Despite an abundance of seemingly relevant economic data, volumes are merely on pace with yesterday, which was the slowest session in more than 3 months.  With GDP coming in much stronger than expected, it may well seem like the data is motivating the price movements.  Unfortunately, when participation is as light as it is today, we have no way of conclusively knowing if this is simply where bond markets would have ended up anyway. 

The best evidence for that is the utter lack of a meaningful reaction to the GDP data in it's immediate wake.  When economic data has a big impact on bond market trading, we'd normally see a big pop in movement and volume that gradually declines.  Instead, we saw a modest pop and immediate return to sideways trading and holiday-light volumes. 

It wasn't until 9:06am that activity began to increase.  This isn't some sort of magical delayed reaction to GDP.  It's "something else."  Whether that happens to be incidental year-end housekeeping among bond traders, or a concessionary preparation for the afternoon's 5yr auction (which is expected to be challenging for bidders), we can't know.  All we can be sure of is that markets aren't reacting to data.  Yields have yet to challenge last week's 2.23 support, so after yesterday's 2.15 bounce, today's weakness is still rangebound in the bigger picture.  In terms of MBS, we bounced at 100-26 in Fannie 3.0s compared to last week's 100-24 supportive bounce--also rangebound.