Some Month-End Volatility Late in The Day
Some Month-End Volatility Late in The Day
Yields were near 2 week lows 2 hours before the final trades of the day, but rose several bps after that. The initial gains were driven mainly be economic data (Chicago PMI and Consumer Inflation Expectations), but the month-end trading environment is always a wild card on month-end days. If month-end buying was a factor, it would make sense to see some pull back when monthly closing levels were marked at 1pm ET. That's exactly what we saw. Fortunately, it wasn't a big deal for bonds or mortgage lenders. In fact, the entire week was distinctly lacking in volatility. Next week is a different animal thanks to big ticket econ data on 4 out of 5 days.
Some Month-End Volatility Late in The Day
Time | Event | Period | Actual | Forecast | Prior |
---|---|---|---|---|---|
Friday, Mar 29 | |||||
12:00AM | Good Friday | ||||
8:30AM | Feb Wholesale inventories mm (%) | Feb | 0.5% | -0.2% | |
8:30AM | Feb Retail Inventories Ex Autos MoM Adv | Feb | 0.4% | 0.3% | |
8:30AM | Feb Goods Trade Balance Adv | Feb | $-91.84B | $-90.2B | |
8:30AM | Feb Personal Income (%) | Feb | 0.3% | 0.4% | 1% |
8:30AM | Feb PCE price index mm (%) | Feb | 0.3% | 0.4% | 0.3% |
8:30AM | Feb PCE (y/y) (%) | Feb | 2.5% | 2.5% | 2.4% |
8:30AM | Feb Inflation-Adjusted Spending (Consumption) (%) | Feb | 0.8% | 0.5% | 0.2% |
8:30AM | Feb Core PCE (m/m) (%) | Feb | 0.3% | 0.3% | 0.4% |
8:30AM | Feb Core PCE Inflation (y/y) (%) | Feb | 2.8% | 2.8% | 2.8% |
11:20AM | Fed Daly Speech | ||||
11:30AM | Fed Chair Powell Speech | ||||
Monday, Apr 01 | |||||
9:45AM | Mar S&P Global Manuf. PMI | Mar | 52.2 | ||
10:00AM | Mar ISM Manufacturing Employment | Mar | 45.9 | ||
10:00AM | Mar ISM Mfg Prices Paid | Mar | 52.8 | 52.5 | |
10:00AM | Mar ISM Manufacturing New Orders | Mar | 49.2 | ||
10:00AM | Feb Construction spending (%) | Feb | 0.5% | -0.2% | |
10:00AM | Mar ISM Manufacturing PMI | Mar | 48.5 | 47.8 | |
11:30AM | 52-Week Bill Auction (bl) | 70 | |||
11:30AM | 26-Week Bill Auction (bl) | 70 | |||
11:30AM | 6-Month Bill Auction | 5.105% | |||
11:30AM | 3-Month Bill Auction | 5.23% |