US TSYS GAIN: SOLID 30Y SALE, WEAK US$, WORRY ON N.KOREA, IRAN

     US TSYS SUMMARY: Treasuries end Thu higher, flatter amid afternoon

safe-haven buying on Iran, N.Korea worries, post-auction relief buying on strong

$12B 30Y reopening. Tsys bid as Pres. Trump will announce Fri 12:45pm ET on Iran

plan, and that USGSG could not confirm if N.Korea earthquake manmade or not.

FX-tied buys as US$ ebbed vs Jpn yen. 

- Solid 30Y auction stopped thru to 2.870%, 2.750% cpn, strong 62.8% indirects,

10.6% directs, left only 26.6% dealers. Afternoon mild 2/30Y, 3/30Y flatteners,

short-covering and post-auctn dip buys. Some had felt buyers wd wait for Fri

CPI. 

- Morning pre-auction shorts/sales into 30Y sale, Asian buying in 2Y, 5Y in

early NY; 2way 30Y hedge fund flows, other mixed flows in shorter issues. 

- Brief early sales on high 0.4% Sept. Core PPI, lower initial wkly jobless

claims. Tsys saw 3:21am ET block buy in 10Y Tsy futures, for 4,364 TYZ7s. And

11:16 am ET a $163,200 DV01 8/9/10Y swap butterfly with paper paying belly. 

- TSYS 3PM ET: 2Y 1.517%, 3Y 1.663%, 5Y 1.940%, 7Y 2.157%, 10Y 2.323%, 30Y

2.853%

US TSY FUTURES CLOSE: US Tsy futures are modestly higher at the bell, close to

session highs, supported by return to flight-to-quality buying on North Korea

concerns and strong demand at 30-yr bond auction. Current futures levels: 

* Dec Ultra bonds up 21/32 at 165-11 (164-09L/165-14H) 

* Dec 30-yr Bond futures up 17/32 at 153-03 (152-10L/153-05H) 

* Dec 10-yr futures up 5/32 at 125-12.5 (125-05L/125-14H) 

* Dec 5-yr futures up 2/32 at 117-13.25 (117-09.75L/117-15H) 

* Dec 2-yr futures up 0.25/32 at 107-24.5 (107-23.75L/107-25.25H)

US EURODLR FUTURES CLOSE: Future trading modestly higher, strip flatter after

the bell. Earlier saw some micro-curve steepener trades going through in red

contracts but flatteners further out in Gold. Current White pack

(Dec'17-Sep'18): 

* Dec 17 +0.01 at 98.495 

* Mar 18 +0.01 at 98.365 

* Jun 18 unch at 98.255 

* Sep 18 +0.005 at 98.185 

* Reds (Dec 18-Sep 19) +0.01 to +0.01 

* Greens (Dec 19-Sep 20) +0.01 to +0.015 

* Blues (Dec 20-Sep 21) +0.015 to +0.015 

* Gold (Dec 21-Sep 22) +0.02 to +0.025

US SWAPS: Swap spreads are trading wider at the bell with the exception of the

2-year which is slightly tighter. Main takeaway was there were a number of USD

swap curve flatteners seen in 3-5Y and one large 5-10Y flattener during London

session. While During NY hours there appeared to be a payer in the belly of a

USD163.2k DV01 8Y-9Y-10Y swap fly. Latest spread levels: 

* 2Y -0.45/25.65 

* 5Y +0.14/8.00 

* 10Y +0.31/-4.25 

* 30Y +0.13/-32.38

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

- Oct 13 Annual IMF Meeting in Washington, D.C.

- Oct 13 *** Sep CPI (0.4%/0.6%); 08:30am ET

- Oct 13 *** Sep CPI Ex Food and Energy (0.2%/0.2%) 08:30am ET

- Oct 13 *** Sep retail sales (-0.2%/+1.9%) 08:30am ET

- Oct 13 *** Sep retail sales ex. motor vehicle (0.2%/0.9%) 08:30am ET

- Oct 13 *** Sep retail sales ex. mtr veh, gas (-0.1%/-- %) 08:30am ET

- Oct 13 Boston Fed Rosengren opening remarks: Boston Fed Econ Conf 08:30am ET

- Oct 13 * Aug business inventories (0.2%/0.7%) 10:00am ET

- Oct 13 ***Oct Univ Michigan consumer sentiment index(p) (95.1/95.5);10:00am ET

- Oct 13 ChiFed Evans: Wisc Summit Fncl Literacy; Green Bay, WI Q/A; 10:25am ET

- Oct 13 ** Q4 St. Louis Fed Real GDP Nowcast (--%/--%) 11:00am ET

- Oct 13 ** Q4 NY Fed GDP Nowcast (--%/--%) 11:15 am ET

- Oct 13 DallFed Kaplan at CFA Institute F/I Mgmt Conf Boston Q/A 11:30am ET

- Oct 13 Fed Gov Powell:keynote Pol/Discretn:Boston Fed Econ Conf 13:00pm ET

- Oct 13 Ex-Fed Gov Kroszner speaks on global mon pol; IIF mtg DC; 14:10pm ET

US Eurodollar/Treasury Option Summary:

US TSY OPTIONS: Large Tsy option block seen:

* 40k TYX7 123.50 puts at '02 at 1449:45ET

* 1.5k TYX7 125.50/125.75/126.75 broken call fly at 3

US Eurodollar Option flow included: Pit/Screen:

* +10k Short Dec 81/80 put spread at 5.5

* +8k Short Dec 82/83/85 call tree at 1.5 vs EDZ8 at 98.135

* +5k Red Dec 80/77 put spread at 7.5

* +5k Green Jan 73 puts at 1

* +6k Short Dec 81/80 puts spread at 5.5

* +10k Long Green Dec 92 calls at 2.5

* +2.5k Green Nov 77/75 put spread at 1.5

* 2.5k Green Oct 80/Blue Nov 78/Gold Nov 77 call fly at 0.25

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* 40k Front Jun 81/80/78/77 put condor at 2.5

* + 10k Front Jun 81/80/78/77 put condor at 2.5

* +4k Front Sep 81/80/78/77 put condor at 3

* +6k Front Oct 85 calls at 0.5 vs EDZ7 at 98.51

* +20k Blue Dec 78/77/76 put tree at 1.5

* +10k Blue Dec 78/77/76 put tree at 1.5

* -15k Green Dec 80/78/77 put tree at 2.5

* +2.5k Short Nov 81/82/83 call tree at 3 vs EDZ8 at 98.115

* -2.5k Front Dec 70 calls at 149

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* -3.4k front Oct 98.50 calls at 0.25; screen

* -3.8k Front Dec 97 calls at 149; screen

* +5k Red Dec 80/77 put spread at 7.5

* +5k Green Jan 73 puts at 1

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* -13.5k Front Mar 82 puts at 3

* +10k Red Dec 78/77 put spread at 3

* +13k Short Dec 81/80/77/75 put condor at 5

* +7k Green Dec 82/85 call spread at 1.5

* +5k Green Dec 82/85 call spread at 1.5 vs EDZ9 at 97.93

* -3k Green Jan 78 Straddle vs blue Jan 77 straddle at 54 stupid at 54

* -2.5k Front Dec 85 calls vs Front Mar 82/81 put spread at 1

* +2.5k Front Dec 85 calls vs EDZ7 at 98.485

* +2.5k Front Mar 83/85 2x3 call spread at 4.75

* +2.5k Blue Dec 78/77/76 put tree at 1 vs EDZ0 at 97.76

* +2.5k Short Jan 81/82/83 call fly at 1.75

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

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