US TSYS: QUIET RETURN EXTENDED HOLIDAY, CURVES BULL FLATTEN

US TSY SUMMARY: Tsys trade mixed for much of the session -- long end reversed

early weakness/traded strong from mid-morning on, curves scaling back small

portion of steepening over last couple weeks.

- Slow start for data and little react to multiple Fed speakers today: FED'S

HARKER SAYS U.S. LABOR MARKET HAS VERY LITTLE SLACK LEFT; DALLAS FED PRES

KAPLAN: "STRONG YEAR FOR GDP GROWTH THIS YEAR IN U.S., "DON'T BELIEVE INFLATION

IS GOING TO RUN AWAY FROM US", "FED REACHING ITS 2% INFLATION TARGET" Bbg.  NY

Fed President Williams will take questions at a NY Fed/Bank of Indonesia Central

Banking Forum in Tanjung Benoa, Indonesia later in the evening.

- Tsys took leg higher by midday, extended session highs as equities reversed

course, traded lower. Earlier had been strong program buy interest tied to Euro,

not the case in latter move. Prop, bank and real$ sporadic buyers long end, prop

flatteners in 2s and 5s vs. 10s. Light deal-tied flow.

- Tsy cash/ylds: 2Y 99-23.5 (2.885%), 5Y 99-05.25 (3.056%), 10Y 97-06.5

(3.206%), 30Y 93-02 (3.369%).

US TSY FUTURES CLOSE: Trading mixed with the long end near the top of a wide

range while the short end trades in the middle of a tight range, volume (TYZ

1.76M), curves flattening; update:

* 2s10s -2.661, 31.707 (31.707L/37.462H);

* 2s30s -3.615, 47.841 (47.841L/56.021H);

* 5s30s -2.235, 31.028 (31.028L/36.046H);

Current futures levels:

* Dec Ultra bonds up 1-07/32 at 149-29 (147-31L/149-31H)

* Dec 30-yr Bond futures up 22/32 at 137-23 (136-16L/137-24H)

* Dec 10-yr futures up 03/32 at 117-25.5 (117-15L/117-27.5H)

* Dec 5-yr futures down 0.25/32 at 112-00.5 (111-29.25L/112-02H)

* Dec 2-yr futures down 0.75/32 at 105-7.75 (105-7.5L/105-8.75H)

US EURODOLLAR FUTURES CLOSE: Trading slightly lower across the strip, light

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

* Dec'18 -0.005 at 97.330

* Mar'19 -0.005 at 97.130

* Jun'19 -0.005 at 96.955

* Sep'19 -0.005 at 96.835

* Red pack (Dec'19-Sep'20) -0.005-EVEN

* Green pack (Dec'20-Sep'21) -0.005

* Blue pack (Dec'21-Sep'21) -0.005

* Gold pack (Dec'22-Sep'22) -0.005-EVEN

US DOLLAR LIBOR: Latest settles,

* O/N -0.0062 to 2.1655% (-0.0062/wk)

* 1 Month +0.0031 to 2.2871% (+0.0104/wk)

* 3 Month +0.0062 to 2.4204% (+0.0123/wk)

* 6 Month +0.0030 to 2.6290% (+0.0061/wk)

* 1 Year +0.0042 to 2.9620% (+0.0037/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.16% vs. 2.18% prior, $873B

* Broad General Collateral Rate (BGCR): 2.14% vs. 2.17% prior, $429B

* Tri-Party General Collateral Rate (TGCR): 2.14% vs. 2.17% prior, $413B

PIPELINE: Slow start for shortened week

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

10/09 $Benchmark Province of Ontario Canada 5Y

10/09 $Benchmark John Deere Capital, 2Y +20a, 5Y +70a

10/09 $350M Atlantic City Electric WNG 10Y +95

-

No new issuance Friday, $48.125B priced on Week

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

- Oct 10 05-Oct MBA Mortgage Applications 0700ET

- Oct 10 Sep Final Demand PPI (-0.1%, 0.2%) 0830ET

- Oct 10 Sep PPI ex. food and energy (-0.1%, 0.2%) 0830ET

- Oct 10 Sep PPI ex. food, energy, trade (0.1%, --) 0830ET

- Oct 10 Aug wholesale inventories (0.6%, 0.8%) 1000ET

- Oct 10 Aug wholesale sales (0.0%, --) 1000ET

- Oct 10 Oct Atlanta Fed inflation (2.2%, --) 1000ET

- Oct 10 US TSY $36B 3Y auction (9128285F3) 1130ET

- Oct 10 Chi Fed Pres Evans, Flint & Genesee CoC Luncheon, Mi, Q&A. 1215ET

- Oct 10 US TSY $23B 10Y auction (9128284V9) 1300ET

- Oct 10 Atl Fed Pres Bostic, eco-outlook, Ntnl Assn Corp Dirs', Atl, Ga, Q&A.

1800ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* +6,500 short Nov/short Dec 65/66 2x1 put spd strip, 2.0 total debit

* -4,000 Nov/Dec 73 2x1 call strip, 4.25 total credit

* +5,000 Dec 76 calls, cab

* +50,000 Sep 61 puts at 1 vs 9680.5/0.10%

* +10,000 Red Sep 56/60 put sprd at 5.5 vs 9672/0.10%

* 4,000 Dec 72/76 puts over risk reversal at 1.25 vs 9733/0.20%

* +10,000 Green Jan 61/63 put sprd at 2

* 6,000 Dec 75/76 call sprd at 0.5

* -10,000 Dec 71/72 put sprd at 1 vs 9734/0.10%

* 5,000 Blue Nov 67 Straddle at 18.5

* -5,000 Short Nov 66 puts at 2

* 10,000 Short Nov 67/68 1x2 call sprd at 1

* -4,000 Short Dec 65/67/70 Iron Fly at 14 vs 9672.5/0.10%

+ +40,000 Short Nov 70 calls at 1 vs 72/0.10%

* +10,000 Short Nov 70 calls at 1 vs 72/0.10%

* +10,000 Red Jun 57/62 put sprd at 9 vs 9671.5/0.10%

* 4,000 Front Nov/Front Dec 73 put sprd at 1.5 vs 9735/0.10%

* -5,000 Short Nov 67/68/70 put fly at 3

Tsy options, Pit/screen:

* 5,700 wk2 TY 117.2/118 call over risk reversals, 5/64

* +5,000 FVF 105.5 puts, cab-7

* 2,500 TYX 119 calls, 4/64 vs. 117-26.5/0.10

* 1,000 TYX 117.75 straddles, 50/64

* +4,000 FVZ 110.75/111.75 put spds, 13.5/64 vs. 111-31.25/0.25%

* +20,000 FVZ 111.25 puts at 1 over the 112.75 calls

* +4,000 TYX 118.5/119.5 1x2 call sprd at 4

* 6,600 FVZ 111.25/112.75 put over risk reversals, 1/64

* 2,000 FVZ 112 straddles, 49/64

* 1,500 TYX 118.5/119.5 1x2 call spds, 4/64

* +2,000 TYF 115.5 puts at 17

UPDATE: Total +9,000 TYX 119 calls at 4

* Total 6,000 TYX 118.50 calls at 8 vs 22/0.19%, traded 6 to 8 all day

* -4,500 TYZ 116.50 puts at 18

* +14,500 USZ 128 puts, 5/64

* -1,500 TYZ 117.5 straddles, 1-23/64

* 1,000 TYZ 114.5/115/116 broken put flys, 5/64

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

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