Heading into the 1pm early close of the CME pit, selling ramped up aggressively in Treasury futures, but without serious volume. Even though this was only good for just over a bp of movement in actual yields, it brought 10’s back to their highest levels since the 8:30am economic data and put a slight amount of pressure on MBS.
Right at the close, big month-end buying came in just before the buzzer, signaling to markets that the selling was a positioning push to pave the way for the buying and 10’s were free to maintain the existing micro-range between 1.85 and 1.862. And so they have. In other words, the brief move weaker heading into 1pm was a “false alarm” of sorts, and we can log another vote in favor of “sideways.”
MBS bounced in their micro range of 103-02+ to 103-05 and are currently 103-04. Very uneventful month/quarter-end day so far, and only 40 minutes left before the early close for the rest of the bond market.