US TSYS END MIXED; +261K OCT US NFP, 0% AHE, 4.1% JOBLESS RATE

     US TSYS SUMMARY: Treasuries ended Friday mixed after a choppy trade/inside

range day, brief short-covering rally then profit-taking after lower than

anticipated +261K Oct NFP, flat (0%) AHE, 4.1% jobless rate. Sep trade deficit

widened to a reading of -$43.5B. Tsys trading marginally mixed early in

afternoon (10Y yld 2.345%), long end little firmer after trading in red a few

times on thin trade. Debate on tax reform, will bill pass, tax cuts not evenly

distributed 

- Tsys receded after firmer than expected 1.4% Sep factory orders. Mild post

data rally/sellers into strength w/prop and fast$ 10Y sellers;real$ sold 10s and

30s post data, flatteners via 2s vs. 7s and 10s, two-way in 5s30s. Two-way on

downtick w/short covering/dip buying. 

- Short end, decent 2way in lead EDZ7 Eurodlr futures at 98.48 (-0.005);decent

selling Jan Fed funds futures, -15k FFF 98.62 (-0.010). 

- US$/Yen correlation: early FX-tied black box Tsys buys then selling as US$

jumped to Y114.0215; specs unwind some sales. Swap spds tighter. 

- TSYS 3PM ET: 2Y 1.625%, 3Y 1.737%, 5Y 2.005%, 7Y 2.199%, 10Y 2.343%, 30Y

2.822%

US TSY FUTURES CLOSE: Trading mixed after the bell (10Y yld 2.340%), choppy

trade/inside range day, limited react to lower than anticipated Oct NFP (+261k

vs. +315k est) while Sep trade deficit widened to -$43.5B. Debate on tax reform,

will bill pass, tax cuts not evenly distributed. Current futures levels: 

* Dec Ultra bonds up 10/32 at 166-14 (165-28L/166-25H) 

* Dec 30-yr Bond futures up 9/32 at 153-23 (153-11L/154-00H) 

* Dec 10-yr futures up 1.5/32 at 125-06 (125-00.5L/125-13H) 

* Dec 5-yr futures down .5/32 at 117-06.75 (117-03.75L/117-12H) 

* Dec 2-yr futures down .75/32 at 107-20.25 (107-19.25L/107-22.5H)

US EURODLR FUTURES CLOSE: Trades steady to mixed into the close, long end of

strip outperforming after post NFP chop. Light volume on quiet end to week.

Current White pack (Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.475 

* Mar'18 -0.010 at 98.330 

* Jun'18 -0.010 at 98.215 

* Sep'18 -0.010 at 98.140 

* Red pack (Dec'18-Sep'19) -0.015-0.010 

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

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

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

US SWAPS: Spds running mildly tighter into the close, spd curve flatter all

session, small rebound from mid-week steepening after refunding annc. Modest

swap flow in first half w/receivers in 2s through 10s, small 10zY switch between

2.33415% to 2.332%. Ongoing tight overnight repo keeping short to intermediate

spds from narrowing too far, while next week's supply adds to narrowing. Latest

spread levels: 

* 2Y -0.25/20.94 

* 5Y -0.06/7.44 

* 10Y -0.25/-2.06 

* 30Y -0.62/-26.06

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

- Nov 06 NY Fed VP Simn Potter: Pol/Bal Sht: ECB Wkshp, Frankfurt 0530ET

- Nov 06 Oct ETI (132.74, --) 1000ET

- Nov 06 US Tsy $42.0B 13-Week Bill auction 1130ET

- Nov 06 US Tsy $36.0B 26-Week Bill auction 1130ET

- Nov 06 Fed Dudley: Fincl Crisis "Lessons" at Econ Club NY; Q/A 1210ET

- Nov 06 Oct Treasury STRIPS Holdings 1500ET

Eurodollar/Treasury option summary

Eurodollar options

Pit/screen:

* +2,500 Sep 76/77 put spds, 1.0

* -10,000 Green Dec 75 puts, 0.5

* +10,000 Green Dec 75/76 put spds, 0.75/legged

* 9,000 Green Mar 70/85 strangles, 1.5

* 10,000 short Feb 78/82 put over risk reversals, 2.5

* Block, 10,000 Green Dec 75/77 put spds, 3.0

* Block, 10,000 Jun 78/80/81 put trees, 3.0 vs. short Jun 72 puts, 1.0

+17,000 in each multi-leg package, 4.5 debit:

* Buying Mar 82/83 1x2 call spds w/

* Buying short Mar 78/77 put spds w/

* Buying Green Dec 78/80 2x1 put spds vs.

* Selling short Mar 82 calls

* -10,000 Blue Jun 76/77 strangles, 38.0

* 3,000 short Jan 77/78 4x1 put spds, 0.5

* +10,000 Sep 77 puts, 2.0

* -10,000 Green Jan 76/77 put spds, 3.0 vs. 97.86/0.18%

* +20,000 Green Mar 80/82 1x2 calls, 3.0 vs. 97.88/0.10%

* 5,000 Green Dec 75/76 2x1 put spds, 0.0

* 2,000 Green Mar 78/80 strangles, 24.5

* -9,300 (pit/screen) short Jan 77/81 2x3 call spds, 43.0 vs. 98.815/100%

* -15,000 short Sep 75/85 put over risk reversals, 3.5 vs. 97.925/0.42%

* +4,000 Green Dec 76/81 call over risk reversals, 0.5 vs. 97.895/0.20%

* +6,000 short Dec 77/78/80 put flys, 1.5

* 5,000 Jan 82/83 1x3 call spds, 2.25

* -10,000 Jun 85 calls, 2.0 pre-data

* 4,000 short Feb 82 calls, 3.0 vs. 98.025/0.15%

* 4,000 Blue Feb 81 calls, 2.5 vs. 97.70/0.15%

* 3,000 short Feb 76/78 2x1 put spds, 3.0

* +2,000 Blue Nov/Blue Dec 77 straddle spd, 10.5 net/Dec over

* 11,900 Dec 86 calls, 0.5

* 20,000 Mar 80 puts, cab

* 14,000 short Nov 81 calls (includes 5k Block), 0.5

* 25,000 short Dec 81 calls

* Block, -5,000 short Nov 81 calls, 0.5

Tsy options

Pit/screen:

* -2,700 TYZ 125 straddles, 50/64

* +2,000 TYZ 124.5/125.5 call over risk reversals, 2/64

* +1,000 TYZ 125.5 calls, 14/64

* +1,000 TYZ 125.25 calls, 22/64

* 2,000 TYZ 124/124.5 put strips, 15/64

* 1,700 TYZ 126.5 calls, 3/64 vs. 125-06

* 6,000 FVZ 117.25 calls, 10.5/64 vs. 117-04.5/0.42%

* total 4,000 FVZ 117/117.5 risk reversals at even earlier, put bought over

* -5,400 TYZ 123/124.5 put spds, 8/64

* 2,100 FVF 117/118/118.25 call trees on screen

* 1,000 FVF 118 calls, 5/64 vs. 117-00.5

* sellers wk1 TY 125.2 straddles, 12- down to 10/64

* +5,000 wk1 TY 125 calls, 14/64

* +5,000 TYZ 125 puts, 23/64, 8.2k total

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

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