Whereas humans might feel sleepy after a big holiday meal, the bond market often feels that way for the entire holiday week.  Thanksgiving week is one of the best examples of this, but what does it mean for a market to be "sleepy?"  The simplest manifestation is lower volume and volatility as traders basically try to make it through to the following week (or better yet, to the second full week of December when we'll get CPI and the Fed back to back).  But it's not as if no trading will be happening between now and then.  As such, we have to consider the ill effects of sleepy holiday trading conditions such as 2022's most common ailment for MBS: illiquidity.

It's easiest to think of

As for an MBS-specific example, this is just another friendly reminder that friends don't let friends watch the 6.0 coupon for intraday reprice risk purposes: