The Treasury market is doing its best imitation of a moribund feline striking the pavement as it has bounced slightly off its earlier lows. In contrast to earlier the bond is an out performer and 5s 30s and 10s 30s and 5s 10s are all at their flattest levels of the day. The belly continues to take heavy shelling as real money retail continues to sell 5s and 7s (heavy) and lesser amounts of 2s and 10s. One dealer also noted heavy selling in the futures market and thought that was dealer hedging. David Ader of CRT makes the cogent point that volume picked up significantly throughout the day.Early this morning coming out of the overnight trade he says that volumes was 57 percent of the 10 day moving average and by 1000AM it was 69 percent. As we head for the exits volume is 110 percent of the 10 day moving average.
The bottom line is that the supply last week made dealers flat to long and the much hyped month end trade never materialized. There was real money selling today and the street had no capacity to absorb it . And so it goes.