US TSYS END JOBS FRI MIXED; EYE WED EXPECTED FOMC US RATE HIKE

     US TSYS SUMMARY: Treasuries ended Friday mixed, narrowly steeper after a

relatively narrow range following better than expected Nov NFP +228k (+200k

expected), but less than expected 0.2% Avg Hourly Earnings. Post data chop w/mkt

eventually focusing on AHE, Tsys rising to new session highs briefly. Little

react to Wholesale inv, U-Mich data. Curves began flatter then steepened mildly

except 2/10Y 1.1 bps steeper on day roughly.

- Ready sellers into rally reversed gain, rates lower after. Market seesawed

near steady, holding to range set in first 10 mins after job: TYH 10Y futures

traded appr 130k in 10 mins after jobs, Vwap 124-09, appr 25k USH w/high volm px

152-26. Early interest in 5s/30s steepeners but 5/30Y curve steady late. 

- Swap spds mostly wider at close, intermediates off early narrows, moderate

rate paying in 10s. Spd curve remains flatter after better paying in 2s and 5s. 

- Implied vols sag as limited real vol evaporates, decent put volume on 2way

flow; focus on 1H 2018 downside/rate-hike insurance. Some unwinds, profit taking

into Tue-Wed FOMC, rate hike expected.

- TSYS 3PM ET: 2Y 1.799%, 3Y 1.915%, 5Y 2.147%, 7Y 2.296%, 10Y 2.385%, 30Y

2.776%

US TSY FUTURES CLOSE: Mildly higher by the bell after late chop. Tsys seesawed

in a relatively narrow range following better than expected Nov NFP +228k (+200k

expected), post data chop w/mkt eventually focusing on average hourly earnings

(+0.2%) w/Tsys rising to new session highs briefly. Little react to Wholesale

inv, U-Mich data. Curves steepened (2s10s +2.228, 57.925; 5s30s +0.584, 62.772.

Current futures levels: 

* Mar Ultra bonds up 6/32 at 166-25 (166-04L/167-06H) 

* Mar 30-yr Bond futures up 3 at 152-31 (152-17L/153-09H) 

* Mar 10-yr futures up .5/32 at 124-09.5 (124-05L/124-15.5H) 

* Mar 5-yr futures up 1/32 at 116-12 (116-08.75L/116-16H) 

* Mar 2-yr futures up .75/32 at 107-05.5 (107-04L/107-06.5H)

US EURODLR FUTURES CLOSE: Trade steady to mildly mixed into the close, generally

quiet/muted trade after post NFP chop. Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.405 

* Mar'18 -0.005 at 98.235 

* Jun'18 +0.000 at 98.090 

* Sep'18 +0.000 at 98.005 

* Red pack (Dec'18-Sep'19) steady to +/-0.005 

* Green pack (Dec'19-Sep'20) +0.005-0.010 

* Blue pack (Dec'20-Sep'21) steady to +0.005 

* Gold pack (Dec'21-Sep'22) steady to -0.005

US SWAPS: Spds running mostly wider after the bell, intermediates off early

narrows with some moderate rate paying in 10s. Spd curve remains flatter after

better paying in 2s and 5s. Implied vols sagging as limited real vol evaporates,

decent put volume on two-way flow, focus on 1H'18 downside/rate-hike insurance.

Some unwinds, profit taking ahead next week's FOMC, rate hike expected. Latest

spread levels: 

* 2Y +1.38/19.94 

* 5Y -0.12/6.00 

* 10Y -0.31/+1.06 

* 30Y +0.62/-20.62

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

- Dec 11 Oct JOLTS job openings level (6.093M, --) 1000ET

- Dec 11 Oct JOLTS quits rate (2.2%, --) 1000ET

- Dec 11 Nov ETI (135.57, --) 1000ET

- Dec 11 Dec NY Fed expectations survey 1100ET

- Dec 11 US Tsy $39B 6-Month Bill auction competitive bid deadline 1130ET

- Dec 11 US Tsy $24B 3-Year Note auction 1130ET

- Dec 11 US Tsy $45B 3-Month Bill auction 1300ET

- Dec 11 US Tsy $20B 10Y Note Reopening auction 1300ET

Eurodollar/Treasury Option Summary:

Eurodollar options, Pit/screen:

* 3,500 short Feb 76/77/78 1x4x2put flys, 5.0 net vs. 97.84

Block, 1244:21-:26ET,

* total 20,000 short Jun 72/75 put spds, 3.0 vs. 97.785/0.10%

Block, 1234:12ET,

* 10,000 Jun 78/80 put spds, 3.5 vs. 98.075/0.25%

* 2,500 Green Dec 77/Green Mar 76 1x2 put spds, 1.0

* -25,000 Green Sep 75 puts, 12.0 vs. 97.715/0.34%

* +10,000 Blue Dec 77 calls, 1.0

* +5,000 Jun 80/81 call spds vs. 80 put, even net

* +3,000 Dec 85 straddles, 9.75

* -1,000 short Sep/Green Sep 77 straddle strip, 77.5

* +5,000 Mar 81/82 2x1 put spds .25 over the Jan 82/83 strangle

* 10,000 Dec 83 puts, 0.5, adds to 104k on screen. Strike still holds 1.062

million puts ahead next Fri's expiry, -17k after Thu's volume of >50k.

* -10,000 Sep 76/77/78 put trees, 2.0 vs. 97.99/0.08

* +/-5,000 short Dec 78/80 put spds, 7.5

* +5,000 short Sep 73/78 put spds, 19.0 w/

* +5,000 short Sep 76/78 put spds, 12.0 vs. 97.765

* +2,500 Green Dec 75/76 put spds, 0.5

* 4,500 Mar 81 puts vs. 83/85 call spds, even net

* 4,000 short Feb 81 81 calls, 1.5 vs. 97.865

* 5,000 Feb 83/85 2x1 call spds, 1.5

* 5,000 Dec 83/85 2x1 put spds, 9.25

* -3,000 Apr 81/82 put spds, 9.5 vs. 98.08/0.30%

* -2,000 short Jun 78/Green Jun 73/76 put strip, 37.0 total cr

* 10,000 short Dec 80 conversion 0.0, call sold over -- Dec expires next Friday.

Tsy options, Pit/screen:

* 3,000 TYG 123/124 2x1 put spds8.0 vs. 124-09/0.05%

* +12,000 FVF 116.5 calls from 10.5- to 11/64 on screen

* 5,000 TYH 120.5/123 put spds, 16/64

* 800 TYF/TYH 124.5 straddle strip, 2-20/64

* -1,000 TYF 124.5 straddles, 45/64

* -2,000 wk3 TY 124.5 straddles, 36/64

* 1,000 TYF 124.5 calls,18/64

* 1,000 wk2 TY 124/wk3 TY 124.75 1x2 call spds, 12/64 vs. 124-07.5

* TYH 122/123/123.5/124 put condor trades small, 1/64

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

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