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Whales Making Waves in Treasury Futures
Whales Making Waves in Treasury Futures
Nerd alert: there's no way to discuss what happened in the bond market today without getting a bit nerdy. Reason being, there was an absolute deluge of block trades in Treasury futures (over $20bln--the biggest day we can remember for outright block trades). There are a few different possibilities for how this went down, but the size, structure, and timing of those trades suggests that only one or two massive players were involved. The saving grace of a move like this is that it means there was not broad-based selling pressure from a majority of the market. And although this could be viewed as "thought leadership" that inspires other sellers, those sellers had a chance to jump on the bandwagon today and instead held their ground.
Huge Block Trades Drove Big AM Sell-Off
| Time | Event | Period | Actual | Forecast | Prior |
|---|---|---|---|---|---|
| Tuesday, May 19 | |||||
| 12:00AM | Roll Date - Ginnie Mae 30YR | ||||
| 8:15AM | ADP Employment Change Weekly | 42.25K | 33.0K | ||
| 9:00AM | Fed Waller Speech | ||||
| 10:00AM | Apr Pending Home Sales (%) | Apr | 1.4% | 1% | 1.5% |
| 11:30AM | 6-Week Bill Auction (%) | 3.580% | 3.615% | ||
| 7:00PM | Fed Paulson Speech | ||||
| 7:30PM | Fed Venable Speech | ||||
| Wednesday, May 20 | |||||
| 7:00AM | May/15 Mortgage Market Index | May/15 | 290.1 | ||
| 7:00AM | May/15 MBA Refi Index | May/15 | 921.1 | ||
| 7:00AM | May/15 MBA Purchase Index | May/15 | 177.7 | ||
| 8:00AM | Fed Paulson Speech | ||||
| 10:15AM | Fed Barr Speech | ||||
| 10:30AM | May/15 Crude Oil Inventory (ml) | May/15 | -4.306M | ||
| 1:00PM | 20-Yr Bond Auction (bl) | 16 | |||
| 2:00PM | FOMC Minutes | ||||
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