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Worry re: Coronavirus' spread in China &....>

US TSYS
US TSYS: Worry re: Coronavirus' spread in China & internationally, triggering an
extension of the Chinese LNY holiday period, broader travel crackdowns &
increased scrutiny of local/national gov't, generated demand for safe havens in
a holiday thinned Asia session. Risk reversals featured via blocks; some pointed
to traders looking to fade the recent richening in call skew. USJ0 157.00/164.00
& 157.00/165.00 structures in play, as were FVH0 119.25/120.00 & 119.25/120.25
positions (FV positions delta hedged). T-Notes bid from re-open, but eased from
highs, +0-12+ at 130-21+. Yields -3.6 to -5.7bp across curve, belly outperforms.
- Eurodollar futs unch. to +5.5 thru reds. Early trade saw selling of EDH0, but
one heavy buyer has been seen in Asia hours. 10.0K of the 98.750/99.000 call
spread were seemingly blocked at 0.015 pre-market. We also saw ~25.0K of the
EDH0 98.625 calls change hands, mostly driven by lifts.
- There also appeared to be a 10.0K block buyer of FFG0 10.0K.
- Futures volumes robust for U.S. FI, running above the typical avgs for Asia.
- New home sales & the Dallas fed m'fing index are due for release today, and we
will also see the latest 3- & 6-Month auctions, as well as 2- & 5-Year supply.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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