-
Policy
Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM POLICY: -
EM Policy
EM Policy
Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
LATEST FROM EM POLICY: -
G10 Markets
G10 Markets
Real-time insight on key fixed income and fx markets.
Launch MNI PodcastsFixed IncomeFI Markets AnalysisCentral Bank PreviewsFI PiFixed Income Technical AnalysisUS$ Credit Supply PipelineGilt Week AheadGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance CalendarsEZ/UK Bond Auction CalendarEZ/UK T-bill Auction CalendarUS Treasury Auction CalendarPolitical RiskMNI Political Risk AnalysisMNI Political Risk - US Daily BriefMNI Political Risk - The week AheadElection Previews -
Emerging Markets
Emerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
-
Commodities
Commodities
Real-time insight of oil & gas markets
-
Credit
Credit
Real time insight of credit markets
-
Data
-
Global Macro
Global Macro
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
Global MacroDM Central Bank PreviewsDM Central Bank ReviewsEM Central Bank PreviewsEM Central Bank ReviewsBalance Sheet AnalysisData AnalysisEurozone DataUK DataUS DataAPAC DataInflation InsightEmployment InsightGlobal IssuanceEurozoneUKUSDeep DiveGlobal Issuance Calendars EZ/UK Bond Auction Calendar EZ/UK T-bill Auction Calendar US Treasury Auction Calendar Chart Packs -
About Us
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessUS TSYS TRIM POST-JOBS/AHE LOSS INTO LONG US HOLIDAY WEEKEND
US TSYS SUMMARY: Treasuries prices ended Friday well off day's lows, after
a morning selloff on Sept. jobs report, which had a very weak hurricane-affected
-33K NFP but also a 0.5% Avg Hrly Earnings and a lower 4.2% jobless rate. (The
negative -33K was first negative jobs report reading since 2010.)
- Tsys had swift fast money sales on AHE, then foreign central banks and real
money bought the initial dip, which stabilized the market. Tsys saw strong long
end sales, as the 30Y bond hit 2.9322% before receding to 2.906% by 3pm ET.
- Tsys had late morning safe-haven bounce amid chatter, unconfirmed, of
potential N.Korea missile test, position-squaring into long US Columbus Day
holiday weekend. Catalonian leaders will meet Tue.
- Fed rate hike probability for Dec.13 FOMC mtg rose to 83.5%. Other flows:
5/30Y flatteners, 10/30Y steepeners, brief dip buying, short-cover; black-box
program buying on weak US$/yen midmorning.
- US SWAPS: Spreads ran mixed by closing bell, wings tighter vs. wider
intermediates.
- TSYS 3PM ET: 2Y 1.512%; 3Y 1.649%; 5Y 1.969%; 7Y 2.200%; 10Y 2.370%, 30Y
2.907%
US TSY FUTURES CLOSE: Tsy futures trades weaker by the close, well off post data
lows on rather modest volume for a headline data release. Dallas Fed Kaplan
concurred weak NFP due to hurricane effect. Late morning risk-off/safe-haven
bounce: North Korea missile test chatter, position squaring ahead extended US
holiday wknd, Catalonia leaders meet early next wk. Current futures levels:
* Dec Ultra bonds down 10/32 at 163-25 (162-29L/164-09H)
* Dec 30-yr Bond futures down 11/32 at 151-29 (151-07L/152-12H) * Dec 10-yr
futures down 4/32 at 125-01 (124-22.5L/125-07H)
* Dec 5-yr futures -2.75/32 at 117-09.75 (117-03.75L/117-13.75H)
* Dec 2-yr futures -1/32 at 107-24.5 (107-23.5L/107-25.75H)
US EURODLR FUTURES CLOSE: Lower across the strip, off post data lows to near
mid-range on decent volume. Heavy front end selling as mkt prices in increased
rate hike probability for Dec'17 and Mar'18, 83.5% and 38% respectively. Current
White pack (Dec'17-Sep'18):
* Dec'17 -0.015 at 98.485
* Mar'18 -0.020 at 98.355
* Jun'18 -0.015 at 98.255
* Sep'18 -0.015 at 98.175
* Red pack (Dec'18-Sep'19) -0.020-0.030
* Green pack (Dec'19-Sep'20) -0.030
* Blue pack (Dec'20-Sep'21) -0.025-0.020
* Gold pack (Dec'21-Sep'22) -0.020-0.010
US SWAPS: Spds running mixed by the bell, wings tighter vs. wider intermediates,
long end off midday wides. Quiet early flow included small payer in 2s (1.7911%)
and 2/5/10y fly, paying the belly, 179.4 DV01. by midday, small payer in 2s
(1.7911%) and 2/5/10y fly, paying the belly, 179.4 DV01, small receivers 5s and
10s. No deal-tied flow. OTC vol lower across the surface on light volume. Mixed
exchange traded option flow, puts two-way with some profit taking, call volume
picking up. Latest spread levels:
* 2Y -0.19/27.00
* 5Y +0.19/8.25
* 10Y +0.25/-4.25
* 30Y -0.06/-32.56
OUTLOOK: *** Data/speaker calendar (prior, estimate):
- Oct 07 Bstn Fed Rosengren 84th Intl Atl Eco Conf; Montreal 1145ET
- Oct 10 Annual IMF Meeting in Washington D.C.
- Oct 10 Sep NFIB Small Business Index (105.3, --) 0600ET
- Oct 10 07-Oct Redbook retail sales m/m (0.0%/--) 0855ET
- Oct 10 MinnFed Kashkari Rgnl Econ Cndtns Conf, Minneapolis 1000ET
- Oct 10 Oct IBD/TIPP Optimism Index (53.4, --) 1000ET
- Oct 10 Aug JOLTS job opn (6.17M/--), quits rate (2.2%/--) 1000ET
- Oct 10 Sep ETI (134.62/--) 1000ET
- Oct 10 Oct NY Fed expectations survey 1100ET
- Oct 10 US Tsy $35.0B 4-Week Bill auction 1130ET
- Oct 10 US Tsy $20.0B 52-Week Bill auction 1130ET
- Oct 10 US Tsy $42.0B 13-Week Bill auction 1130ET
- Oct 10 US Tsy $36.0B 26-Week Bill auction 1130ET
- Oct 10 Sep Treasury Allotments (final) 1500ET
- Oct 10 Dal Fed Kaplan Q/A Stanford Inst, EcoPol Rsrch Mtg Q/A 2000E
Eurodollar/Treasury option summary
Eurodollar options,
Blocks:
0548ET
5k EDM 81/82p spds, 5.0
0757ET
6k EOH 76/77/78p flys
0904ET, adds to screen trade
10k EOH 77/78 3x2p spds, 3.0
0917ET
12.5k EOF 80/81/82 2x3x1p flys, 5.5
Pit/screen:
+25k EDZ 82p, cab
-25k EDZ 87c, 3.0 vs. 98.475
+15k EDZ 85/86/87c flys, 1.75
5k EDM 81/82p spds, 5.5
-5k EDX 85/86 1x2c spds, 1.0
-15k EDU'20 77 straddles vs.
EOU 72/82 strangle, 64.0 net
--------------------------------
-20k EOM 81/82p spds, 5.5
+12.5k EOZ 80p, 4.5
10k EOH 77/78 3x2p spds, 3.0, also Blocked
-10k EOZ 80/81p spds,1.0
10k EOF 77/80 2x1p spds, 5.5
7.5k EOZ 82/83/85c trees, 1.0
7.5k EOH 78/80 3x2p spds
5k EOX 78/80p spds, 2.5
3k EOV 80p vs. EOV 82c
--------------------------------
5k E2Z 72/76p spds, 2.5
5k E2Z 77/78c spds, 7.0
--------------------------------
-65k E3M 73/76p spds, 9.5
-3.5k E3X 78 straddles, 16.5
Tsy options
Pit/screen:
+63k EOX 124p, 8-12
+10k TYX 126+c, 5
-5k TYX 124p, 13
4.5k TYX 124+/125p spds, 15
+4k TYZ 123/124p spds, 15
3.2k TYX 123.7/124+p spds, 13
2.1k TYZ 124+/127 strangles, 46
2k TYX 124/125 2x1p spds, 13
2k TYZ 128/129/130c flys, 1
1.5k TYZ 122/123/124p flys, 7
1.2k TYZ 123+/126+ strangle w/
TYZ 124/126 strangle, 112
1k TYX 124/125 2x1p spds, 13
--------------------------------
1k FVX 116.2/116.7/117.2 2x1x1p trees, 7
1.5k wk2 FV 117/117+ 2x1p spds, 10.5
--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com
[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.