Secret Market Movers or New Normal For Intraday Volatility?

Today’s most exciting moments arrived just after 11am when the bond market sold off somewhat sharply without any satisfying explanation.  Normally, we can scrape together a few likely suspects based on a closer examination of the crime scene, but in today’s case, there were none.  Rather than insist on the pursuit of elusive, secret market movers, it makes just as much sense to view the move in the context of a ‘new normal’ for intraday volatility–especially considering bonds made it all the way back to pre-sell-off levels by the close.

Econ Data / Events

NAHB Builder Confidence

38 vs 43 f’cast, 46 prev

Market Movement Recap

09:01 AM Initially weaker in Europe, but back into positive territory in the first hour of trading (albeit with help from Europe).  10yr down 3bps at 3.984.  MBS up a quarter point.

11:38 AM Big, mysterious sell-off starting at 11am, now taking 10yr up nearly 5bps at 4.06% and MBS down 6 ticks (.19) on the day.

02:34 PM Decent recovery in PM hours with MBS and Treasuries now both effectively unchanged. Stocks have bounced back at the same time

04:10 PM All of the losses associated with the mysterious intraday sell-off have been recovered.  MBS are up an eighth and 10yr yields are down 1.2bps at 4.00% even.
Source: Mortgage News Daily