Early Close; Light Volume and Month-End Volatility

The early-close trading session at the end of any given year is notoriously volatile.  As always, this volatility can be good or bad for bonds.  Today's version is shaping up to be bad, with some help from the stronger Chicago PMI data.  

Econ Data / Events
    • Chicago PMI
      • 44.9 vs 40.0 f'cast, 37.2 prev
Market Movement Recap
10:12 AM

moderately weaker overnight with additional losses after Chicago PMI data.  MBS down 3/8ths and 10yr up more than 7bps at 3.892.

12:30 PM

Weakness continues into the PM hours with MBS down roughly half a point.  10yr up 8.3bps near session highs of 3.90%

01:12 PM

Nice little bounce at the 1pm CME close--all due to month/year-end position squaring (i.e. no headline or data-based motivation).  10yr dropped all the way to 3.836, but is bouncing back up to 3.856 now.  MBS down 3/8ths instead of a half point.

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