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Meaningless Year-End Volatility
Meaningless Year-End Volatility
If we turn up the magnification on our market-watching microscopes, it may seem like something important happened in the bond market overnight. 10yr yields were up by more than 3bps at one point and MBS fell just over an eighth of a point. These may seem like big swings relative to yesterday's narrow range, but this is actually a rather tame expression of year-end volatility. To understand a bit more about month/quarter/year-end trading motivations, check out our primer on the topic. 4 trading days ago, 10yr yields hit the top of the prevailing range at 4.20. Yesterday, they were close enough to the lower end of that range (4.10). Nothing that occurs inside these boundaries is remotely significant--just noise.
Moderately weaker overnight and sideways so far. MBS down an eighth and 10yr up 2.7bps at 4.135
Uneventful and Slightly Stronger
| Time | Event | Period | Actual | Forecast | Prior |
|---|---|---|---|---|---|
| Tuesday, Dec 30 | |||||
| 8:15AM | ADP Employment Change Weekly | ||||
| 9:00AM | Oct CaseShiller 20 mm nsa (%) | Oct | -0.3% | -0.5% | |
| 9:00AM | Oct FHFA Home Price Index m/m (%) | Oct | 0.4% | 0.1% | 0% |
| 9:00AM | Oct Case Shiller Home Prices-20 y/y (% ) | Oct | 1.3% | 1.1% | 1.4% |
| 9:00AM | Oct FHFA Home Prices y/y (%) | Oct | 1.7% | 1.7% | |
| 9:45AM | Dec Chicago PMI | Dec | 43.5 | 39.5 | 36.3 |
| 2:00PM | FOMC Minutes | ||||
| Wednesday, Dec 31 | |||||
| 7:00AM | Dec/26 Mortgage Market Index | Dec/26 | 299.8 | ||
| 7:00AM | Dec/26 MBA Purchase Index | Dec/26 | 169.9 | ||
| 7:00AM | Dec/26 MBA Refi Index | Dec/26 | 1084.3 | ||
| 8:30AM | Dec/27 Jobless Claims (k) | Dec/27 | 220K | 214K | |
| 8:30AM | Dec/20 Continued Claims (k) | Dec/20 | 1923K | ||
| 10:30AM | Dec/26 Crude Oil Inventory (ml) | Dec/26 | -2M | 0.405M | |
| 2:00PM | New Year's Eve | ||||
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