MBS RECAP: Another Unofficial 3-Day Weekend (Still in Progress)


Posted To: MBS Commentary

This happens from time to time on Mondays. Either due to a holiday overseas or some other distraction, a data-free Monday ends up being a complete dud in terms of volume and volatility in the US trading session. Such was the case today, with the most obvious culprit being the market closure (scheduled) in London–a critical hub for overnight trading activity in Europe, at least as far as US Treasuries are concerned. Case in point, this was the lowest volume day of the year for 10yr Treasury futures. Amid light volume, any given trader has a bigger-than-normal impact on prices/yields because their dollars constitute a bigger-than-normal piece of the day's pie. Even with that in mind, the trading range was quite narrow. The illiquidity allowed the 8:20am CME crowd to have a visibly positive…(read more)

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