US TSYS: HEAVY PRESSURE ON RATES AFTER STRONG JOBS GAIN

US TSY SUMMARY: Rates continued to grind lower into the close, prospect of more

rate hikes as economy gains momentum finally catching up with long end; Tsy yld

curves well off early flats; Equities off lows, however, while EUR currency

traded lower after MNI Sources story that ECB considering fresh TLTRO.

- Better selling returns after two-way in midmorning, prop and fast$ selling 5s,

bank and real$ selling out the curve, stops triggered on latest down turn, curve

flattener unwinds in 2s and 5s vs. 10s. No deal-tied flow to speak of.

- Better sellers earlier/immediately after better than expected headline jobs

gain of +250k vs. +190k est -- and NO down revisions. Intermediates took brunt

of selling, curves bear flattening w/5s30s sliding to 38.347 low vs. appr 41.0

at moment. Attention turns to next week's Midterm elections Tuesday, latest FOMC

on Thu (no change exp on latter).

- Heavy options volume, Tsy option accts sold >12k Dec 10Y 117/117.25/117.5 put

strips from 23- to 26/64.

- Tsy cash/ylds: 2Y 99-29.5 (2.912%), 5Y 99-07.75 (3.038%), 10Y 97-05 (3.214%),

30Y 91-18.5 (3.454%).

US TSY FUTURES CLOSE: Sharply lower at the bottom of a wide range; strong volume

(TYZ 2.17M); curves mixed; update:

* 2s10s +1.489, 29.869 (27.591L/30.561H);

* 2s30s +1.033, 53.977 (50.158L/54.944H);

* 5s30s -0.143, 41.656 (38.347L/42.388H);

Current futures levels:

* Dec Ultra bonds down -1-23/32 at 147-28 (144-27L/150-00H)

* Dec 30-yr Bond futures down -1-09/32 at 137-05 (137-04L/138-24H)

* Dec 10-yr futures down 17/32 at 118-1.5 (118-0.5L/118-22.5H)

* Dec 5-yr futures down 10.5/32 at 112-05 (112-4.75L/112-17.5H)

* Dec 2-yr futures down 3.75/32 at 105-08 (105-7.75L/105-12.5H)

US EURODOLLAR FUTURES CLOSE: Trading moderately lower at the bottom of the

range, parallel shift across reds through golds; strong volume. Current White

pack (Dec'18-Sep'19):

* Dec'18 -0.010 at 97.230

* Jun'19 -0.030 at 97.080

* Jun'19 -0.045 at 96.930

* Sep'18 -0.055 at 96.830

* Red pack (Dec'19-Sep'20) -0.065-0.055

* Green pack (Dec'20-Sep'21) -0.060

* Blue pack (Dec'21-Sep'21) -0.065-0.060

* Gold pack (Dec'22-Sep'22) -0.065-0.060

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0007 to 2.1746% (-0.0021/wk) 

* 1 Month +0.0043 to 2.3178% (+0.0211/wk) 

* 3 Month +0.0108 to 2.5923% (+0.0720/wk) 

* 6 Month +0.0123 to 2.8288% (+0.0521/wk) 

* 1 Year +0.0087 to 3.1048% (+0.0481/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.22% vs. 2.22% prior, $835B

* Broad General Collateral Rate (BGCR): 2.20% vs. 2.19% prior, $434B

* Tri-Party General Collateral Rate (TGCR): 2.20% vs. 2.19% prior, $411B

SWAPS: Spds tighter across the curve, narrow w/short end lead move since

midmorning. Flurry of better receiving as Tsys extended session lows and yld

curves rebounded. Flow in second half included receiving in 2s around 3.0780%, ,

receiving 3s at 3.1407%, decent receiving 5s at 3.15496%, receiving in 10s at

3.23957%. Spd curve had bent mildly steeper earlier as 3M FRA/OIS retraced

earlier widening. Earlier flow included rate receiving in 2s at 3.0879%, s25s

steepener, and flurry of paying in 5s-7s. Latest spd levels:

* 2Y -1.38/20.00

* 5Y -1.19/14.25

* 10Y -0.81/5.88

* 30Y -0.31/-11.25

PIPELINE: Quiet end to week --

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

No new issuance Friday, $21.75B priced on wk

-

$6.75B priced Thursday

11/01 $3B *American Express $1.25B 3Y +80, $1B 3Y FRN +60, $750M 7Y +118

11/01 $1.35B *GM Financial $1B 3Y +130, $350M 3Y FRN +110

11/01 $2B *BP Capital Markets Amer $1B Long 5Y +83, $1B 10Y +110

11/01 $400M *One Gas WNG 30Y; IPT +118

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

- Nov 05 Oct Markit Services Index (final) (54.7, --) 0945ET

- Nov 05 Oct ISM Non-manufacturing Index (61.6, 59.3) 1000ET

- Nov 05 Oct ETI (110.77, --) 1000ET

- Nov 05 US Tsy $45B 13W bill auction (912796QW2) 1130ET

- Nov 05 US Tsy $39B 26W bill auction (912796RP6) 1130ET

- Nov 05 US Tsy $37B 3Y note auction (9128285LO) 1300ET

- Nov 05 Dal Fed Pres Kaplan, national/global eco issues, Q&A 1900ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* -30,000 Short Dec 65/66/67/68 Put Condor at 6 vs 9681.5/0.10%

Block, 10:25:44ET,

* +10,000 Short Mar 63/65 put sprd at 2.5 vs 9674.5/0.10%

* -10,000 Red Mar 67 puts at 26.5 vs 9674/0.48%

* +15,000 Dec 70/71 put sprd at 0.75 vs 9724.5/0.10%

* +10,000 Long Green Dec 62 puts at 18.5 vs 9676/0.25%

* -7,000 Short Dec/Short Feb 67 Straddle Sprd at 11 vs 9679/0.10%

* -5,000 short Jan 70/Red Dec 67 2x3 put spds, 4.5/Red Dec over

* 5,000 Short Dec 68/70 call sprd at 2.5 vs 9678.5/0.10% vs

* 5,000 Green Dec 70/71 call sprd at 1.5 

Note: earlier 5,000 short Dec 68/70 call spds at 3.0 vs 5,000 Green Dec 70/71

call spds at 2.0

* +10,000 Short Sep 65/66 put sprd at 5 vs.

* -10,000 Short Sep 73/75 call sprd at 2 vs 9679.5/0.10%

* -5,000 Dec 71/72 put spds, 3.75 over the Dec 75 calls

* -6,000 Nov 72 Straddle at 5

* 5,000 Short Mar 65/67 put sprd at 10 vs 9676/0.26%

* 5,000 short Dec 68/70 call spds, 3.0 vs.

* 5,000 Green Dec 70/71 call spds, 2.0

* -2,000 Green Nov 63/67 put spds, 5.0 vs. 96.80

Tsy options, Pit/screen:

* 10,000 FVZ 112/112.25/112.50 put tree at 0

Block, 1159:01ET,

* +8,094 USZ 137 puts, 57/64 (was offered at 56/64 at post time)

* +10,000 FVZ 112.25 vs FVF 111.75 put sprd at 1

* -5,000 TYZ 117.5 puts, 12/64

* 2,000 TYZ 116/117 put spds, 4/64

* 2,000 wk2 TY 117.5/118 put spds, 8/64

* 3,000 wk1 TY 118.25/118.5 put over risk reversals, 0.0

* -5,000 TYZ 118.25/118.75 call spds, 14/64 earlier

implied vol getting pressed on the post-data range trade, downside puts sold

* -6,000 TYZ 117/117.25/117.5 put strips from 26- to 23/64

* sellers TYZ 118.25 straddles down to 58/64

* -7,500 TYZ 117.5 puts, 12/64

Block, 08:49:17ET,

* +25,000 2wk TYX 118 puts at 14

* +6,000 TYZ 119 calls on screen, 13/64

* 1,000 TYZ 116.5/120.5 strangles, 5/64

Block, 0720:15ET,

* 4,374 wk2 TY/TYZ 118.5 straddle spds, 13/64 net vs. 118-17.5

Block, 0609:38ET, another 5k on screen 

* 5,000 FVZ 111.2/112 put spds, 6.5/64 vs. 112-11.5/0.23%

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

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