US 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$]