US TSYS END WEAKER: SELLOFF ON HIGH NON-MFRG ISM,THEN DIP BUYS

     US TSYS SUMMARY: Treasuries end Wed weaker after morning selloff on strong

59.8 Sept ISM non-manufacturing report (highest since 2005). Traders next eyed

3pm ET speech by Spain's Catalan Pres. Puigdemont. 

- Tsys began NY higher after overnight two-way flows tilted to buying after Tues

gains, and then digested the +135,000 Sept. ADP private payrolls report. TIPS

outperformed nominal Tsys. 

- Tsys then had brisk sales on Sept non-manufacturing ISM. But market players

await Friday US Sept nonfarm payroll employment to do major moves. Post-data

sales: 15,000 TYZ sofrom 125-09.5 to 125-07.5, and a sale of US Eurodlr futures

of 12,000 Red Dec'18 at 98.125 to -.12, 30K total. 

- Tsy 10Y futures had 10:49 am ET block buy of 5,000 TYZ at 125-09, cross on

offer. Eurodlr futures had 12:45pm ET condor: buy of Sep'18 1Y bundle at -0.005;

(Old Red pack: Sep'18-Jun'19). US Secy of State Tillerson denied at news conf

that he'd resign. Core EGBs aided by Spain/Catalan referendum uncertainty. 

- TSYS 3PM ET: 2Y 1.479%; 3Y 1.615%; 5Y 1.924%, 7Y 2.159%; 10Y 2.330%; 30Y

2.877%

US TSY FUTURES CLOSE: Steady to weaker by the bell, well off session lows. Aside

from position squaring ahead Fri's NFP, desks citing risk-off/position squaring

ahead Catalan President Puigdemont speech at 1500ET. Equities holding gains,

however, emini +2.5 at 2535.25, while gold remains well off early highs +3.00 at

1274.64. Current futures levels: 

* Dec Ultra bonds down 3/32 at 164-18 (164-01L/165-13H) 

* Dec 30-yr Bond futures down 1/32 at 152-19 (152-06L/153-08H) * Dec 10-yr

futures steady at 125-10.5 (125-06L/125-19.5H) 

* Dec 5-yr futures steady at 117-16.25 (117-13.5L/117-21.25H) 

* Dec 2-yr futures steady at 107-26.75 (107-26L/107-28.25H)

US EURODLR FUTURES CLOSE: Trading steady to mildly lower by the bell, near

session lows on narrow session range ,paper squaring up ahead Fri's NFP (+70k

est). Dec rate hike probability up to 70.5%, Mar probability up to 35% (MNI

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

* Dec'17 +0.000 at 98.500 

* Mar'18 -0.005 at 98.380 

* Jun'18 -0.005 at 98.280 

* Sep'18 +0.000 at 98.210 

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

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

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

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

US SWAPS: Spds hold steady/mixed, spd curve flatter w/short end wider all day.

Light deal-tied hedging and fly trade: USD 2Y-5Y-10Y Fly, receiving the belly

(ratio $100M wings vs. $250M belly, 179.8k DV01), two-way in the intermediates.

Specials in overnight repo continue to support front end. OTC vol steady to

weaker, narrow range on light volume; exchange traded volume muted but still

favoring downside put buying Dec and Mar'18 expirys). Latest spread levels: 

* 2Y +0.69/27.00 

* 5Y -0.19/8.06 

* 10Y +0.00/-4.12 

* 30Y -0.25/-32.44

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

- Oct 05 Sep challenger layoff plans (5.1%, --) 0730ET

- Oct 05 Phil Fed Harker speaks on CNBC, 0830ET

- Oct 05 30-Sep jobless claims (272K, 266K) 0830ET

- Oct 05 Aug trade balance (-$43.7B, -$42.6B) 0830ET

- Oct 05 Fed Gov Powell on Tsys/TMPG Conf in NY; Q/A 0910ET

- Oct 05 SF Fed Williams; keynote spch Comm Bkg conf St.Louis 0915ET

- Oct 05 Phil Fed Harker:Investing Amer Wrkfrc Conf Austin TX Q/A 930ET

- Oct 05 01-Oct Bloomberg comfort index (51.6, --) 0945ET

- Oct 05 Aug factory new orders (-3.3%, 0.9%) 1000ET

- Oct 05 Aug factory orders ex transport (0.5%, --) 1000ET

- Oct 05 29-Sep natural gas stocks w/w 1030ET

- Oct 05 Sep Treasury STRIPS Holdings 1500ET

- Oct 05 04-Oct Fed weekly securities holdings 1630ET

- Oct 05 KC Fed George: Inv Amer Wrkfrc Conf Austin TX 1630ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+4k EDZ 76c w/

+EDV 85/EDZ 86p spd, 1.5 total db

+2k EDZ 83/85 2x1p spds, 3.75

5k EDM19 78 straddles, 51.0 vs.

5k EOM 75/82 strangles, 12.5

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

+10k EOG 76/77p spds, 1.25

-8k EOV 81p, 2.5

5k EOX 81 straddles, 13.5 vs.

10k EOX 88c, cab

+5k EOH 76/77/80p trees, 5.5

5k EOG 76/77 2x1p spds, 0.0

+5k EOZ/E2Z 81/82c spd spds, 2.5

5k EOZ 81/82 2x1p spds, 1.0

5k EOX 82/83 2x3c spds, 2.0

+3k EOF 76/78p spds, 3.0

+2.5k EOZ 77/78p spds, 1.0

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

+20k E2Z 76/78p spds vs.

-E2Z 81/82c spd, 4.0 net db

+8k E2X 81/83c spds, 3.0 vs. 97.99/0.25%

6k E2Z 80 stradles, 22.5

5k E2H 76/81 R/R, 2.5c ovr

5k E2Z 77/81 R/R, 1.0c ovr

+5k E2X 77p, 2.0

+5k E2H 76/77/80p trees, 4.75 legged

5k E2H 76/81 R/R, 2.5 vs. 97.92

2k E2X 77/80p spds, 10.5 vs. 97.935/0.06%

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

12k E3H 75/81 R/R, 2.0p ovr

-5k E3V 80c, 1.0

2k E3H/E3M 77 straddle strip, 88.0

Tsy options

Pit/screen:

+4.7k TYX 124/125p spds, 18 vs. 125-07.5

3k TYX 124p, 7 vs. 125-07.5/0.15%

2.8k TYX 123+/124 2x1p spds, 0.0

2.5k TYX 124.7/126+R/R, 2p ovr

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

-3k TUZ 108p, 15

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

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