NFP day is fun.  It's one of those days where things can change so much and so quickly in its immediate wake, that it really doesn't make much sense to lay out specific strategy or assess the lay of the land ahead of time.  That said, let's discuss the lay of the land and some specific strategy. 

We'll do this in 10yr yields, as is the custom for lo these many years.  As a reminder for folks who may be newer to the commentary, this isn't because 10yr Treasuries dictate mortgage rates.  Rather, they are simply the best barometer we have for the broader bond market.  And it's the long-term trends in the broader bond market that are of the most importance to broader trends in MBS.  The other major problem is the roll.  If we lose 8-12 ticks in prices on the chart once a month, it makes it hard to follow along with specific levels.  Of course, we could adjust for that by simply tracking yields, but that presents an even bigger set of problems in that yields on MBS are based on subjective models with varying assumptions about prepayment speeds relative to a host of other market variables.  MBS prices are for intraday reprice risk in the current era.  If they start diverging from Treasuries (a la 2008), we'll adapt.  Until then, here are some useful technical levels to help grade today's reaction.

First off, 2.21-ish has been a battleground for a few weeks.  Note that it's only allowed yields to move through twice, and that there have been lots and lots of bounces on both sides.  Hence, if yields approach from either side and break through, it's a mark in favor of momentum in that direction.  The same is true for any of these lines, really.  The outer boundaries in this chart are where we might expect things to get stickier for a post-NFP move.  If they're not (i.e. if a rally is blowing past 2.14 or a sell-off is blowing past 2.28), that's as good a sign as any of the next trend direction. 

The major caveat there is that the first few minutes could easily see those levels broken.  If that happens, they could moderate a bit before taking another stab at challenging the technical boundary.  In the wild card bracket would be a paradoxical reaction.  For instance, if NFP beats big and bonds hold their ground by the end of the day (or better), that would be a ridiculously strong commentary on the state of the trend.  That said, I don't think this is the day where we'd see such a thing.  Unfortunately, it's a bigger risk that the numbers come in strong, and we're left with weakness in bonds.  Note: I'm not saying it's the most likely outcome, just the more likely of the two paradoxical moves, on the the off chance we see one.