Most of the month of October was rotten for the bond market. Material progress on the trade deal, a leveling-off of economic data deterioration, and fears about a major shift in the Fed's policy stance all did damage (among other things). Now in the past 2 days, we have a slightly less sinister take on the Fed, the trade deal being called into question, and a new cause for concern in one of the "early indicator" economic reports (today's Chicago PMI).
Overnight gains came swiftly on the trade deal headlines and bonds didn't seem shy about maintaining the improvement heading into the domestic session, even as the stock market began to retrace its concomitant move. When PMI hit, bonds were off to the races again and technical follow-through did the rest of the heavy lifting. With that, yields were down nearly 20 bps in 3 days and Fannie 3.0 MBS added nearly an entire point trough to peak.
Tomorrow brings the typically important jobs report, and a deceptively important ISM Manufacturing report (which could paradoxically be the big market mover of the day). Reason being, when we talk about Chicago PMI being an advance indicator for other data, the ISM Manufacturing PMI is one of the first reports that comes to mind.