US TSYS: TSY FUTURES CLIMB AS EQUITIES CONTINUE FALL

US TSY SUMMARY: Tsy trading sharply higher in the middle of a wide range; Strong

volume (TYH 3.01M); Curves mixed. Heavy data today led by ADP which came in

softer than expected; US Trade deficit and Nonfarm Prod. came in line with

expectations; Initial claims came in higher than expected;

-Headlines from Fed speakers,"*KAPLAN: LONGER END OF YIELD CURVE REFLECT SLOWER

GROWTH OUTLOOK-bbg" and "*KAPLAN SAYS HE'S GOING TO BE CAUTIOUS, PATIENT WITH

POLICY-bbg". Also, FED'S BOSTIC: SHOULD KEEP KEEN EYE ON DATA IN NEXT 6-12

MONTHS and 'WITHIN SHOUTING DISTANCE OF NEUTRAL' 

-Equities down again today(emini -35.75, 2666.00) with a low of 2621.25 -Oil

down after morning headlines, "*FALIH SAYS 500K-1.5M B/D OUTPUT CUT HAS BEEN

PROPOSED-bbg" and "*OPEC HASN'T YET AGREED A DEAL ON SIZE OF OIL CUT:

DELEGATES-bbg"; WTI currently down (WTI -1.32, 51.57). -DXY has pared losses

-.260, 96.810 (96.551L/97.205H), $/Eur up +0.0030 at 1.1374, $/Yen down -0.53

112.66; Gold up (XAU +0.28, 1237.53)

-Tsy cash/ylds: 2Y 99-31.75 (2.754%), 5Y 100-19.25 (2.743%), 10Y 102-5.5

(2.872%), 30Y 104-21 (3.132%).

US TSY FUTURES CLOSE: Trading sharply higher in the middle of the range; strong

volume (TYH 3.03M); curves mixed; update:

* 2s10s -0.221, 11.463 (9.644L/14.432H);

* 2s30s +0.184, 37.781 (35.305L/42.486H);

* 5s30s +0.289, 38.684 (37.035L/43.233H);

Current futures levels:

* Mar Ultra bonds up 1-05/32 at 157-07 (155-30L/158-00H)

* Mar 30-yr Bond futures up 1-01/32 at 143-06 (142-04L/143-26H)

* Mar 10-yr futures up 12.5/32 at 120-13 (120-00L/120-27.5H)

* Mar 5-yr futures up 09/32 at 113-14 (113-4.5L/113-24H)

* Mar 2-yr futures up 04/32 at 105-20 (105-16L/105-24.5H)

US EURODOLLAR FUTURES CLOSE: Trading moderately to sharply higher in the middle

of the range; Strong volume. Current White pack (DEC'18-SEP'19):

* DEC'18 -0.0150 at 97.1825

* MAR'19 +0.020 at 97.165

* JUN'19 +0.035 at 97.110

* SEP'19 +0.060 at 97.085

* Red pack (DEC'19-SEP'20) +0.095-0.060

* Green pack (DEC'20-SEP'21) +0.090-0.080

* Blue pack (DEC'21-SEP'22) +0.070-0.055

* Gold pack (DEC'22-SEP'23) +0.055-0.045

     US DOLLAR LIBOR: Latest settles,

* 1 Month +0.0036 to 2.3869% (+0.0400/wk)

* 3 Month +0.0013 to 2.7671% (+0.0309/wk)

* 6 Month -0.0020 to 2.8891% (-0.0056/wk)

* 1 Year -0.0210 to 3.1119% (-0.0155/wk)

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

* Secured Overnight Financing Rate (SOFR): 2.27% vs. 2.23% prior, $892B

* Broad General Collateral Rate (BGCR): 2.23% vs. 2.22% prior, $455B

* Tri-Party General Collateral Rate (TGCR): 2.23% vs. 2.22% prior, $421B

PIPELINE: NO NEW ISSUANCE THURSDAY

     OUTLOOK: 

- Dec 07 Nov nonfarm payrolls (250k, --) 0830ET

- Dec 07 Nov private payrolls (246k, --) 0830ET

- Dec 07 Nov unemployment rate (3.7%, --) 0830ET

- Dec 07 Nov average hourly earnings (0.2%, --) 0830ET

- Dec 07 Nov average workweek, all workers (34.5hrs, --) 0830ET

- Dec 07 Dec Michigan sentiment index (p) (97.5, --) 1000ET

- Dec 07 Oct wholesale inventories (0.4%, --) 1000ET

- Dec 07 Oct wholesale sales (0.2%, --) 1000ET

- Dec 07 Q4 St. Louis Fed Real GDP Nowcast 1100ET

- Dec 07 Q4 NY Fed GDP Nowcast 1115ET

- Dec 07 Fed Brd Govs' mem Brainard, fncl stability issues, Peterson Inst Int

Economics, D.C., audience Q&A.

- Dec 07 Oct consumer credit 1500ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/Screen: 

* 5,000 Short Apr 65/66/68 put fly at 4

* 19,000 Jun 67/68 put sprd at 2 vs 9709.5/0.12%, Total 34k blocked

* 9,000 Blue Dec 70/71 put sprd at 3 vs 9715/0.30%

* +16,000 Dec 75 calls at CAB vs 21.5/0.10%

* 10,000 Mar 72/73 call sprd vs Short Apr 72/73 call sprd for net 1 BLOCK

* 10,000 Mar 70/71 put sprd at 0.5 over the 73 calls block

Total +30,000 Short Mar 72/73 call sprd at 0.5 over the Front Mar 72/73 call

sprd, adds to recent +20k Blocked

* 7,000 Green Mar 67/68 put sprd at 2 vs 9720/0.10%

* 15,000 Mar 75 calls at 1.25

* +11,000 Short Dec 72 calls at 1.5

* +22,000 Front Dec/Front Jan 72 call sprd at 2

* 6,000 Green Mar 66 puts at 1 vs 9721/0.06%

* 5,000 Short Mar 65/66/67 put fly at 0.5 vs 9712/0.10%

* 10,000 Short Dec 70/71 puts over risk reversal at 0.5 vs 9704.5/0.60%

* -4,000 Short Jan 72 calls at 3 over the 68/70 2x1 put sprd 

TSY OPTIONS:

* +2,500 TYF 121.75 calls at 7

* -2,800 FVG 112.75 puts at 10

* +10,000 FVH 114 calls at 1 over FVF 113.25 calls

* +3,000 Wk2 119.25 Straddle at 42, all day

* +4,600 TYG 124/125.5 call sprd at 2 

* +3,000 TYF 121 calls at 13 vs 11/0.26%

* -2,000 FVF 113/113.5 1x2 call sprd at 3

* -6,500 TYF 120.5 Straddle traded from 55 to 54

* +4,000 TYF 119.5/120/120.5 2x1x1 put tree at 2

* 10,000 FVG 112.75/113.50 3x1 put sprd at 0 vs FVH9 21/0.05% BLOCK

* -5,000 TYG 119 puts at 11 vs 16/0.16%

* -3,500 Wk1 FV 113.25/113.75 Risk Reversal at 0

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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