US TSYS SUMMARY: Trading well off session highs, near opening levels by Friday's closing bell, all-in-all a quiet day of trade heading into the extended Presidents Day holiday weekend. Limited data react, focus on next wk's Jan FOMC minutes on Wed. - Substantial sell programs went equities after headline that 'MUELLER INDICTS 13 RUSSIANS FOR HACKING DURING U.S. ELECTION' bbg made rounds. Equities trimmed gains/traded lower into Tsy close (emini ), Tsys initially bounced after falling back to near opening levels. VIX tapped 20.99 in late trade, bounced off 17.44 low on Russia headlines; US$ index heading higher (DXY +.519, 89.112). Large Eurdlr steepener Block +40k EDZ8/9, +0.345. - Swap spds ran mostly wider, long end off midday highs. Front end held tighter w/accts fading the move via payers in 2s from 2.469%-2.4625%. Other flow includes 4Y switch, $51.3k DV01 2s5s steepener and $147k DV01 5s10s steepener, $225k 4s7s10s fly receiving the belly. - Late ylds: 2Y 2.187%, 3Y 2.384%, 5Y 2.624%, 7Y 2.804%, 10Y 2.875%, 30Y 3.135%
US TSY FUTURES CLOSE: Mildly higher by the close, well off midday highs to near bottom of session range, gradually paring gains in second half. Latest curve update: * 2s10s -3.787, 68.314 (71.279H/66.130L); * 2s30s -3.151, 94.370 (96.616H/91.177L); * 5s30s -0.132, 50.990 (51.127H/48.642L); Current futures levels: * Mar Ultra bonds up 6/32 at 156-14 (155-17L/157-13H) * Mar 30-yr Bond futures up 6/32 at 144-06 (143-18L/144-27H) * Mar 10-yr futures up 4/32 at 120-18.5 (120-09.5L/120-25H) * Mar 5-yr futures up 2.5/32 at 114-09.5 (114-04.5L/114-12H) * Mar 2-yr futures up .5/32 at 106-17.25 (106-15.75/106-17.75H)
US EURODOLLAR FUTURES CLOSE: Mostly higher by the close, short end weaker all session despite large steepener Block (+40k EDZ8/EDZ9, .345). Current White pack (Mar'18-Dec'18): * Mar'18 -0.020 at 97.955 * Jun'18 -0.010 at 97.775 * Sep'18 +0.005 at 97.665 * Dec'18 +0.015 at 97.540 * Red pack (Mar'19-Dec'19) +0.020-0.015 * Green pack (Mar'20-Dec'20) +0.020-0.025 * Blue pack (Mar'21-Dec'21) +0.025 * Gold pack (Mar'22-Dec'22) +0.020-0.025
US SWAPS: Spds running mostly wider by the bell, long end off midday highs/pared move in second half. Front end holding tighter with some accts fading the move via payers in 2s from 2.469%-2.4625%. Other flow includes 4Y switch, $51.3k DV01 2s5s steepener and $147k DV01 5s10s steepener, $225k 4s7s10s fly receiving the belly. Latest spread levels: * 2Y -1.50/27.00 * 5Y +0.12/10.00 * 10Y +0.44/1.94 * 30Y +0.62/-15.50
PIPELINE: Quiet End To Wk After $7B IG Issuance Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #: No new issuance reported Friday Potential upcoming issuance in the near term: Chatter, 3M (MMM) A1/AA- Chatter, Bank of New Zealand (BZLNZ) A1/AA- Chatter, KeyBank Chatter, Fifth Third Bank (FITB) A3/A Chatter, State Street Corp (STT) A1/A
OUTLOOK: Data/speaker calendar (prior, estimate): - Feb 19 US Presidents Day Holiday market close - Feb 20 Feb Philadelphia Fed Nonmfg Index (19.5, --) 0830ET - Feb 20 $55B US Tsys 4Wk, $51B 3M and $45B 6M bill auctions 1130ET - Feb 20 $28B US Tsys 2Y note auction 1300ET
Eurodollar/Treasury Option Summary
Eurodollar options, Pit/screen: Block, 1237:34ET * 10,000 Jun 80/81 1x2 call spds, 0.0 vs. 97.75/0.05% * +40,000 Mar 81 calls, 0.5 vs. 97.95-955 * 5,000 Mar 77/78 put spds, 0.75 vs. 97.96/0.15% * 5,000 Mar 78 puts, 1.25 vs. 97.45/0.10% * Update, total +9,000 Green Jun 73/Gold Jun 72 call spds, 0.0/steepener * +15,000 Apr/Jun 76 put strip, 2.0 * -15,000 short Apr 72/73/75 put flys, 2.5 vs. 97.335/0.16% vs. * +7,500 short Apr 71/73/75 put flys, 3.0 * -7,000 Mar 78/80 put spds, 5.5 * +10,000 Blue Apr 75 calls,2.0 * Update, total 7,000 Sep 73/75/76 put flys, 3.0 * 10,000 short Jun 71/72/73 put flys, 2.0 * 10,000 Apr 76 puts, 0.75 vs. 97.77/0.06% * 5,000 Sep 73/75/76 put flys, 3.0 * +25,000 Red Jun 67/68 put spds, 2.5 vs. 97.305/0.10% * +10,000 Red Dec 60/65 2x1 put spds, 3.5 * -2,000 long Green Mar 71 straddles, 66.5 * -2,500 short Mar 75 straddles, 15.0 * 2,000 Green Apr 68/76 put over risk reversals, 1.5 vs. 97.155 * +4,000 short Apr 71/73 put spds, 10.0 * +3,500 Sep 73/75/76 put flys, 3.0 * -2,500 Sep 75/77 put spds, 12.5, adds to 45k on screen * Update, total -45,000 Sep 75/77 put spds, 12.5 * 22,000 Mar 78 puts, 1.0 * 11,100 Mar 80/81 call spds, 1.25 * 7,5000 short Mar 73/75 put spds 4.0 over the short Mar 75 calls, 5k Blocked * 6,000 short Jun 75/76 1x2 call spds Block, 0746:45ET * -22,986 Jun 76/77 put spds, 4.0 * -10,000 Sep 75/77 on screen couple minutes later, 25k total
Tsy options, Pit/screen: * 2,000 USK 140 puts, 42/64 vs. 143-23/0.22% * 2,100 TYH 119.25/119.75 2x1 put spds, 1/64 * 5,000 TUJ 106.6/106.8 call spds, 1.5/64 * -5,000 TYJ 121.5 calls, 11/64 * 1,000 TYM 120 straddles, 2-11/64
--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]