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Market News Topics
August 04, 2017 19:27 GMT
US TSYS BEAR-STEEPEN AFTER FIRMER JULY 209K US NFP JOBS GAIN
US TSYS SUMMARY: Treasuries ended Friday weaker, steeper, but well off the
day's price lows, as the mkt digested stronger than expected 209K July nonfarm
payroll jobs, 4.3% jobless rate, 0.3% Avg Hrly Earnings gain in fairly calm
fashion.
- Treasuries slid initially on jobs after weaker NY open with 2way flows by
real$ and hedge funds in early selloff, but also brief foreign central bank
buying in short end; cross-current flow in 5Y, 10Y Tsys.
- Tsys then saw accelerated sales by prop, real$ and program accts in 5s, 10s
and 30s; also FX-tied selling amid US$ rebound vs. majors, dollar weakness "way
overdone" one desk adds. Tsys saw initial 5/30Y curve flatteners then some
profit-taking and more unwinds. Cash Tsy 2/10Y, 2/30Y, 2/5Y curves saw recent
steepeners. Deal-tied hedging absent going into the weekend. Tsys then saw late
short-covering and dip buying.
- Options had heavy limited upside call fly buying, EDZ 96/97/98 call fly
betting on no more rate hikes for '17 as well as narrowing of FRA/OIS from
mid-teens.
- TSYS 3pm ET: 2Y 1.359%, 3Y 1.508%, 5Y 1.822%, 7Y 2.086%, 10Y 2.267%, 30Y
2.844%
US TSY FUTURES CLOSE: Long end lead sell-off following better than exp July NFP
report, levels off lows on quiet second half trade. Opinions vary over tighter
policy by year end, large bets in options, OIS pricing 37.2% of another hike in
December (MNI PINCH). Current futures levels:
* Sep Ultra bonds down 1-7/32 at 166-05 (165-18L/167-27H)
* Sep 30-yr Bond futures down 28/32 at 154-04 (153-22L/155-10H)
* Sep 10-yr futures down 8.5/32 at 126-03 (125-29L/126-14H)
* Sep 5-yr futures down 4.25/32 at 118-06.75 (118-03.5L/118-12H)
* Sep 2-yr futures down 1.25/32 at 108-05 (108-04.25L/108-06.25H)
US EURODLR FUTURES CLOSE: Weaker but near middle of session range, long end
underperforming after better than expected July NFP. Current White pack
(Jun'17-Mar'18):
* Sep'17 +0.000 at 98.675
* Dec'17 -0.010 at 98.545
* Mar'18 -0.015 at 98.460
* Jun'18 -0.025 at 98.390
* Red pack (Sep'18-Jun'19) -0.025-0.035
* Green pack (Sep'19-Jun'20) -0.030-0.035
* Blue pack (Sep'20-Jun'21) -0.035-.040
* Gold pack (Sep'21-Jun'22) -0.035-0.040
US SWAPS: Spds steady to mixed by the bell, spd curve flatter after a steeper
opening, 2s10s appr 4.0bps flatter vs. wk ago lvls. Limited swap-tied flow on
the day, little hedging going into weekend, others pared/squared on sidelines
heading into this morning's headline NFP. OTC vol see-sawed mildly lower on
light trade. Latest spread levels:
* 2Y +0.50/25.12
* 5Y +0.00/7.88
* 10Y -0.62/-3.50
* 30Y -0.31/-31.50
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Aug 07 Jul ETI (133.1, --) 1000ET
- Aug 07 Jul Fed LMCI (1.5, --) 1000ET
- Aug 07 Tsy $39.0B 13-Week Bill auction 1130ET
- Aug 07 Tsy $33.0B 26-Week Bill auction 1130ET
- Aug 07 StL Fed Bullard econ/pol: cotton conf Nashville TV Q&A 1145ET
- Aug 07 Min Fed Kashkari, guided Q&A Sioux Falls Rotary S.D. 1325ET
- Aug 07 Jun consumer credit ($18.4B, $14.8B) 1500ET
- Aug 07 Jul Treasury Allotments (final) 1500ET
Eurodollar/Treasury option summary
Eurodollar options,
Block:
0759ET,more in pit
+5k E2Z 85c, 3.0 vs. 98.095
1025ET
20k EDZ 86/87 1x2c spds, 1.75
1029ET, more in pit
20k EDZ 86/87/88c flys, 2.0
Pit/screen:
+80k EDZ 86/87/88c flys, 2.0, ongoing
40k EDZ 83/85 2x1p spds vs. EDV 85p, 0.5
+20k EDQ/EDU 87c spds, 0.5
+15k EDZ 83/85p spds, 3.5
10k EDZ 83/86 R/R, 1.75c ovr
+5k EDV 87c, cab
+5k EDZ 82/83p spds, 0.75
-5k EDZ 83 straddles, 18.5
2k EDV 86/87c spds, 1.0
5k EDU'18 83 straddles, 31.5
45k EOM/E2M 87c spd, steepener, 0.0
10k EOZ 78/80/81p trees
-8k EOU 82p, 2.5 vs. 98.33
3k E2U 76/77p spds, cab
2k E2U 81/82 1x2c spds
2k E2Q/E2U 81 straddle spds, 8.5
+2k E2V/E2X 78p strip, 10.5
2k E2U 81 straddles, 15.5
+15k E2Z 85c, 2.5 , also Blck'd
15k E2Z 85c, 2.5 vs. 98.055
+4k E3U 77p, 3.0 vs. 97.93
Tsy options
Pit/screen:
8.5k TYU 128+c, 1
+5k TYU 127/128+c spds, 5
-1k TYV 124+/127 strangles, 31
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
[TOPICS: MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]
To read the full story
Close
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.
Sign up now for free trial access to this content.
Please enter your details below.
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.
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