 puts, 1.0

* over +100,000 short Dec 77 puts, 1.0 (after >300k EOZ 78p bought at 2.0 on wk)

* 10,000 short Nov 80 puts, 2.5

* 10,000 Green Nov 75 puts and 14,000 Green Nov 77 puts

* 5,000 Dec 83 puts, cab

* 20,000 Blue Dec 83 calls, 0.5

##############################

Tsy options

Pit/screen:

* 3,000 TYX 124.5/125 put spds, 13/64

* Update, total 18,000 TYZ 125.5/126.5/127.5 call flys, 10- to 11/64 vs.

124-29.5

* total -11,000 TYX 124.5 puts, 10- to 11/64 pit/screen

* 4,000 TYZ 129.5/130 1x2 call spds, 4/64

* -5,000 TYX 124.5 puts, 11/64, total screen volume near 64k

* 3,300 wk3 TY 125 straddles, 14/64 vs. 124-27/0.50%

* Update, +10,000 TYZ 125.5/126.5/127.5 call flys, 10- to 11/64

* +2,300 TYZ 125.5/126.5/127.5 call flys, 11/64

* 1,000 USX 149/150 2x1 put spds, 1/64

* +65,000+ TYZ 124.5 puts 24- to 29/64

* +30,000 TYX 124/124.5 put spds, 6/64

* 20,000 TYX 124.75 puts, mostly 14- to 13/64, 13/64 last

* +4,000 TYZ 127 calls, 7/64

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]