US TSYS EBB LOWER: AWAIT FRI JACKSON HOLE YELLEN, DRAGHI SIGNS

     US TSYS SUMMARY: Treasuries ended Thurs in tight lower range amid muted

consolidative two-way flows heading into Jackson Hole Fed conf speeches Friday

10am ET by Fed Chair Yellen and later 3pm ET Fri speech by ECB Draghi. 

- Tsys had muted react to firmer +2K rise in initial weekly jobless claims, and

then rebounded briefly on sub-expectations -1.3% July existing home sales. 

- Tsys futures had brisk early block sales: -10k TUU (2Y Futures) at 108-07.5 at

8:01 am ET, and total of -20k TYU (10Y) 126-24 at 8:05-8:09 am ET. 

- Futures: large pickup in Sep/Dec futures roll volume, Sep qtrly options expire

Fri. US swaps ended steady/mixed, curve steeper, 2-way option-tied flows. 

- NYMEX crude oil declined amid Hurricane Harvey worries as inventory may rise

with Gulf of Mexico responsible for 45% or so of US refining/ exporting

terminals. 

- Dallas Fed Kaplan told CNBC he wld not rule out 3rd 2017 hike. Other speeches

Fri: 8:30am ET Cleveland Fed Mester, 2:20pm ET Fed Gov. Powell. 

- The Tsy had OK $14B 5Y TIPS reopen: 0.117% rate, 65.5% indirects, 11.63%

directs, 22.84% dealers. 

- TSYS 3pm ET: 2Y 1.330%; 3Y 1.470%; 5Y 1.774%; 7Y 2.013%; 10Y 2.194% 30Y

2.769%.

US TSY FUTURES CLOSE: Finish weaker, near session lows after earlier attempts to

recover -- brief recovery to near steady around midmorning; relative quiet ahead

of the Jackson Hole eco/conf (schedule released tonight). Heavy Sep/Dec roll

volume,

Sep option expiry Fri adding to flow. Current futures levels:

* Sep Ultra bonds down 18/32 at 168-17 (168-16L/169-07H)

* Sep 30-yr Bond futures down 13/32 at 156-03 (156-02L/156-19H)

* Sep 10-yr futures down 7/64 at 126-22.5 (126-22L/126-30.5H)

* Sep 5-yr futures down 4/32 at 118-16 (118-15.5L/118-20.5H)

* Sep 2-yr futures down 1.5/32 at 108-07 (108-07L/108-08.5H)

US EURODLR FUTURES CLOSE: Holds lower levels by the close, low end of narrow

range, two-way flow with better consolidation sales ahead Fri's Jackson Hole

economic conf. Current White pack (Jun'17-Mar'18):

* Sep'17 -0.007 at 98.667

* Dec'17 -0.015 at 98.565

* Mar'18 -0.010 at 98.505

* Jun'18 -0.015 at 98.450

* Red pack (Sep'18-Jun'19) -0.015-0.020

* Green pack (Sep'19-Jun'20) -0.020

* Blue pack (Sep'20-Jun'21) -0.020-0.025

* Gold pack (Sep'21-Jun'22) -0.020-0.025

US SWAPS: Spd steady to mixed by the bell, spd curve steeper, long end back to

even late. Light, but consistent receiving in 2s-5s after midday, little/no

action in long end. Two-way option tied flow in shorts to intermediates, no

deal-tied flow, light consolidation in belly earlier. OTC vol inched higher

later in second half, light straddle buying in 1-3M 10Y vol. Latest spread

levels: 

* 2Y -0.69/24.19 

* 5Y -0.69/5.19 

* 10Y +0.38/-6.00 

* 30Y +0.00/-34.94

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

- Aug 26 KC Fed 2017 Econ Conference: Final Day: Jackson Hole, WY

- Aug 25 Jul durable goods new orders (+6.4%, -6.1%) 0830ET

- Aug 25 Jul durable new orders ex transport (+0.1%, +0.4%) 0830ET

- Aug 25 Fed Chr Yellen speaks at KC Fed Jackson Hole Conf WY 1000ET

- Aug 25 Q3 St. Louis Fed Real GDP Nowcast (+3.47%, --) 1100ET

- Aug 25 Q3 NY Fed GDP Nowcast (2.1%, --) 1115ET

- Aug 26 KC Fed 2017 Econ Conference: ECB Mario Draghi, 1500ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/Screen:

-5k EDZ 82/83c spd, 0.5

2.8k EDV 86/87/88c flys, 0.75

+2.5k EDF 82/83 2x1p spds, 1.5

+2k EDZ 86/87c spds, 2.75 vs.

-EOZ 85/86c spds, 2.0

+6k EOU 80/81p spds, 2.0

+5k EOU 82/83/85c trees, 8.5 vs. 98.395/0.15%

-4k EOX 85/E2X 83c strip, 6.5

2k EOF 82 straddles, 24.5

+10k E2X 75/76/77/78p condors, 1.5 vs. 98.09/0.05%

+3k E2X/E2Z 78p spd, 2.0

+4k E2X 80/81 2x1p spds, 1.0

+3k E2Z 80/81 2x1p spds, 3.0

-2.5k E2Z 81/85 1x2c spds, 8.0 vs. 98.135/0.20%

+1.5k E2Z 81 straddles, 28.0

-10k E3H 73p, 4.5

-6k E3Z 80/82 1x2c spds, 2.0

+5k E3U 82/83/85c trees, 0.5

Tsy options

Block:

0408ET

-10k FVV 119/119.2c strip, 10

Pit/screen:

+20k TYV 131+c, 1

+10k TYU 126.7c, 10 vs. 126-23.5 to -23

+9k TYZ 129c, 20 vs. 126-26.5

-3.5k TYU 126.7 straddles, 20

2.6k TYX 127+/129c spds, 19

2k TYU 126.2/126+ 2x1p spds, 2

1.25k TYU 126+p, 5

1.1k TYV 131/131+c spds, 2

4k FVV 117.7/119.2 R/R, .5c ovr

3k TUZ 107.7/108p spds vs. TUZ 108.3c, 0.5

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]