Both in terms of implied and realized volatility, things continue to be calm for bond markets this morning. 10yr yields have held inside a range that’s just slightly wider than ONE basis point. (1.977 – 1.99) and are currently testing the lower end of that range at the moment.
When 10’s are testing the day’s lower range limits in terms of yield, MBS stand a decent chance to be testing the upper limits of their daily range. This is indeed the case with Fannie 3.5’s currently at the top of their range, up 5 ticks on the day at 103-18. Here too, we see price action very well contained so far today. Both 10’s and MBS trade inside yesterday’s post-auction highs and lows.
If any of the upcoming Fed speakers say something that moves markets, it would be a surprise. More possible is a bit of movement after the Fed’s Treasury purchases wrap up at 11am. From there, Greek PSI headlines remain a possibility, but unless that happens, markets thus far seem content to traipse aimlessly sideways at the week’s best levels.
Speaking of “week’s levels,” if we end the day in current territory, it will be as if the week never occurred as we’re currently in line with last Thursday’s closing levels.