US TSYS: BID EVAPORATES DESP +148k DEC NFP/MISS, FED PATH UNCH

By Bill Sokolis

US TSYS SUMMARY: Tsys trade weaker by the close but well off session lows amid

modest late session buying out the curve. Post NFP bid evaporated by midmorning,

curves gradually bear steepening. Equities strong (emini +15.75, 2739.50), gold

weaker (XAU -4.21, 1318.54) oil weaker (WTI -0.52, 61.49).

- Nonfarm payrolls +148k in Dec, private jobs +146k, both well below exp's, -9k

net rev's to Oct-Nov jobs; AHE +0.3% vs +0.1% in Nov for y/y rate of +2.5%.

- Philly Fed Harker sees 2 hikes '18, see +148k job gain as "good number".

Employ data not really changing Fed hike plans others believe.

- Knee-jerk post-data buying followed by 2-way flow. Tsy curves see 2/30Y, 5/30Y

steepeners. Nominal Tsys outperform TIPS amid scant inflation pressure.

avg hourly earnings. Rebound in US$ helped spur selling in Tsys while late dip

in dollar coincides with Tsy move off lows; curve action included 2/5Y, 2/10Y

and 2/30Y flatteners done while 5/30Y saw steepeners. Modest deal-tied selling

ahead next wk supply. Quiet second half trade. 

- Massive Eurodollar Blocks on day: -20,000 EDH9/EDZ9/EDU0/EDM1 double fly 0.135

at 0818:05ET; -100,000 EDZ8/EDZ9/EDZ0 flys, .145 at 1329:23ET 

- TSYS 3PM ET: 2Y 1.956%, 3Y 2.054%, 5Y 2.282%, 7Y 2.399%, 10Y 2.471%, 30Y

2.804%

US TSY FUTURES CLOSE: Trading weaker by the close but well off session lows amid

modest late session buying out the curve. Post NFP bid evaporated by midmorning,

curves gradually bear steepening until the late session cover. Latest curve

update:

* 2s10s +1.577, 51.278 (51.641H/48.780L);

* 2s30s +1.672, 84.479 (85.610H/82.315L);

* 5s30s +0.745, 52.384 (53.405H/51.049L); Current futures levels:

* Mar Ultra bonds down 19/64 at 165-26 (165-13L/166-23H)

* Mar 30-yr Bond futures down 14/32 at 151-28 (151-21L/152-21H)

* Mar 10-yr futures down 4.5/32 at 123-17 (123-15L/123-28H)

* Mar 5-yr futures down 2/32 at 115-25.75 (115-24.75L/116-00.25H)

* Mar 2-yr futures down .5/32 at 106-28.75 (106-28.5L/106-31H)

US EURODOLLAR FUTURES CLOSE: Mostly weaker across the strip, off lows by the

bell with the short end outperforming. Current White pack (Mar'18-Dec'18):

* Mar'18 +0.005 at 98.195

* Jun'18 +0.000 at 98.010

* Sep'18 -0.005 at 97.890

* Dec'18 -0.010 at 97.790

* Red pack (Mar'19-Dec'19) -0.005-0.010

* Green pack (Mar'20-Dec'20) -0.005-0.015

* Blue pack (Mar'21-Dec'21) -0.015-0.020

* Gold pack (Mar'22-Dec'22) -0.020-0.025

US SWAPS: Spds mildly tighter by the close, off early wides with swap action

turning light in the second half. Recent two-way flow includes rate paying in 2s

at 2.149% after receiving at 2.146%, 3Y switch, 2s5s steepener, and good sized

($275k) 2s5s9s fly/receiving the belly. Earlier two-way in 2s/5s curve plays,

2yr switch, receiver in 5s at 2.318%, and switch in 6Y around 2.3465%. OTC vol

hit the skids post data and never looked back. Decent exchange traded option

volume, however, ongoing focus on low delta puts, hedging quarterly rate hikes.

Latest spread levels:

* 2Y  +0.38/19.00

* 5Y  -0.12/4.25

* 10Y -0.12/-0.94

* 30Y -0.19/-20.44

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

- Jan 06 Clvld Fed Mester: Fincl Stab/Mon Pol: ASSA mtg; Phila Q/A 1015ET

- Jan 07 SF Fed Williams: Paper session Dervs/Lower Bound;Phila Q/A 0800ET

- Jan 08 Dec ETI (135.88, --) 1000ET

- Jan 08 Jan NY Fed expectations survey 1100ET

- Jan 08 Tsy $42.0B 26-Week Bill auction 1130ET

- Jan 08 Tsy $48.0B 13-Week Bill auciton 1130ET

- Jan 08 Atl Fed Bostic: Eco Outlk/MonPol Rotary Club Atlanta; Q/A  1240ET

- Jan 08 SF Fed Williams: Keep/Rethink Fed 2% Infltn Goal? Wash Q/A 1335ET

- Jan 08 Nov consumer credit ($20.5B, $18.3B) 1500ET

- Jan 08 Dec Treasury Allotments (final) 1500ET

- Jan 08 Boston Fed Rosengren on Mon last ASSA panel on Fed/BOC Phila. 

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 7,000 short Mar 77/78 1x2 call spds, 1.0 vs. 97.69

* +5,000 Green Feb 76/77 call spds, 1.5

* +5,000 Dec 81/83 call spds, 2.5

* +10,000 short Mar 75/76 put spds, 3.0

* +5,000 short Mar 75/short Jun 73 put strip, 4.5

US EURODLR OPTIONS: Latest trade includes

* 10,000 Dec 77 puts, 12.0 vs. 97.78/0.46%

* +6,000 short Dec 68/71/73 put tree, 4.0 vs. -short Dec 81 calls, 4.5

* +5,000 short Dec 68/71/73 put tree, 4.0 vs. short Sep 86/short Dec 81 call spd

(calls had been a double sale earlier, total 20k package)

* 2,000 Red Sep'19 71/72 put strip, 16.0 vs. 97.635/0.44%

* 2,000 Red Jun'19 72 puts, 5.5 vs. 97.675/0.20%

* appr 25,0000 Dec 81/83 call spds, mostly on screen at 2.5 vs. 97.805

* 5,000 Mar 82/Apr 81 call spds, cab

* +5,000 short Dec 72/75 put spds 3.5 over the Dec 73/76 put spds

* 3,750 Apr 78/80 put strip 5.25 vs.

* 7,500 Jun 78/80 2x1 put spds, 3.25

* +20,000 short Jan 76 puts, cab

* +5,000 Blue Jan 75/76 put over risk reversals, 1.0

* +5,000 short Mar 82/83m call spds, 1.0 vs. 97.76/0.05%

* +20,000 short Dec 68/71/73 put tree vs. 

* -20,000 short Sep 86/short Dec 81 call strip, 0.0 net

* +23,000 Jun 78/80 2x1 put spds, 3.25 vs.

* -11,500 Apr 78/80 put strip, 5.0

Tsy options, Pit/screen:

* -2,150 TYH 123.5 straddles, 1-13/64

* -4,000 FVG 116 calls, 8/64

* +2,580 TYG 123/123.5 2x1 put spds, 0.0

* +1,250 TYG 121.7/122.2/123.2 2x3x1 put flys, 10/64

* 5,000 wk2 TY 123.5/124 call spds, 15/64

* 1,000 TYG 122.5 puts, 4/64 vs. 123-20.5

* 3,000 TYG 124.2/125 1x2 call spds, 5/64

* 1,000 USG 151 puts, 32/64 vs. 152-08

* 1,000 FVH 116/116.5 call spds, 10.5 vs.

* 1,500 FVH 115.25 puts, 7.5

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

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