US TSYS RALLY EARLY ON JOBS THEN SLIDE ON AHE, ECB,ISM FACTORS

     US TSYS SUMMARY: Treasuries ended Friday lower but well off day's lows

after Aug NFP miss (156k vs. 180K exp), confusion over AHE. Brief rally on weak

data (anticipated, MNI reported Aug read tends to fall short of estimates),

confusion over incorrect July AHE revision reported lower by Bbg, rates reverse

gains on correction. 

- Brisk sales as BBG ECB story ECB likely won't have QE-taper plan ready 'til

Dec ECB meet. More sales on strong 58.8 US ISM Purch Mgrs. 

- Tsys rallied early on jobs then slid amid AHE, ECB factors. Flows: real$

buying in 2s and 5s post data, prop buying 10s; lvrgd accts in multiple

steepeners, 2s3s, 3s5s, 7s10s and 5s30s. Better sellers on reversal had fast-

and real% in 5s and 10s, bank portfolios sold 30s. Trade quieted. Tsy futures

see some misc buying out curve, consolidation/position squaring into holiday

weekend. Option vols inch lower. 

- Tsys 5/30Y curve 2way flow. Eurodlr futures: sale 20,000 Dec'17 at 98.575 to

-0.57, partially tied to Sep/Dec buy at 0.100. 

- TSYS 3PM ET: 2Y 1.346%, 3Y 1.459%, 5Y 1.733%, 7Y 1.986%, 10Y 2.157%, 30Y

2.768%

US TSY FUTURES CLOSE: Hold lower lvls into the close, off lows on post-data chop

following Aug NFP miss (152k vs. 180K exp), confusion over AHE. Brief rally on

weak data (anticipated, MNI reported Aug read tends to fall short of est's),

confusion over incorrect July AHE rvs'n reported lower by Bbg, rates reverse

gains on correction. Current futures levels: * Dec Ultra bonds down 1-8/32 at

167-26 (167-10L/169-11H) 

* Dec 30-yr Bond futures down 28/32 at 155-07 (154-30L/156-12H) 

* Dec 10-yr futures down 9.5/64 at 126-22 (126-19.5L/127-07.5H) 

* Dec 5-yr futures down 4/32 at 118-12 (118-09.5L/118-21.5H) 

* Dec 2-yr futures down 1.25/32 at 108-03.75 (108-03.25L/108-06.75H)

US EURODLR FUTURES CLOSE: Modestly lower for the most part, off mid-morning

lows, relative quiet/orderly post payrolls going into extended weekend. Current

White pack (Sep'17-Jun'18): 

* Sep'17 +0.000 at 98.675 

* Dec'17 -0.015 at 98.570 

* Mar'18 -0.015 at 98.525 

* Jun'18 -0.020 at 98.475 

* Red pack (Sep'18-Jun'19) -0.025-0.030 

* Green pack (Sep'19-Jun'20) -0.030 

* Blue pack (Sep'20-Jun'21) -0.030-0.035 

* Gold pack (Sep'21-Jun'22) -0.030-0.035

US SWAPS: *** Spds running marginally wider for the most part by the close (10Y

holding little wider), reversing earlier expansion. Sources reported consistent

spd selling on light size in shorts to intermediates post data, props scaling

into rate receivers in the intermediates, light bank portfolio payer unwinds in

the long end. Desks say accts gearing up for renewed swappable issuance next

week to weigh on spds. Others looking at paying 2s5s10s fly. OTC and exchange

traded option vol, meanwhile, continues to inch lower w/payrolls in the rearview

mirror, extended weekend/decay ahead. Latest spread levels: 

* 2Y -0.06/20.62 

* 5Y -0.06/5.75 

* 10Y +0.12/-5.06 

* 30Y -0.06/-34.56

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

- Sep 05 Fed Gov. Brainard speaks at Econ Club of NY, Q&A 0730ET

- Sep 05 Aug ISM-NY current conditions (62.8, --) 0945ET

- Sep 05 Jul factory new orders (3.0%, -3.1%) 1000ET

- Sep 05 Jul factory orders ex transport (-0.2%, +0.2%) 1000ET

- Sep 05 Sep IBD/TIPP Optimism Index (52.2, --) 1000ET

- Sep 05 Aug ETI 133.77 1000ET

- Sep 05 US Tsy $39.0B 13-Week Bill auction 1130ET

- Sep 05 US Tsy $33.0B 26-Week Bill auction 1130ET

- Sep 05 US Tsy $25.0B 8-Day Bill auction. 1300ET

- Sep 05 US Tsy $20.0B 4-Week Bill auction 1300ET

- Sep 05 Minn Fed Kashkari, Carlson Schl Mgmt MN; Q/A 1310ET

- Sep 05 Dallas Fed Kaplan: guided Q&A in Dallas; Q/A 1900ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

+13k EDZ 83/85c spds, 2.25

+10k EDH 85/86/87 2x3x3c trees, 1.0/2-legs ovr

-10k EDZ 86p, 8.0

6k EDZ 85/86 R/R, 0.5c ovr

+2k EDZ 83/85p spds, 2.5

1.25k EDX 86c, 2.0 vs.

2.5k EDZ 86/87 1x2c spds, 2.0

+18k EDM'19 82 straddles, 51.5 vs.

-EOM 78/86 strangles, 12.0, 39.5db

+2k EDM'20 81 straddles, 81.5

-55k EOZ 85c vs. +EOZ 81/82p spds, 1.0-0.5cr

+2lk EOZ 81p, 2.5

4.65k EOM 78/81 3x2p spds, 8.0 vs. 98.575/0.52% vs.

4.65k EOM 76/80 3x2p spds, 16.0 vs. 98.015/0.20%

2.5k EOH 86/87c strip, 6.0

-2.5k EOM 75/76/77/78p condors, 4.0

+2k EOF 83 straddles, 23.0 vs.

-4k E2X 82 straddles, 21.5

+2k EOF 82 straddles vs.

-E3X 78 straddles, 3.5cr

2k EOZ 77/90 R/R, 0.0c ovr

+6k E2Z 70/72p spds, cab

-10k E3Z 78/81 strangles, 19.0 vs. 98.00/0.08%

+8k E3V 81c, 5.0 vs. 98.01/0.30%

+3.5k E3Z 70/75p spds, 1.5

Tsy options

-5k TYZ 123/130 strangles, 1 vs.

TYV 125+/127+ strangles

2.7k TYV 127/128/129c flys, 13

-2k TYZ 128+c vs. 1k TYZ 125+p, 27

1.5k TYV 125.7/126.2p spds, 6

1.4k USX 142/146 3x1p spds, 1

4k TUZ 108.2/108.3/108.6c flys, 0.0

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

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