First off, anything can happen on NFP days, so feel free to skip the rest of this and buckle up for the ride if you're reading this before 8:30am ET.  For those interested in some context for today's possibilities, here you go.

It used to be a certainty that NFP would decide the bond market's fate, not only in the near term, but frequently for the entire month that followed.  Recently though, not only have markets had some counterintuitive reactions to NFP (like the last one where bond markets made it almost all the way back to 'unchanged' after the big 288k NFP day on July 3rd, and rallied the entire following week).

Today stands a good chance to return to the old school NFP logic where stronger results will be fuel on the recent fire while weaker results might tame the flames.  Of course that depends on how big of a beat or a miss we see, but in general, NFP comes along right as 10yr yields are perched perfectly atop a technical fence at 2.57 (middle of the 3-month range).  So it may not take much of a push to get them to fall in either direction.  One one side of the fence, 2.47; the other side, 2.66.

2014-7-31 tsy pivot

2014-7-31 NFP

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.0
97-30 : +0-00
FNMA 3.5
101-28 : +0-00
FNMA 4.0
105-04 : +0-00
2 YR
0.5356 : -0.0034
10 YR
2.5761 : +0.0181
30 YR
3.3415 : +0.0285
Pricing as of 8/1/14 7:30AMEST

Tomorrow's Economic Calendar
Time Event Period Forecast Prior
Friday, Aug 01
8:30 Personal income mm (%) Jun 0.4 0.4
8:30 Personal consump real mm (%)* Jun -0.1
8:30 Non-farm payrolls (k)* Jul 233 288
8:30 Core PCE price index mm (%)* Jun 0.1 0.2
8:30 Private Payrolls (k)* Jul 230 262
8:30 Unemployment rate mm (%)* Jul 6.1 6.1
8:30 Manufacturing payrolls (k)* Jul 15 16
8:30 Average workweek hrs (hr)* Jul 34.5 34.5
8:30 Average earnings mm (%) Jul 0.2 0.2
10:00 ISM Manufacturing PMI * Jul 56.0 55.3
10:00 Construction spending (%)* Jun 0.5 0.1