Not Reading Too Much Into Late Day Reversal

Bonds rallied quickly in response to this morning’s jobs report and pressed to even stronger levels by mid-day. That’s the point in the day that most traders (the ones actually working) consider bonds to be “closed.” You’re free to do the same and count today as a win. But in the noon-2pm hour, a decent chunk of the AM gains were erased. We wouldn’t read too much into those and instead view them as a facet of pre-holiday-weekend illiquidity and/or position squaring. This doesn’t imply directionality in the future. It just means we have to wait for next week to get a clean read on market sentiment.

Econ Data / Events

Average earnings mm (Jun)

0.3% vs 0.3% f’cast, 0.3% prev

Continued Claims (Jun)/20

1,814K vs 1810K f’cast, 1821K prev

Jobless Claims (Jun)/27

215K vs 220K f’cast, 215K prev

Non Farm Payrolls (Jun)

57K vs 110K f’cast, 172K prev

Participation Rate (Jun)

61.5% vs — f’cast, 61.8% prev

Unemployment rate mm (Jun)

4.2% vs 4.3% f’cast, 4.3% prev

Market Movement Recap

08:25 AM Weaker overnight with 10yr up 2bps at 4.502 and MBS down an eighth.

08:31 AM Moving back into positive territory after jobs report. MB now unchanged and 10yr down 1bp at 4.47

12:16 PM MBS up 5 ticks (.16) and 10yr down 1.2bps at 4.469

01:48 PM weakest post-data levels with 10yr up 1bp at 4.49 and MBS now unchanged.