This morning's Retail Sales report definitely didn't help make the case for a bond market rally.  It's not that it beat expectations by much (only .3 vs .2 forecast), but there were few, if any weak points, and the previous month's core reading was revised up to 0.0 from -0.2.  Both before and after that data, Treasuries and MBS were drifting into weaker territory.  The only hint of the eventual reversal was the strong bounces at key support levels.  This suggested buyers were waiting for cheap enough entry points.

After waiting out the rest of the morning's data and the European stock market close, those buyers showed their hands.  The first wave of buying came at 10am.  It actually began as early as 9:55am after the Consumer Sentiment data.  That's counterintuitive because sentiment was higher than expected, but the buzz focused on the inflation expectations, which plunged to 4-year lows.

That initial leg of the rally got bonds back to breakeven levels on the day, but no further.  The next leg happened right after 11:30am when EU stock markets closed, taking bonds back into positive territory on the day.