It's no mystery that bond markets have been remarkably flat this holiday season.  While the absolute range in 10yr yields during that time has been 2.12 to 2.36, very little trading has transpired near those boundaries.  More importantly, regardless of spikes in either direction, the medium term moving averages (1-4 months) have all flattened out between 2.20 and 2.23.  

As is always the case with moving averages, the shorter the averaged time period, the more reactive the line will be to movements in the underlying security.  In other words, a 21 day moving average is going to more closely mimic actual movements in 10yr yields than an 80 day moving average.  It's notable, then, that even the 21 day  moving average plateaued in mid November and hasn't really budged despite several instances of volatility in bond markets.  It's recent flatness is something normally only seen in longer term averages. 

2015-12-22 Range Trade

Today is the busiest day of the week for economic data with Incomes/Outlays, Durable Goods, New Home Sales and Consumer Sentiment.  Of those, Durable Goods has the most street Cred.  Not only that, but Consumption data (the "outlays" part of the incomes/outlays report) was inadvertently released last night, ahead of this morning's 830am print time.  Markets didn't care in the overnight session just as they likely wouldn't have cared at 830.  Bonds are clearly trying to consolidate around some end-of-year target, and that trend will continue unless we unexpectedly find a major source of inspiration.  Economic data is unlikely to fill such a role.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
99-26 : +0-00
FNMA 3.5
102-30 : +0-00
FNMA 4.0
105-18 : +0-00
Treasuries
2 YR
0.9810 : +0.0040
10 YR
2.2530 : +0.0140
30 YR
2.9780 : +0.0140
Pricing as of 12/23/15 7:30AMEST

Tomorrow's Economic Calendar
Time Event Period Forecast Prior
Wednesday, Dec 23
7:00 Mortgage Market Index w/e 419.4
8:30 Consumption, adjusted mm (%)* Nov 0.3 0.1
8:30 Personal income mm (%) Nov 0.2 0.4
8:30 Durable goods (%)* Nov -0.6 2.9
10:00 New home sales-units mm (ml)* Nov 0.505 0.495
10:00 U Mich Sentiment Final (ip) Dec 92.0 91.8