US TSYS: +250k ADP SURPRISE AHEAD FFRI'S NFP, TSYS OFF LOWS LT

By Bill Sokolis

US TSYS SUMMARY: Rates trade weaker into Thu's close, well off session lows with

long end inching off lows since the London close, yld curves continue to flatten

as short to intermediates lag the move heading into Fri's NFP (+190k exp, +214k

whisper). Fairly modest volume with many desks hitting exit early as blizzard

hits East coast.

- Modest US$ rebound helped spur early selling, as did surge in equities w/Dow

breaching 25,000 for first time to 25105H, emini +15.0 to 2726.0; gold surged

over $9.70 to 1322.90; West Texas crude topped 62.0 overnight, new 2.5Y highs.

- ADP private employ data surprise, +250k vs. +190k est, spurred modest selling

into open; weekly claims +3k to 250k for final week of 2017.

- Decent pick-up in high-grade corporate and supra-sov issuance, Rep of

Argentina launched $9B 3-parter late. Rate paying in 2s-10s, decent flurry

various flys, paying belly

- Heavy short end Eurodollar futures selling, EDH8 & EDZ8 both over 400k. Short

cover, position squaring flow on thinning mkt depth as East coast storm worsened

into midday, 2s10s flattener unwinds. 

- 3PM ET: 2Y 1.956%, 3Y 2.040%, 5Y 2.267%, 7Y 2.379%, 10Y 2.451%, 30Y 2.784%

US TSY FUTURES CLOSE: Trading mildly by the close, long end recovered in second

half w/long bond trading in the black late before receding, 5- and 10Y futures

hold lower/narrow range. Latest curve Update:

* 2s10s -1.475, 49.701 (51.918H/49.117L);

* 2s30s -2.101, 82.921 (85.899H/82.362L);

* 5s30s -2.423, 51.483 (54.371H/51.262L); Current futures levels:

* Mar Ultra bonds down 2/64 at 166-12 (165-16L/166-17H)

* Mar 30-yr Bond futures down 1/32 at 152-09 (151-19L/152-13H)

* Mar 10-yr futures down 4.5/32 at 123-20.5 (123-13.5L/123-25H)

* Mar 5-yr futures down 4/32 at 115-27.5 (115-24L/115-31.25H)

* Mar 2-yr futures down 1.75/32 at 106-29.25 (106-28L/106-30.75H)

US EURODOLLAR FUTURES CLOSE: Trading lower across the strip by the close, mid-

to lower half of range on decent/heavy volume in the short end, EDH8 and EDZ8

near 400k each on late outright sales, spd sales. Current White pack

(Mar'18-Dec'18):

* Mar'18 -0.020 at 98.190

* Jun'18 -0.025 at 98.010

* Sep'18 -0.025 at 97.895

* Dec'18 -0.025 at 97.790

* Red pack (Mar'19-Dec'19) -0.035-0.045

* Green pack (Mar'20-Dec'20) -0.040-0.030

* Blue pack (Mar'21-Dec'21) -0.030-0.020

* Gold pack (Mar'22-Dec'22) -0.020-0.015

US SWAPS: Spds running wider across the curve by the close, off early mixed

levels w/short end taking lead in second half. Decent flurry swap flow on day on

lighter size, recent includes rate paying in 2s-10s, 5s10s30s fly paying the

belly and 5s10s15s fly paying the belly, deal-tied flow in the mix. OTC vol

withered across much of the surface as underlying rates recovered off lows later

in second half. Latest spread levels:

* 2Y  +0.75/18.56

* 5Y  +0.38/4.38

* 10Y +0.69/-0.81

* 30Y +0.31/-19.94

US OUTLOOK: Data/speaker calendar (prior, estimate): 

- Jan 05 Dec US nonfarm payroll employment (228K, 190k) 0830ET

- Jan 05 Dec US private payroll employment (221K, 185k) 0830ET

- Jan 05 Dec US unemployment rate (4.1%, 4.1%) 0830ET

- Jan 05 Dec US average hourly earnings (0.2%, 0.3%) 0830ET

- Jan 05 Dec US average workweek, all workers (34.5, 34.5 hrs) 0830ET

- Jan 05 Nov trade balance (-$48.7B, -$49.5B) 0830ET

- Jan 05 Dec ISM Non-manufacturing Index (57.4, 57.7) 1000ET

- Jan 05 Nov factory new orders (-0.1%, 1.1%) 1000ET

- Jan 05 Nov factory orders ex transport (0.8%, --) 1000ET

- Jan 05 Phil Fed Harker on Econ Outlk: AEA/ASSA Mtg; Phila; Q/A 1015ET

- Jan 05 Clvld Fed Mester: MonPol/MacroEco Stab ASSA mtg Phila Q/A 1230ET

- Jan 05 Q1 St. Louis Fed Real GDP Nowcast 1100ET

- Jan 05 Q1 NY Fed GDP Nowcast 1115ET

- Jan 05 Dec Treasury STRIPS Holdings 1500ET

- Jan 05 Clvld Fed Mester interview on CNBC

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* +15,000 Green Sep 78 calls, 9.0 vs. 97.565/0.28%

* 13,000 Feb 80/81 2x1 put spds, 0.5

* +10,000 Dec 73/76 put spds 1.0 over the Dec 81 calls

* -5,000 Jun 83/short Jun 80 put spd w/Sep 77/short Sep 73 put spd, 3.0 total

* +4,000 Red Mar'19 71/72 put spd w/Red Mar'19 71/75 put spd, 8.0 total

* 3,000 Feb 82/83 call spds, 1.25=

* -5,000 Jun 78/80 put spds, 5.0

* +5,000 short Jan 76/Green Jan 75 put strip, 1.5 total

* -2,000 short Mar 77 straddles, 16.5

* total 15,000 Dec 75/76 put spds, 3.25

Block, 1101:20ET repeats 1049:50ET,

* total +20,000 short Dec 82 calls, 3.5

* total -20,000 Green Dec 82 calls, 4.0

* -40,000 short Feb 75/77/78 2x2x1 put flys, 2.0 w/

* -40,000 short Feb 76/77/78 put flys, 4.0 vs. 97.72/0.10%, 6.0 total 

* 5,000 Blue Feb 75 straddles, 16.5

* +4,000 Apr 80/81 strangles, 9.5

* +15,000 Red Sep'19 81/83/86 call trees, 1.5 screen

* -15,000 Mar 82/87 put spds, 47.5 vs. 98.205/0.10%

* total +9,000 Mar 83 straddles vs. 85 calls, 20.5 net db

* -5,000 Sep 76/81 put spds, 24.5

* +5,000 Mar 83 straddles vs. 85 calls, 20.5 net db

* 2,000 short Apr 75/76/77 put flys, 2.5

* 2,000 Feb 82/83 1x2 call spds, 1.0 w/

* 2,000 Mar 80/81 2x1 put spds, 1.0, 2.0 total db, adds to +20k bought Wed

* +35,000 short Mar 76 puts, 3.5 on screen

* 2,000 Jun 76/77/78 put flys, 1.0

* +2,500 Red Mar19 68/71/73 put flys, 2.25

Blocks, 0611:37-0637:05ET,

* total +35,000 short Mar 75/76/77 put trees, 4.0 vs.

* total -35,000 short Mar 81 calls, 0.5, 3.5 net db

Tsy options, Pit/screen:

Block, 1350:00ET

* +16,000 wk1 TY 123.5 puts, 4/64, another 8,300 on screen

* 2,500 FVG 115.7/116.25 put over risk reversals, 4.5/64 vs. 115-28.2

Midday note on vol, bond implieds weaker on small but consistent straddle and

strangle sellers in Feb and Mar, low delta put buyers outright and on reversals

helping support 10yr vol.

* 12,100 TYH 123 puts, 23/64 cvrd

* 400 TYG 123.5 straddles, 51/64

* 250 USG 152 straddles, 2-8/64

* +4,500 TYH 122 puts, 10/64 vs. 123-18/0.14%

* +1,500 USH 152 puts, 1-34 to 1-41/64

* -1,500 USH 153 calls, 1-9 to 1-13/64

* 3,600 TYH 126 calls, 5/64 vs. 123-17.5

* 4,000 FVG 115.75/FVH 115.5 put spd, 2/64 on screen

* -16,000 TUH 106.2/106.7/106.8/107 put condors, 2.5/64

* 10,000 TYH 122/123 put spds, 16/64 vs. 123-16 to -15.5/0.22%

* +1,500 TYG 123.5 puts, 28/64

* 1,300 TYH 121/122 3x1 put spds on screen

* 1,000 FVG 114.5/115/115.5 put flys, 4.5

* total 4,000 FVG 115.25/115.75/116 put flys, 0.0

* 3,600 FVG 115.25/115.75/116 put flys, 0.0

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]