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Bullish Price Structure Intact


German Mar Factory Orders Beat Expectations


Bullish Focus


(M1) Needle Still Points North


(N1) Approaching $70.00

     US TSYS SUMMARY: Treasuries ended Friday mixed, flatter into month-end,
qtr-end, Jpn half-yrend. Quiet afternoon after morning selloff on strong 65.2
MNI Chicago Business Barometer read. Rates sold off too as WSJ said Pres Trump
met Thu w/ former Fed Gov Kevin Warsh about Fed chair post. Chances of Warsh
frontrunner for post rose last few days to 47%. MBS reversed gain on premise
Warsh would favor faster Fed balance sheet unwind; equities gained. 
- Moderate 2way w/short-cover/dip buys on core +0.1% August PCE price inflation.
Tsy flatteners via 2s, 3s, 5s and 7s vs. 30s. Prop, fast% selling on Warsh item
then misc buying/position square as mkt recovered. Desks eyed late month end
duration buying. 
- Tsys drifted off low on Fed Harker, who tho still eyed 3rd hike, said no Dec
"magic", can wait, favors more inflation data. 
- Tsy futures: 2:49pm ET block buy of 9,500 in FVZ 5Y futures, sell thru done at
117-17; and 2:58 pm buy of 4,021 UXZ 10Y Ultra futures. Spain's Catalonia
independence referendum Sun.
- TSYS 3pm ET: 2Y 1.479; 3Y 1.612%; 5Y 1.923%; 7Y 2.159%; 10Y 2.323%, 30Y
     US TSY FUTURES CLOSE: So much for month end buying, futures settle mostly
lower, off lows w/long end outperforming. Desks concur, it appears accts front
rand month end duration demand that turned out less than expected, unwinding
hedges/squaring up ahead weekend. Current futures levels: 
* Dec Ultra bonds up 7/32 at 164-30 (164-08L/165-08H) 
* Dec 30-yr Bond futures down 1/32 at 152-24 (152-12L/153-00H) 
* Dec 10-yr futures down 8.5/32 at 125-09 (125-06.5L/125-20H) 
* Dec 5-yr futures down 6/32 at 117-15.25 (117-13.75L/117-22.5H) 
* Dec 2-yr futures down 2/32 at 107-27.25 (107-26.5L/107-29.25H)
US EURODLR FUTURES CLOSE: Weaker across the strip, session lows late
w/Reds-Greens underperforming. Current White pack (Dec'17-Sep'18): 
* Dec'17 +0.000 at 98.520 
* Mar'18 -0.010 at 98.410 
* Jun'18 -0.020 at 98.295 
* Sep'18 -0.025 at 98.220 
* Red pack (Dec'18-Sep'19) -0.035-0.050 
* Green pack (Dec'19-Sep'20) -0.050-0.045 
* Blue pack (Dec'20-Sep'21) -0.040-0.030 
* Gold pack (Dec'21-Sep'22) -0.030-0.020
US SWAPS: Spds running mildly mixed by the bell, wings wider vs. tighter
intermediates, long end reversing tighter levels late. Light 2-way position
squaring, light deal-tied hedging. OTC vol lower across the strip after early
bump higher on Kevin Warsh news aired. Latest spread levels: 
* 2Y +0.19/25.25 
* 5Y -0.12/7.63 
* 10Y -0.25/-4.31 
* 30Y +.06/-32.88
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Oct 02 Sep Markit Mfg Index (final) (53.0, --) 0945ET
- Oct 02 Sep ISM Manufacturing Index (58.8, 58.0) 1000ET
- Oct 02 Aug construction spending (-0.6%, 0.4%) 1000ET
- Oct 02 US Tsy $36.0B 26-Week Bill auction 1130ET
- Oct 02 US Tsy $42.0B 13-Week Bill auction 1130ET
- Oct 02 Dal Fed Kaplan guided Fed Dialogue Lunch El Paso TX Q/A 1400ET
Eurollar/Treasury option summary
Eurodollar options,
10k EOZ 80p, 3.0
10k EDZ 83p, cab
10k EDZ 83c, 14.5 vs. 98.52/0.95%
10k EDH 81/82p spds, 2.0
-10k EDZ 83/85 2x1p spds, 3.25
10k EDH 85/86c spds vs. 81/82p spds, 1.0 net
6.75k EDZ 83/85 2x1p spds, 3.25
5k EDZ/EDF 85 1x2c spds, cab
5k EDH 82/83p spds vs. EDZ 85c
2k EDZ 83/85 2x1p spds, 3.25
+40k EDU'19 77p, 17.5-17.0
28.5k EOV 83c, cab
+25k EOZ 75p, 1.0
19k EOV 86c, cab
15k EOH 77/80 2x1p spds, 4.0
10k EOZ 82/83p spds, 10.0
9.5k EOV 87c, cab
-8k EOZ 80/81 2x1p spds, 0.5
+20k E2X 77p, 5.5
12.5k E2V 80/E3V 78c spd vs.
E2X 80/E3X 78c spd spd
10k E2V 81c, 1.0
2k E2X 76/77/78p flys, 2.0
-5k E4V 76/77 R/R, 0.5p ovr
Tsy options
10k TYX 124p, 7
10k TYX 124p, 7
10k TYX 128c, 2
+10k TYX 125p, 23
10k TYX 124.5/125 2x1p spds, 3
+5k TYX 125p, 18
-4.5k TYZ 124/127 strangles, 32
+4k TYZ 125p, 32
4k TYX 125+/126+ 2x1p spds, 3-7
-3k TYX 124/125+/126+p flys, 14
+2k TYX 123+/126+ strangles, 15
--MNI New York Bureau; tel: +1 212-669-6432; email: