MBS Live Recap: Uncharacteristically Quiet Month-End Trading Session

Today was the last day of trading for the month of October.  That means money managers had to get a certain amount of bond buying accomplished in order to match their portfolios to the bond indices included in their funds.  While much of this month-end position shuffling is accomplished in the preceding days, the final day of any given month typically sees a surge of volume (and sometimes volatility) as the remaining compulsory trades are executed.

All we got today was a small uptick in volume just before the unofficial 3pm closing bell for bond markets.  Apart from that, it would have been very hard to say whether any trading actually took place today. 

10yr yields held in an excruciatingly narrow range of less than 1 basis point for the majority of domestic trading hours.  Fannie 3.5 MBS held well-inside an eighth of a point in terms of price.

Economic data even tried to stir the pot with Chicago PMI coming in at the best levels since 2011 and Consumer Confidence hitting its best levels since 2000!  Despite those big 'beats' on the economic data front, bond market reactions were nowhere to be found.  

Expect volatility to increase through the rest of the week as the importance of econ data increases, but especially because we get the Fed Announcement tomorrow and Trump's Fed Chair nomination on Thursday.