US TSYS EBB LOWER ON FIRM US DATA; AWAIT FRIDAY US SEPT. JOBS

     US TSYS SUMMARY: Treasuries end lower Thu after ebb on lower-than-expected

260K initl wkly jobless claims & firm 1.2% Aug. factory new orders. Tsys hurt

amid SF Fed Williams' caution that US real estate and bond prices near all-time

highs amid low US rates; Phil Fed Harker: US is at "maximum employment"

(Bloomberg). 

- Tsys saw better short end sales; Eurodlr futures sales of 12,000 in Dec'17 at

98.495 prior to 10:31am ET. Eurodlr options sale of 35,000 Dec 86 calls at 1.0

vs 98.49/0.30; Dec hike chances up to 74.5%. 

- Tsys hurt by higher US stocks and potential compromise on Spain/Catalan

secession as Catalan leaders disagree. Tsys selling in cash 7Y-10Y notes by

hedge funds, real$, foreign central bks; some maybe hedge vs Fri 8:30 am ET Sep

jobs. 

- TIPS outperform. Tsy 24B 3Y auction Oct 11 Wed and $20B 10Y reopen same day;

$12B 30Y Reopen Oct 12. US swaps spds narrow range, mostly tighter. US Eurodlr

futures weaker. good volume in Dec'17 and Red Dec'18 (about 500K total). 

- TSYS 3PM ET: 2Y 1.495%, 3Y 1.632%, 5Y 1.948%, 7Y 2.182%, 10Y 2.350%, 30Y

2.892%

US TSY FUTURES CLOSE: Weaker, lower half of range on modest volume, TYZ w/appr

850k by the bell. General quiet ahead Fri's Sep employ data. Current futures

levels: 

* Dec Ultra bonds down 13/32 at 164-04 (163-27L/165-01H) 

* Dec 30-yr Bond futures down 9/32 at 152-09 (152-01L/152-30H) 

* Dec 10-yr futures down 4.5/32 at 125-06 (125-03L/125-14H) 

* Dec 5-yr futures down 3.5/32 at 117-12.75 (117-11.5L/117-18H) 

* Dec 2-yr futures down 1/32 at 107-25.5 (107-25L/107-27H)

US EURODLR FUTURES CLOSE: Trading weaker by the bell, just off low end of range,

decent volume in Dec'17 and Red Dec'18 (appr 500k total). Rate hike probability

for Dec FOMC rises to 74.5%, March chances up to 35.6%. Current White pack

(Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.490 

* Mar'18 -0.015 at 98.370 

* Jun'18 -0.015 at 98.265 

* Sep'18 -0.015 at 98.190 

* Red pack (Dec'18-Sep'19) -0.020 

* Green pack (Dec'19-Sep'20) -0.020-0.025 

* Blue pack (Dec'20-Sep'21) -0.015 

* Gold pack (Dec'21-Sep'22) -0.010-0.015

US SWAPS: Spds hold narrow range all session, mostly tighter with short end

mildly wider. Decent but sporadic flow on day w/near $1B 2yr payer in second

half, light two-way in intermediates earlier w/$350M receiver 5y at 2.02768%.

Little deal-tied flow w/accts sidelined ahead Fri's Sep employ data (+70k est).

OTC and exchange traded vol weaker, lighter volume on mixed flow. atest spread

levels: 

* 2Y +0.08/27.12 

* 5Y -0.19/8.19 

* 10Y -0.25/-4.38 

* 30Y -0.31/-32.50

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

- Oct 06 Sep nonfarm payrolls (156K, 70K); priv payrolls(165K, 65K) 0830ET

- Oct 06 Sep unemployment rate (4.4%, 4.4%) 0830ET

- Oct 06 Sep average hourly earnings (0.1%, 0.3%) 0830ET

- Oct 06 Sep average workweek, all workers (34.4, 34.4 hrs) 0830ET

- Oct 06 Dallas Fed Kaplan interview on CNBC, 0830ET

- Oct 06 Atlanta Fed Bostic: Inv Amer Wrkfrc Conf Austin TX Q/A 0915ET

- Oct 06 Aug wholesale inventories (0.6%, --) 1000ET

- Oct 06 Aug wholesale sales (-0.1%, --) 1000ET

- Oct 06 Q4 St. Louis Fed Real GDP Nowcast 1100ET

- Oct 06 Q4 NY Fed GDP Nowcast 1115ET

- Oct 06 NY Fed Dudley on Mon Pol Outlk/Educatn Brooklyn, NY Q&A 1215ET

- Oct 06 Dall Fed Kaplan at Investg in Amer Wrkfrce Conf Q/A 1245ET

- Oct 06 StL Fed Bullard on US Living Standards in St.Louis 1350ET

- Oct 06 Aug consumer credit ($18.5B, $16.0B) 1500ET

- Oct 07 Boston Fed Rosengren at 8th Intl Atl Econ Conf in Montreal 1145ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+40k EDZ 82/83/85p flys, 4.0

-35k EDZ 86c, 1.0 vs. 98.49/0.30%

+15k EDH 81/82 2x1p spds, 1.75

+12.5k EDF/EDG 81/82/83 1x3x2c fly strip, 4.5

+10k EDZ 83/85 2x1p spds, 4.0 ongoing

-8k EDZ 82/83 1x3c spds, cab-0.0

5k EDH 82/85 R/R, 0.5c ovr

3.2k EDZ 86/87 1x2c spds

3k EDM 82 straddles, 22.5

3k EDZ/EDF 85 1x2c spds, cab

+3.5k EDZ'18 75/80 3x2p spds, 18.5

2k EDZ'18 77/78/80p spds, 1.5 vs. 98.11

-------------------------------------

+50k EOZ 82/83/85c trees, 1.25/legged

+12k EOF 77/80 2x1p spds vs. EOF 83c, 2.5

5k EOZ 80/81 3x2p spds, 6.5

5k EOZ 78/80/81p flys

-------------------------------------

+5.25k E2Z 81/83/86 1x3x2c flys, 1.5

-------------------------------------

+50k E3H 73/81 R/R, 0.0c over

+10k E3H 78c, 14.0

Tsy options

Block:

0832ET, more in pit/onscreen

+12.9k TYX 124+p, 12 vs. 125-11/0.23%

Pit/screen:

>50k TYX 124+p, 12-16 (includes Block)

4.8k TYX 125p, 22

+2.5k TYX 124/124+/125p flys, 4

-2.5k TYZ 124/126+ strangles, 38

1.4k TYZ 123+/125p spds, 29

1k TYF 122+/124 2x1p spds, 8

1k TYZ 123+/125p spds, 29

1.3k wk2 TY 124+p, 8

-------------------------------------

2.2k FVX 117+ straddles, 37

+2k FVX 125 straddles, 58.5

1k FVZ 116/117.2 6x1p spds, 2.5

-------------------------------------

2.5k TUZ 107.8/108.1c spds, 4.5

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

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