Ten-year Treasury note futures (CBT.TY) kicked it into high gear on Thursday, rallying 23 tics to close at 115-09. The rally helped erase part of this week's losses but the Treasury market is still noticeably off compared to this time last week. Can the market stage a new upswing?
Q: How has TY futures fared when the contract rallies big in the month of May?
A: From all appearances, Thursday's rally is the start of something big. Of the 38 completed instances since 1985, 10-year note futures rally 81.6% of the time over the next 35 days, gaining 1.8% in the process. The trade's relatively tame standard deviation of 2.1% and high number of occurrences grants the idea a t-stat of 2.3 when tested at the +1% hurdle rate, a terrific result considering the mean return is 1.8%.
There seems to be an underlying bullish seasonal tendency in the debt market starting in the middle of May. It's something to keep in mind when looking at trades in this market. Click here to see the details in our SeasonalEdge department.
Jason Thompson is a Chicago-based speculator focusing on electronically traded derivatives and their underlying instruments.
