Maybe the markets will find some sort of impetus to get directional tomorrow, but so far this week, Monday's extension of Friday's rally merely set us up to bounce back and forth within a range as we wait for all the shoes to drop. Sure, shoes have BEEN dropping already this week, but for every right-footed variety, a lefty surely follows. Case in point: AM data over the last two days, one data set gives the markets and excuse to move down in price (bond markets anyway), and the next provides just as convincing a reason to move back up (if not higher). 10+ tick swings have been the morning coffee both today and yesterday. But in both cases, closing prices were little changed from the open... Makes one wonder if any of the week's preceding data would be enough to move positions to far from "the ready" until NFP, Month End and Quarter End pass... Unless something crazy happens tomorrow, we probably won't get a chance to test that theory, thus making today's closing commentary echo with the ring of our recent ramblings... And though it may not be "all about Quarter End and NFP," it's all about quarter-end and NFP...
Recap
- ADP Employment in at -254k vs -277k revision in august. tepid data...
- Purchase apps down -6.2 % reversal of last week's positive reading. Rate average continues under 5%. Not all that historically common. Maybe your borrowers want to see the chart...
- GDP beats -1.2 consensus... comes in at -.7... Ostensible initial causality with bond losses, but given above thoughts, maybe it was just the excuse to kick off the range trade
- Corporate Profits and Chicago PMI both worse than previous and/or expected...
- S&P down about 3 points. Sold hard early... came back to tick positive for brief spell... sold hard again, rallied in final 30 minutes to 1057
- MBS continue to hold above high water mark at 101-07+, closing 3 ticks worse at 101-08
- 10yr Tsy lost 4 ticks to end at 3.30 yield, smack dab on trend-line. (please see terminology above: "at the ready")
- futures get support around 118-10 as volume swoops in the bolster prices in line with yesterday's high volume marks
- 30yr bond hit hardest, 2-7 yr all in the green (just slightly). prices down=yields up = yield curve steepened ever so slightly today.
Day's action according to the chart:
As mentioned above, both MBS and tsy's remain close to their long term horizontal trends / inflection points / fences / middle of the see saw / whatever.... Picture worth a thousand ticks...
Finally, an illustration of volume picking up as prices moved in line with yesterday's high volume "shelf." Note the red bars representing volume that have been highlighted with the yellow (yesterday) and white (today) ovals. These then point to the hour of trading to which they correspond. the overall conclusion is this: as markets received sufficient AM data to call out the volume, the volume came in with support for levels just a bit higher than high volume marks from the previous morning. This creates another, slightly higher version of yesterday's shelf... Just think of it like the proverbial runner continuing to inch away from base as he gets more comfortable with his read on the pitcher... Hope it makes good sense, if not, let me know...
Tomorrow is no data slouch, but sadly, still not NFP day...
- Incomes and Outlays at 830am
- Claims at 830am
- Bernanke at 9AM
- all manner of bond and note announcements beginning with 30yr bond at 9am, most following at 11am.
- ISM manufacturing construction spending both at 10am
- Fed Speak from Lockhart and Pianalto in the evening
MBS Market Alerts
