Another swing and another miss for today's economic data.  It had an opportunity to kick start what stands a good chance to be a fairly big move in multiple markets.  At the heart of that potential volatility is the Fed--particularly last week's comments from Vice Chair Fischer which highlighted the current 2-week time frame as having some bearing on whether or not the Fed hikes rates in September.  NFP weeks are clearly big data weeks, and a September Fed rate hike would clearly be a big event.  Connecting the dots, it's reasonable to assume any major commentary from data will be taken as a cue for the Fed to hike or hold off.

In other words, if the employment data were to come in much stronger than expected, markets would brace (more than they already have) for a Fed rate hike.  If NFP is much weaker than expected, the market result is a bit less intuitive, but likely positive for bonds.

Whatever the reaction we see from NFP, today's ADP data had a chance to get it started.  But markets didn't do much with the 190k vs 201k result.  It is somewhat interesting to note that what little activity we saw after ADP was weaker for bonds.  This might suggest the bar is set fairly high for negative data to dissuade the market's perception of the Fed's stance. 

By the end of the day, we'd seen a big swing (relative to the narrow range) back to the highs of the day, and another big swing back to post ADP levels.  The damage remained contained with MBS only losing about an eighth of a point and 10yr yields up 2.8bps.