Posted To: MBS Commentary

There were already roughly 400k 10yr Treasury futures contracts traded by 8am today. A typical overnight session runs in the 100-300k range. Volume has been ballooning over the past 3 trading sessions. Month-end trading is only a small part of that. The bigger source of motivation has been a series of "momentum chases" following an exceptionally quiet summertime trading environment. Some of these pops in momentum happened when yields made a technical break toward higher levels. Others happened when traders shifted positions at the very end or very beginning of a new month. In fact, 4 out of the 5 noticeable upticks in volume occurred on the last trading day of the month looking back to July (so EVERY month). They've also coincide with reversals in momentum that have lasted the…(read more)

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Source: Mortgage News Daily