Yesterday’s 21 bps move in 10-year bonds and 23 bps move in 30-year bonds was certainly a large selloff in bonds but not an especially large selloff from a historical context. What made the move feel bigger than it was is the fact that bond volatility has been rather low for the last couple of years.
21 bps move in 10-year yields was the largest move since 7/5/2013. In the past 30 years we have only had two other periods of time time (8/1990-4/1994, 4/2004-3/2008) where we have gone longer in between 20+ bps selloffs.
The selloff in 30-year yields was the largest move since 8/11/2011. This was a bit more of an anomaly from a historical perspective. For example, from 7/1996-7/2008 we never experienced a one-day 20+ bps change in 30-year yields.
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