US TSYS: TSYS WEAKER ON STRONG MAY JOBS, UNEMPLOYMENT DATA

US TSY SUMMARY: Rates held lower levels in second half, well off early session

lows amid modest two-way on net, better short cover/profit taking after May NFP

came out stronger than expected (+223k vs. +194k est), AHE +.3%, unemploy rate

-.1 to 3.8% -- lowest in 18 years. Debate over whether Pres Trump telegraphed

positive report in tweet prior to formal release. Otherwise, rates were under

pressure on back of Italian political risks cooling (though Turkey may be

heating up again).

- USD index firmer (DXY +.212 94.191; US$ vs. Yen +0.71, 109.53); stocks

stronger (emini +25.5, 2731.0); gold weaker (XAU -5.09, 1293.43); West Texas

crude weaker (WTI -1.32 to 65.72).

- Implied vol decline as range set early, quiet trade ahead weekend, Fed media

blackout begins at midnight and goes through Jun 13, day after next rate annc.

Eurodlr futures under pressure, re-pricing increased rate hike chances after

June FOMC (after Tue's sharp drop), total of four hikes in 2018 viewed more

positively. Tsy cash/ylds: 2Y 100-01.8 (2.468%), 5Y 100-01.5 (2.738%), 10Y

99-26.5 (2.893%), 30Y 101-18.5 (3.043%).

US TSY FUTURES CLOSE: Fell early today in reaction to Pres Trump's "suggestive"

tweet regarding the unemployment rate prior to the data's release. The data

proved to be better than expected which caused a bigger drop in US Tsy's.

Futures popped to session highs post ISM Data however traders faded the post

data move and they ended the day near the middle of the range, curves

flattening, update:

* 2s10s -0.339, 42.373 (44.801H/41.564L);

* 2s30s -2.033, 57.356 (60.909H/56.399L);

* 5s30s -2.623, 30.124 (33.177H/29.545L);

Current futures levels:

* Sep Ultra bonds down 1-19/32 at 157-29 (157-04L/158-19H)

* Sep 30-yr Bond futures down 1-04/32 at 144-00 (143-14L/144-19H)

* Sep 10-yr futures down 19/32 at 119-27 (119-19L/120-08H)

* Sep 5-yr futures down 11.75/32 at 113-16.75 (113-12L/113-25.75H)

* Sep 2-yr futures down 04.25/32 at 105-31.5 (105-30L/106-03H)

US EURODOLLAR FUTURES CLOSE: Lower prior to todays data release in reaction to

Trumps tweet regarding the unemployment number, not so long later the data

proved to be better than expected which moved futures even lower. Since the

release, futures have pared loses which remain in the middle of the range at the

close. Current White pack (Jun'18-Mar'19):

* Jun'18 -0.0050 at 97.6725

* Sep'18 -0.030 at 97.535

* Dec'18 -0.050 at 97.390

* Jun'19 -0.065 at 97.290

* Red pack (Jun'19-Mar'20) -0.085-0.070

* Green pack (Jun'20-Mar'21) -0.090

* Blue pack (Jun'21-Mar'21) -0.085-0.080

* Gold pack (Jun'22-Mar'22) -0.075

US DOLLAR LIBOR: Latest settles,

* O/N +0.0004 to 1.7120% (+0.0048/wk)

* 1 Month +0.0040 to 2.0047% (+0.0281/wk)

* 3 Month -0.0034 to 2.3178% (-0.0003/wk)

* 6 Month +0.0007 to 2.4744 (-0.0074/wk)

* 1 Year +0.0060 to 2.7241% (-0.0072/wk)

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

* Secured Overnight Financing Rate (SOFR): climbs to 1.81% vs. 1.72% prior,

$872B

* Broad General Collateral Rate (BGCR): up to 1.78 vs. 1.70%, $392B

* Tri-Party General Collateral Rate (TGCR): up to 1.78% vs. 1.70%, $372B

US SWAPS: Spds running mixed by the bell, off 2s-10s off tighter levels late.

Decent pots data volume included receiving in 2s (>$700M from 2.7365-2.7290%),

receivers in 3s and 5s, $650M payer unwind in 1s at 2.573%, mild paying in

7-10s, $276k 4Y-5Y-10Y Fly, receiving the belly. Volume evaporated in second

half, no significant supply hedging to add. Latest spd levels:

* 2Y  -0.50/26.06

* 5Y  -0.38/13.12

* 10Y +0.06/5.31

* 30Y +0.94/-7.81

PIPELINE: Texas Instruments, Moodys rounds out light week of issuance

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

06/01 $200M #Texas Instruments Tap 2048 4.15% +93

06/01 $300M #Moodys 3Y +70

- 

No new issuance Thursday

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

- Jun 04 May ISM-NY current conditions (64.3, --) 0945ET

- Jun 04 Apr factory new orders (1.6%, --) 1000ET

- Jun 04 Apr factory orders ex transport (0.3%, -0.5%) 1000ET

- Jun 04 May ETI (108.08, --) 1000ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

Block, 13:22:00ET

* 30,000 Mar 70/71 put sprd at 11.5 vs 9730/0.12%

* +15,000 TYU 124.5 calls, 4/64 on screen

* 8,000 Dec 75/76 put sprd at 9.5

UPDATE: Total 18,000 Short Dec 66/67/71 put tree for 11.5 vs 9707-08/0.14%

* 3,000 Short Jun 72 Straddle at 11.5 vs 972032%

UPDATE: Total 15,000 Long Red Sep 65/67 3x1 put sprd at 0

UPDATE: Total 13,000 Long Red Dec 66/68/71 put tree at 4 vs 9706/0.08%

* 5,000 Long Red Dec 66/68/71 put tree at 4 vs 9706/0.08%Block, 10:45:11ET

* -5,500 Green Pack EDZO-EDH1 for -0.0875

* 3,000 Long Red Jun 67/70 put sprd at 6.5 vs 9719.5/0.19%

* 5,000 Dec 71/72 put sprd at 3.5 vs 9737/0.10%, note earlier trade 2.5k Dec at

3

UPDATE: Total 35,000 Green Jul 76 calls at 1 vs 9705/0.10%

* 25,000 Green Jul 76 calls at 1 vs 9705/0.10%

* 5,000 Long Red Jun 68/70 put sprd at 4 vs 9719/0.10%

* 2,000 Green Dec 73/76 call sprd at 4.5 vs 9704/0.10%

UPDATE: Total 5,000 Green Dec 66/77 2x1 put sprd vs Green Dec 78 call for net

11, note

earlier blocks of 15k at net 9 and 5k at 10.5

* 10,000 Short Dec 66/67/71 put tree for 11.5 vs 9707/0.14%

* 6,500 Short Jun 73/75 call sprd at 0.5

* 10,000 Short Jun 71 put at 2.5 vs 9718/0.30%

UPDATE: Total 46,000 Short Sep 71 put at 13 vs 9712.5/0.50%, including 30k total

blocks

UPDATE: Total 7,000 Long Red Sep 65/67 3x1 put sprd at 0

UPDATE: Total 4,500 Green Sep 66/73 call over risk reversal at 1 vs 9700/0.33%

Block, 09:38:29ET

* 17,250 Green Dec 65/66/71 put tree at 15.5 vs 9704/0.17%

Block, 09:35:00ET

* 20,000 Short Sep 71 put at 13 vs 9712.5/0.50%, adding to recent 10k block and

Block, 09:26:45ET

* 10,000 Short Sep 71 put at 13 vs 9712.5/0.50%

     09:31 06/01 EDT US EURODLR OPTIONS: Latest trades,

* 5,000 Mar 68/70 2x1 put sprd at 0.5

* 5,000 Green Dec 66/77 2x1 put sprd vs Green Dec 78 call for net 10.5, note

earlier blocks of 15k at net 9

* 3,600 Short Sep 71 Straddle at 26

* 3,500 Green Sep 66/73 call over risk reversal at 1 vs 9700/0.33%

UPDATE: Total 12,000 Long Green Jun 61/63 2x1 put sprd at 0, note 7k traded

yesterday

* 5,000 Long Green Jun 61/63 2x1 put sprd at 0

* 5,000 Oct 72/73 3x2 put sprd for net 

* 3,000 Mar 68/70 5x4 put sprd at 6.5

* 2,500 Oct 71/72 put sprd at 2

* 2,500 Dec 71/72 put sprd at 3

Blocks

* 15,000 Green Dec 66/71 2x1 put sprd vs Green Dec 78 calls for net 9-10 on

package

Tsy options, Pit/screen:

* +15,000 TYU 124.5 calls, 4/64 on screen

* 4,000 TYQ 118/119 2x1 put spds, 4/64

* 3,000 TYN 121/122 1x2 call spds, 3/64 vs. 120-00/0.05%

* 2,000 wk2 TY 119.2/119.7 put sds, 11/6

* 1,000 TYQ 119.5 straddles 1-9/64 over the TYU 118 puts

* 3,100 TYN 118.5/121 put over risk reversals, 0.0 vs. 119-23/0.23% earlier

Latest Block, 0946:41ET -- Not showing up on Bbg monitor

* 12,500 FVN 114/115 call spds, 2.5

* 2,500 FVQ 112.5/1132x1 put spds, 1/64 vs. 113-11.5/0.05%

* 2,950 TYN 118/119 put spds, 9/64

* 1,000 TYQ 119.5 straddles, 1-28/64, TYU straddles at 1-50/64

* 1,500 TYN 119.75 straddles, 57/64

* 1,000 TYQ 118.5/119/119.5/120 put condors, 8/64

Screen trade into the open

* just over 20,500 FVN 113 puts, 6/64

* +3,800 TYU 123/125 call spds, 5/64

* another 7,500 TYN 118.5/119.5 2x1 put spds blocks, 15k total

Block, 0734:34ET

* 7,500 TYN 118.5/119.5 2x1 put spds, 9/64 net

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

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