US TSYS: HEADLINE EMPLOY DATA MISS, BIG-UP REVISION JULY/AUG

     US TSY SUMMARY: Finish weaker but off session lows. Looked like algos

focused on

NFP miss of +134k as rates knee-jerk rallying, BUT up-revision for Jul/Aug

higher than expected (+87k) spurred heavy selling.

- Equities weak w/tech (FANG) and transports underperforming. US$ see-sawed

lower DXY -.122 to 95.628 vs. 95.516L

- Appeared flattener positions getting the tap, unwind stop outs contributed to

heavy sell flow in lond end

- Relative calm heading into data, two-way position squaring heading into data

and extended holiday weekend for rates and currencies, prop and fast$ bought

near lows in 5s and 10s earlier, flattener unwind interest takes a pause,

swap-tied buying in 4s and 10s.

- Tsy cash/ylds: 2Y 99-23.5 (2.885%), 5Y 99-03 (3.071%), 10Y 97-01 (3.227%), 30Y

92-17 (3.399%).

     US TSY FUTURES CLOSE: Trading moderately lower in the middle of a wide

range,

large volume (TYZ 2.13M), curves steeper; update:

* 2s10s +2.496, 33.989 (30.235L/35.097H);

* 2s30s +3.653, 51.279 (47.008L/52.813H);

* 5s30s +2.666, 32.832 (29.483L/33.909H);

Current futures levels:

* Dec Ultra bonds down -1-07/32 at 149-01 (148-17L/150-15H)

* Dec 30-yr Bond futures down 24/32 at 137-05 (136-26L/138-02H)

* Dec 10-yr futures down 7.5/32 at 117-20 (117-16.5L/117-31H)

* Dec 5-yr futures down 2.75/32 at 111-30 (111-27.5L/112-03H)

* Dec 2-yr futures down 0.5/32 at 105-7.25 (105-6.25L/105-8.75H)

     US EURODOLLAR FUTURES CLOSE: White pack trading mixed while reds through

golds

trade mildly lower, strong volume with Red Dec seeing the heaviest (EDZ9 470k).

Current White pack (Dec'18-Sep'19):

* Dec'18 +0.005 at 97.340

* Mar'19 +0.005 at 97.135

* Jun'19 -0.005 at 96.955

* Sep'19 -0.015 at 96.825

* Red pack (Dec'19-Sep'20) -0.030-0.025

* Green pack (Dec'20-Sep'21) -0.030-0.020

* Blue pack (Dec'21-Sep'21) -0.025-0.020

* Gold pack (Dec'22-Sep'22) -0.020-0.015

     US DOLLAR LIBOR: Latest settles,

* O/N +0.0065 to 2.1717% (+0.0004/wk) 

* 1 Month -0.0039 to 2.2767% (+0.0162/wk) 

* 3 Month -0.0016 to 2.4080% (+0.0097/wk) 

* 6 Month -0.0007 to 2.6228% (+0.0190/wk) 

* 1 Year +0.0015 to 2.9583% (+0.0397/wk)

     US TSYS: *** /REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): 2.18% vs. 2.20% prior, $816B

* Broad General Collateral Rate (BGCR): 2.17% vs. 2.18% prior, $420B

* Tri-Party General Collateral Rate (TGCR): 2.17% vs. 2.18% prior, $405B

     PIPELINE: $48.125B priced on Week

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

No new issuance Friday

-

$750M Priced Thursday

10/04 $750M *AIB Group 5Y +175

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

- Oct 08 Sep ETI (110.88, --) 1000ET

- Oct 09 Sep NFIB Small Business Index (108.8, --) 0600ET

- Oct 09 06-Oct Redbook retail sales m/m (0.3%, --) 0855ET

- Oct 09 Oct IBD/TIPP Optimism Index (55.7, --) 1000ET

- Oct 09 Chi Fed Pres Evans, '18 Opportunity Finance Network (OFN) Conf, Chi

1000ET

- Oct 09 Oct NY Fed expectations survey 1100ET

- Oct 09 NY Fed President John Williams on "Recent Developments in US Monetary

Policy", NY Fed/Indonesia Central Bank Forum, Tanjung Benoa, Indonesia, Q&A.

2115ET

- Oct 09 NY Fed Pres Williams, press conf, NY Fed-Bank Indonesia Central Bank

Forum, Indonesia. 2230ET

     Eurodollar/Treasury Option Summary

     Eurodollar options, Pit/Screen: 

* 10,000 Short Mar 67 puts at 18.5 vs 9669.5/0.58%

* +13,500 Short Dec 65/66/67 1.5x2.5x1 put fly for net 2

* -10,000 Short Mar 67/68 put sprd at 8 vs 9671.5/0.12%

* +10,000 short Mar 77 calls, 1.0

* +4,000 Short Dec 67/68 2x1 put sprd at 0.5

* +10,000 short Dec 70/71 call spds, 1.0

* 4,500 Short Mar 77 calls at 1 vs 9673/0.10%

* +5,000 short Mar 63/65 2x1 put spds, 0.0

* +7,500 short Nov 70/71 call strip, 2.0

* -5,000 Blue Dec 67/70 2x1 put spds, 4.0

* +15,000 Red Dec 63/66/68 put trees, 7.25 legged

* -20,000 short Nov 67 puts, 6.0

* +25,000 Dec 70 puts at cab, paper looking for more offers

* 11,000 Long Green Dec 55 puts at 4, on screen

     Tsy options, Pit/screen:

Blocks, 1251:51ET

* +12,299 FVZ 113.5/114 call spds, 1/64 net vs. 111-27.25/0.04%

* -4,000 TYZ 116/116.5/117 put trees, hear 4/64 net debit/roll-down

* 6,300 TYZ 120/120.5 call spds, 2/64

* +18,000 TYZ 116.5/117.5 put sprd at 24 vs 24/0.30%

* -30,000 TYX 116.5/117.5 put sprd at 14 vs 24/0.25%

* -2,000 TYX 117 puts at 13 vs 21.5/0.30%, note recent -5k sold at 12

* +4,000 USZ 134/136 put sprd vs USX 135.5/137 put sprd for net 3

* +2,000 TYX 116.7/118.7 put over risk reversals, 3/64 vs. 117-24.5/0.34%

* +1,500 TYX 118.5/119 2x3 call spds, 7/64

* -1,000 TYX 118 straddles, 53/64

* +5,000 TYG 115/116 2x1 put spds, 6/64

* -5,000 TYX 117 puts at 12

Block, 07:52:41ET,

* 7,000 WK1 TYV 118 calls at 7 vs 117-26/0.33%, post time

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]