by dshort.com
Quick take: Yesterday's pop in yields looks like it was a head fake. Today stocks plummeted and Treasuries rallied. The ten-year yield, which jumped 11 basis points yesterday, fell 13 today to close again below 3% at 2.98.
The behavior of Treasuries is an area of special interest in light of the Fed's second round of quantitative easing, which was formally announced on November 3rd. The first chart shows the percent change for a basket of eight Treasuries since November 4th.
The next chart shows the daily performance of several Treasuries and the Fed Funds Rate (FFR) since 2007.
Here's a closer look at the past year with the 30-year fixed mortgage added to the mix (excluding points).
Here's a comparison of the yield curve at three points in time: 1) the Fed's QE2 announcement, 2) the February interim high for the 7, 10, 20 and 30-year yields 3) and the latest curve.
The next chart shows the 2- and 10-year yields with the 2-10 spread highlighted in the background.
The final chart is an overlay of the CBOE Interest Rate 10-Year Treasury Note (TNX) and the S&P 500.
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