US TSYS END MIXED;N.KOREA STEMS SLIDE ON CPI,BOE/MPC,TSY TECHS

     US TSYS SUMMARY: Treasuries ended Thu mixed, flatter after earlier chop.

Tsys began weaker on hawkish BOE/MPC, then fast$ sales on 0.4% Aug US CPI/0.2%

Core; techl sales as 10Y hit day's high yld 2.216% by 8:34am ET. Tsys saw prop

and fast$ 2way in short end, real$ and bank portf buys in 10Y, 30Y. 

- Tsys rebounded as cash 10Y moved off low price, and Asahi said N.Korea started

Wed to prepare to launch Hwasong ICBM. 

- Tsys had buy of 5,924 Dec 10y Ultra futures, buy thru -25 offer 10:23am ET

post time; also 8:31am ET block crossed on bid, for 5,000 TYZ at 126-06.

- Real$ bought 5Y,7Y,10Y, then two-way flow; hedge fund, real$ later sold Tsys

bits; foreign centrl bks quiet. Some trapped longs still need rebound in cash

10Ys. US high-grade corp bond issuance heavy. 

- Macro funds covered Tsy shorts or did 5/30Y flatteners;sold some Tsys past few

days. Most eye mkt react to FOMC balsheet taper/Dec hike hint. TIPS outperform. 

-US swaps end at day's wide, 10y caught up w/ wings on short gamma pays; lg end

wideners. 

- TSYS 3pm ET 2Y 1.368%; 3Y 1.503%; 5Y 1.787%; 7Y 2.015%; 10Y 2.197%, 30Y 2.779%

US TSY FUTURES CLOSE: Mixed by the bell, long end outperforming after early

post-data chop. Rates traded lower on heels of hawkish BoE minutes, rebounded

following weekly claims and +0.4% CPI ahead estimate. Traded relative narrow

range rest of session, steepener unwinds. Current futures levels: 

* Dec Ultra bonds up 10/32 at 167-13 (166-17L/167-25H) 

* Dec 30-yr Bond futures up 4/32 at 154-30 (154-12L/155-08H) 

* Dec 10-yr futures down 2.5/32 at 126-12 (126-05.5L/126-18H) 

* Dec 5-yr futures down 3.25/64 at 118-03.5 (118-00.25L/118-08.75H) 

* Dec 2-yr futures down 1.25/32 at 108-02.25 (108-01L/108-04H)

US EURODLR FUTURES CLOSE: Lower across the strip, Reds-Blues underperforming,

near middle session range. Current White pack (Sep'17-Jun'18): 

* Sep'17 +0.000 at 98.675 

* Dec'17 -0.020 at 98.555 

* Mar'18 -0.020 at 98.475 

* Jun'18 -0.030 at 98.410 

* Red pack (Sep'18-Jun'19) -0.030-0.035 

* Green pack (Sep'19-Jun'20) -0.030-0.035 

* Blue pack (Sep'20-Jun'21) -0.030-0.025 

* Gold pack (Sep'21-Jun'22) -0.020-0.015

US SWAPS: Spds on session wides by the bell, 5yr lagging slightly. Modest volume

on net, sources reported short gamma payers, steepener unwinds in Tsys spurring

wideners in the long end w/week's Tsy auctions in rear view. In the first half,

2s/7s spd curve flatteners ($280M 2Y, 1.61505% vs. $160M 7Y, 2.003%), light

payer in 5s at 1.8675%. Modest deal-tied flow on supra-sovereign issuance in mix

while ongoing overnight repo specials adding to move. OTC and exchange traded

vol steady to mildly higher despite the rather limited real vol on day. Latest

spread levels:

* 2Y +0.94/24.94 

* 5Y +0.56/8.06

* 10Y +1.06/-3.06 

* 30Y +1.12/-32.88

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

- Sep 15 Aug retail sales (0.6%, 0.1%) 0830ET

- Sep 15 Aug retail sales ex. motor vehicle (0.5%, 0.5%) 0830ET

- Sep 15 Aug retail sales ex. mtr veh, gas (0.5%, --) 0830ET

- Sep 15 Sep Empire Manufacturing Index (25.2, 19.0) 0830ET

- Sep 15 Aug industrial production (0.2%, 0.1%) 0915ET

- Sep 15 Aug capacity utilization (76.7%, 76.8%) 0915ET

- Sep 15 Jul business inventories (0.5%, 0.2%) 1000ET

- Sep 15 Sep Michigan sentiment index (p) (96.8, 96.0) 1000ET

- Sep 15 Aug BLS state payrolls (298.7k, --) 1000ET

- Sep 15 Q3 St. Louis Fed Real GDP Nowcast 1100ET

- Sep 15 Q3 NY Fed GDP Nowcast 1115E

Eurodollar/Treasury option summary

Eurodollar options,

Blocks:

0848ET

10k EOZ 81/82p spds, 4.5

1230ET, more in pit

+20k EDH 81/82 2x1p spds, 0.5

Pit/screen:

+25k EDZ 83p, 0.5

-25k EDV 85p, 0.75-1.0

+22k EDM 78/81/83 2x1x1p trees, 5.5

-15k EDH 80/81/86/87p condors, 10.5

+10k EDH 81/82 2x1p spds, 0.5, also Blck'd

+10k EDZ 83/85p spds vs. EDX 85p, 1.0db

5k EDZ 83/87 strangles, 1.25

+4k EDH 83/86 R/R, 1.0c ovr

2k EDZ 81/82/83p flys

Adding to large Flattener earlier in wk:

+2.5k EDU'18 76/EDZ'18 73p strip, 2.0 vs.

-2.5k EDM'19/EDU'19 73p strip, 10.5

+30k EOM 80p, 11.0

+15k EOZ 81/82 2x1p spds, 0.5

-5k EOZ 82p, 8.5

+4k EOM 81/82p spds, 3.0

-4k EOM 82 straddles, 37.5

4k EOM 82 straddles,37.5

2.5k EOX 87c, 0.5 vs. 98.255

+2.5k EOU 83p, 3.5

-5k E2Z 81/85c spds, 9.0

-5k E2Z 82c, 6.5 vs. 98.0/0.30%

5k E2H/E2Z 80p spds

10k E3Z 77/E3M 75 2x1p spds, 8.0 vs. 97.925

+5k E3Z 81/83c spds, 4.5

-5k E3X/E3F 78 straddle spds, 50.0

2.5k E3X 78/80 strangles, 17.0

2.5k E3F 78 straddles, 33.0

1k E3Z 80/81c strip, 17.0

1.5k E4Z 65p, cab

Tsy options

Block:

0821ET

20k TYX 124+p, 9 vs. 126-11

Pit/screen:

15k TYV 127c, 10

4k TYX 129c, 5

3k TYX 125+p, 21

3k TYV 126+/127p spds, 23

2k TYV 125/125.7p spds

+2k TYX 125+/126/126+/127p condors, 8

2k TYX 127+/128+/129+c flys, 7

2k TYX 126p, 32

-2k TYX 126+ straddles 122-121

-2k TYZ 126+ straddles, 149

1.6k TYV 127+/128c spds, 9

1.5k TYV 125.7/126p spds, 4

16.8k wk3 TY 126p, 5

+3k FVV 118+c, 3.5

2k FVZ 115.7/116+/117 2x1x1p trees, 0.5

2k FVV 118p, 8

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

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