Yesterday saw a fairly noticeable swoop lower in bond prices (higher in yields) at the 3pm CME bond pit close.  While we live in an increasingly electronic age and while electronic Treasury trading continues after 3pm, there is an appreciable amount of electronic trading that remains tied to the pit trading hours for various reasons. 

The point is that 3pm is "the close" for Treasuries, even though numbers continue to flash on the screen until 5pm.  If you have any doubts or reservations about the significance of 3pm on month/quarter-end, here's a chart of Treasury futures volume from yesterday:

It's always interesting to watch Treasuries on month/quarter-end to see if we can glean anything about how longer term trading positions might change in the new month.  In both May and June, there was a forceful taking of positions as the months began.  If we look hard enough for clues, we can make some small case for them showing up as early as the last day of the previous month.  April was a bit of an anomaly due to the European influence, but even then, we still generally had a month-end session where yields found what would ultimately be a resistance level early in the day.  From there, we either see that resistance (think "floor") firmly hold it's ground, or we see yields move quickly higher after 3pm. 

Sadly, all three examples make a similar case for short sellers (mean people who want rates to rise) lining up to push yields higher at the start of the new month.  I don't think we can ever know that such a thing is a foregone conclusion based on the last day of the previous month, but we can all agree there are risks of breaking the wrong side of the range (2.47 in the chart below) if data is strong enough.  That would go a long way toward confirming another bad start to a new month.  The big opportunity (apart from weak data potential) is that European yields are right on the edge of their inflection point as well--even more aggressively, in fact.  If they break lower, it could signal the start of a good month (or at least a good day or week!).