After stringing together 8 sessions closing unchanged or improved vs the previous close, Treasuries and MBS both gave up some ground on Thursday.  We also saw a bit of a clash between the morning data and European headlines to determine which had more right to move markets.  For the Euro and for stock markets, it was clearly the Spain news around noon, while bond markets seemed preoccupied with stronger-than-expected Jobless Claims. 

The latter came as a bit of a surprise to the conventional wisdom that views Durable Goods as the more significant piece of data, but the logic would be consistent with the Fed's ever-more-clearly-delineated stance on QE being tied to employment.  We've moved from Fed generalities about employment being important a few months ago to the present day where several Fed speakers have recently laid out hypothetical specific targets for unemployment, under which QE3 would cease or wind down.

This raises the obvious question: "so... what's going on today that might speak to employment?"  We can first narrow down best-bets based on timeliness.  To that end, the September reports later in the morning trump the August reports in the 8:30 time slot.  It's not that the mighty consumer spending report isn't important.  Indeed a surprising result has plenty of potential to move markets, but by the time we account for the fact that it has no employment component, it's older timestamp costs it the "most likely market mover" title.

What Incomes and Outlays (consumer spending, essentially) lacks, Chicago PMI makes up for.  Yes, Chicago PMI.  Although it's relevance can be hit or miss, it is at least timely, and it contains an employment component.  Printing near the end of the month, it historically serves as one of the first reasonably correlated pieces of data with the Employment Situation Report that generally follows shortly thereafter on the first Friday of the following month.  Let's go to the chart:'

Apart from the domestic economic data in the morning, today is also the end of the month and the quarter.  This can create a lot of behind-the-scenes motivations for buying (and selling) to adjust month-end portfolios and/or balance sheets.