Via Steve Liddy and I apologize for the charts being difficult to read:
I’ve pointed this chart out the last couple of months. Month end has provided a great opportunity to get short. Over the previous 6 month ends, LB yields have risen an average of 36+bp, before seeing any significant support (yes, where I call the top is subjective, but the pictures are fairly clear). Last month’s ‘mere 17.6bp’ move is nearly ½ of the next lowest move-following the Feb m/e.
The LB ‘death cross’ (cue scary music) took place on 6/12, with the 50d registering 2.8407 that day (v 2.8387 on the 200d). That lines up nicely with this ascending trend channel. The 200d is also right below that at 2.822; and if you believe in the ‘death cross’ that should be fairly significant yield support. For today, I think you sell against the 2.89 level, which is Fibo support for the 2014-15 bond rally. I appreciate the flows that have gone on, but history tells me (from the picture above) that come month end, the buying is generally done. In 8/9 days, they’ll have all the 10s and LBs they want.