US TSYS PRESSURED ON TALK TAYLOR, WARSH TOP 2 FED CHR POTENTLS

     US TSYS SUMMARY: ***Treasuries end Mon lower after range then late slide on

talk spurred by a Bloomberg story that John Taylor or Kevin Warsh are the top

two contenders for Pres. Trump pick for Fed Chair. Politico later said Trump

would meet with Fed Chair Yellen but some thought that was more of a courtesy

than that she will be kept on as Fed Chair. 

- Tsys opened NY weaker then mild 10Y sales on firm NY Empire State Mnfctrng,

morning dip buys after mixed earlier flows, rate- locks. Large FVZ7 US Tsy 5Y

future sale:8,009 vs buy 5,535 German 5Y OEZ7 futures before 10:18am ET. Foreign

buying arose in cash 3Ys. Also Ultra Bond futures block buy of 3,621 WNZ at

8:15am ET. 

- Tsys buying before 12:35pm ET of 8,500 TYZ 10Y Tsy future(from 125-19 to

-19.5) Late Tsy short end sales, flatteners on Warsh, Taylor; sellers FVZ and

TYZ, sales of TYZ from 125-17 to -14 in 2-mins. Tsys then stabilized briefly on

Politico report that Trump to meet with Fed Chr Yellen though some thought it

was just more of a courtesy meeting.

- US Eurodlr futures: afternoon buyer: Dec'17 buy:15,000 EDZ at 98.50 (-0.005)

before 2:03pm ET. An 11:01am ET block: add to earlier screen trade: 20,000 Dec

83 puts, cab, total volume 39K. 

- Late large put buy: +150,000 short Dec 78 puts, 2.0, appears cover. 

- US swaps: Ddeal-tied hedge earlier, real$ rate short end receivers, money mgr

paying intermeds; later receiving in 9s, 10s, 12s.

- US TSYS 3PM ET: 2Y 1.542%, 3Y 1.687%, 5Y 1.956%; 7Y 2.157%, 10Y 2.309%, 30Y

2.824%

US TSY FUTURES CLOSE: Lower across the curve/off lows after burst of selling on

prospective Fed chair chatter, Stanford's John Taylor odds rising. Current

levels: 

* Dec Ultra bonds down 11/32 at 166-07 (165-30L/166-25H) 

* Dec 30-yr Bond futures down 10/32 at 153-22 (153-18L/154-04H) 

* Dec 10-yr futures down 9/32 at 125-13.5 (125-11.5L/125-23.5H) 

* Dec 5-yr futures down 7.75/32 at 117-10.75 (117-10.25L/117-18.5H) 

* Dec 2-yr futures down 2.75/32 at 107-22.5 (107-22.5L/107-25.5H)

US EURODLR FUTURES CLOSE: Lower across the strip to late session lows, heavy

two-way volume in short end, Reds underperform. Current White pack

(Dec'17-Sep'18): 

* Dec'17 -0.010 at 98.495 

* Mar'18 -0.020 at 98.355 

* Jun'18 -0.040 at 98.235 

* Sep'18 -0.055 at 98.150 

* Red pack (Dec'18-Sep'19) -0.060-0.075 

* Green pack (Dec'19-Sep'20) -0.075-0.065 

* Blue pack (Dec'20-Sep'21) -0.060-0.050 

* Gold pack (Dec'21-Sep'22) -0.045-0.040

US SWAPS: Spds bumping around top end of range by the close - off opening

narrows amid light deal-tied hedging earlier, real$ rate receivers in short end,

money manager paying in the intermediates. Flurry of receiving in 9s, 10s and

12s on light size as props fade move ahead incoming supply. Props looking at spd

curve steepeners in 5s and 7s vs. 30s. Latest spread levels: 

* 2Y -0.38/25.50 

* 5Y +0.06/8.12 

* 10Y +0.38/-3.50 

* 30Y +0.62/-31.50

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

- Oct 17 Sep imports price index (0.6%, 0.7%) 0830ET

- Oct 17 Sep exports price index (0.6%, --) 0830ET

- Oct 17 Oct NY Fed Business Leaders Index (9.4, --) 0830ET

- Oct 17 14-Oct Redbook retail sales m/m (-1.5%, --) 0855ET

- Oct 17 Sep industrial production (-0.9%, 0.2%) 0915ET

- Oct 17 Sep capacity utilization (76.1%, 76.2%) 0915ET

- Oct 17 Oct NAHB home builder index (64.0, --) 1000ET

- Oct 17 Aug net TICS flows (-$7.3B, --) 1600ET

- Oct 17 Aug long term TICS flows ($1.3B, --) 1600ET

Eurodollar/Treasury option summary

Eurodollar options

* 21,000 Blue Jan 75/80 strangle or combo on screen earlier

* +10,000 short Dec 80/81 put spds, 5.5 vs. 98.105/0.25%

* +10,500 short Dec 82/83 call spds vs. Green Dec 81/82 call spds, even to 0.5

net debit on the conditional bull curve steepener

* Block 20,000 Dec 83 puts, cab, total volume 39k

* +20,000 short Nov 78/Green Nov 77 put spds, 2.0 vs. 98.09/0.10%

* -13,000 short Jan 78/80 3x2 put spds, 4.5

* +/-17,500 short Dec 78/80 2x1 put spds, 1.0-1.25

* +5,000 short Jan 85 calls, 1.0 vs. 98.075/0.10%

* -2,000 Green Dec 76/77 4x5 put spds, 11.5

* +2,500 Green Dec 82/85 call spds, 1.5

* 18,000 Dec 83 puts, cab on screen

* 5,000 Green Nov 77 puts, 1.5

* 4,000 Feb 82/83/86 iron flys, 10.0

* -2,500 short Sep 77/80 3x2 put spds, w/

* -2,500 Green Sep 75/78 3x2 put spds, 22.5 total credit

* 1,000 short Dec 77/80/82/85 call condors, 19.5

* 10,000 (pit/screen) short Nov/short Dec 80 put spds, 2.0/Dec over

* +10,000 Red Dec 71/73/76/78 put condors, 4.5

* +5,000 short Jan 77/78/80 put trees, 2.0 w/

* +5,000 short Mar 77/78/80 put trees, 2.5

* 24,250 Blue Nov 83 calls at cab on screen

* BLOCK, total +30,000 short Mar 87 calls, 1.0 vs. 98.12/0.05% adds to +15k on

screen

######################################

US TSY OPTIONS:

* 2,000 TYX/TYZ 125.5 put spds, 19/64 vs. 125-14

* 1,200 TYF 125.5 straddles 1-43/64

* 1,000 TYF 125.5/126.5 call strip, 1-10/64

* 1,250 USZ 154 calls, 1-25/64 vs. 153-29/0.49%

* 1,000 USX 156 calls, 12/64

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

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