US TSYS WEAKEN ON TECHNICALS, SOFT 30Y SALE, PRE-CPI NERVES

     US TSYS SUMMARY: Treasuries end lower Wed after soft $12B 30Y bond

reopening auction, and after technical weakness and 2-way trading. Traders had

caution into Thu CPI; MNI had median estimates for 0.3% August CPI and 0.2% Core

CPI. 

- Tsy 30Y auction tailed mildly to 2.790% with fairly weak 58.8% indirects,

fairly strong 6.82% directs, leaving mildly large 34.4% for dealers. 

- Tsys, rates opened NY mixed, long end outperforming, then technicl selling,

pre-auction shorts, limited dip buying on tame 0.2% Aug PPI,0.1% Core PPI.

Sellers appeared to be more US than foreign accounts, said traders. Stronger

US$/yen fueled some selling with fast$ and real$ sellers adding to deal-tied

hedging in intermediates to long end. Mild rate paying in 2Y-10Ys. 

- Option-tied sales arose in US Eurodlr futures into Fri Sep qrtrly futures and

options expiry. Late large sale of Eurodlr futures: 28,000 sold in Sep'17

98.672. 

- Tsy futures late block at 2:30pm ET: sale 5,800 FVZ at 118-08; earlier block

of 5,000 TYZ at 126-16.5. 

- US TSYS 3PM ET: 2Y 1.355%, 3Y 1.485%, 5Y 1.772%, 7Y 2.010%, 10Y 2.194%, 30Y

2.793%.

US TSY FUTURES CLOSE: Lower across the curve, off late session lows amid flurry

of selling in 5s and 10s. Futures had held to a narrow range/off lows after the

$12B 30Y auction reopen, mild tail at 2.790%, the third tail this week. Equities

near steady (emini -0.75, 2493.5), gold weaker (-9.34, 1322.47), oil stronger

(WTI +1.12, 49.35). Current futures levels: 

* Dec Ultra bonds down 17/32 at 167-05 (167-02L/168-04H) 

* Dec 30-yr Bond futures down 14/32 at 154-26 (154-25L/155-18H) 

* Dec 10-yr futures down 6/32 at 126-14.5 (126-14L/126-25H) 

* Dec 5-yr futures down 4.5/64 at 118-06.5 (118-06.5L/118-13.25H) 

* Dec 2-yr futures down 1.25/32 at 108-03.5 (108-03.25L/108-05.25H

US SWAPS: Off early session narrows, spds ratcheted wider by late morning, wings

on wides late, 10Y expanding late as well, late payers in 5s and 10s on light

size, receiver in 7s. Deal-tied flow in the mix after modest rate paying in

short end earlier. OTC vol off lows as underlying rates made new session lows

late. Latest spread levels: 

* 2Y +1.19/24.19 

* 5Y +0.31/7.31 

* 10Y +0.81/-4.06 

* 30Y +1.00/-34.12

US EURODLR FUTURES CLOSE: Lower, at/near session lows on narrow range by the

close, large late seller -28k Sep'17, 98.672 -- Sep futures and options expire

Friday. Current White pack (Sep'17-Jun'18): 

* Sep'17 -0.002 at 98.672 

* Dec'17 -0.010 at 98.575 

* Mar'18 -0.020 at 98.495 

* Jun'18 -0.025 at 98.440 

* Red pack (Sep'18-Jun'19) -0.025-0.035 

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

* Blue pack (Sep'20-Jun'21) -0.030-0.025 

* Gold pack (Sep'21-Jun'22) -0.030-0.025

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

- Sep 14 09-Sep jobless claims (298k, 310K) 0830ET

- Sep 14 Aug CPI (0.1%, 0.3%) 0830ET

- Sep 14 Aug CPI Ex Food and Energy (0.1%, 0.2%) 0830ET

- Sep 14 10-Sep Bloomberg comfort index 0945ET

- Sep 14 08-Sep natural gas stocks w/w (+65Bcf, --)1030ET

- Sep 14 13-Sep Fed weekly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options,

Pit/screen:

5k EDZ 87c, 0.75

3k EDV 85 straddles, 9.0

-34k EOZ 78/80/81p trees, 0.75

+15k EOX 82p, 4.0 vs. 98.335/0.20%

15k EOH 80/81p spds, 3.5 vs. 98.26/0.10%

+10k EOU 83/85c strip, 5.0

5k EOZ 81/82p spds

4k EOZ 78/80/81p trees

4k EOU 85/E2U 82c spds, 1.0

2.5k EOH 82c, 17.0

+2.5k EOX 80/81p spds vs.

-E2Z 77/80p spds, 4.0 cr

2k EOX 86c, 1.0

2k EOZ 80/81/82p trees, 2.0 w/

E3Z 70p, 0.5/2.5 total

+2k EOX 80/81p spds, 1.0

-2k EOZ 85/86 1x2c spds w/E3Z 88c, 1.0 cr

-2k EOH 82/E2H 80 straddle spds, 10.0

+2k EOZ 80p, 1.5

+20k E2X 77/83 R/R, 1.5c ovr

-5k E2X 81 straddles, 20.0

+5k E2U 82/83c strip, 1.5

3k E2Z 80p, 7.5 vs. 98.125/0.34$

3k E2X 78p, 2.0

2.5k E2Z 76/77/78/80p condors

2k E2Z 77/80p spds, 5.0

+8k E2U 82c, 1.5 vs. 98.225 vs.

E3U 80p, 1.0 vs. 98.045, 0.5 net

5.5k E3U 80p, 1.0

-5k E3X 80 straddles, 22.5

1.4k E4U 75/77/80 1x3x2c flys, 4.5

Tsy options

Pit/screen:

9k TYV 126p, 6

-7.8k TYZ 133c, 2

6.5k TYX 128+c, 10

6k TYX 126.2p, 10

-4k TYV 127.2c, 8

3k TYX 125/126/127p flys, 15

-2k TYV 126/126.7p spds, 18

2k TYZ 126+ straddles, 148

2k TYZ 125p, 20

1.5k TYX 126p, 25

1.2k TYX 126+ straddles, 44

-15k FVX 119+c, 4

1.15k FVZ 119/120/121c flys

1k FVV 118/118.2p spds

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

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