Volatility Eludes Bonds

Bonds saw some steady selling pressure earlier in the week, but with the total damage amounting to an average of 2bps per day in 10yr yields, it was anything but volatile. The past 2 trading sessions had more noticeable ups and downs, but they played out in an even narrower range. Friday, specifically, was woefully range-bound with 10yr yields essentially in a 2bp range all day. Balmy PPI data and Fed Chair decisions and historic volatility in certain commodities didn’t make any difference. Even the 3pm ET month-end trading barely registered a response despite the typical surge in volume (by far the highest minutes of volume of every month). Next week brings the big ticket econ data and thus a chance for some legit data driven volatility.

Econ Data / Events

Core Producer Prices MM (Dec)

0.7% vs 0.2% f’cast, 0% prev

PPI YoY (Dec)

3.0% vs 2.7% f’cast, 3% prev

Producer Prices (Dec)

0.5% vs 0.2% f’cast, 0.2% prev

Market Movement Recap

08:39 AM MBS down about an eighth and 10yr up 1.6bps at 4.252

12:22 PM MBS down 2 ticks (.06).  10yr up 1.5bps at 4.251

02:34 PM Near strongest levels with MBS down only 1 tick (.03) and 10yr close to unchanged at 4.238

04:19 PM Volatility remains elusive into the close. MBS down 2 ticks (.06) and 10yr up up 0.7bps at 4.243