Posted To: MBS Commentary
We typically don't talk too much about volume. It doesn't much matter for the purpose of tracking intraday reprice risk because the price is the price is the price. When we look beyond the intraday time frame, elevated volume can add validation to any particular move. If the volume is seen as yields bounce at a floor or ceiling, we might consider that range more likely to be reinforced. If it's seen as yields break past a technical barrier, we might take the breakout more seriously. Unfortunately, the latter is the case today as 10yr yields jump to the highest levels in months in heavy volume. All that having been said, assigning additional significance to movement that occurs in high volume isn't a terribly high probability analytical endeavor. It might help us do a bit better…(read more)
Source: Mortgage News Daily
