BMO Pre-NFP U.S. Tsy Survey: Sell The Bounce, Ignore The Dip

BMO note that “the takeaway from this month’s pre-NFP survey, ahead of what is expected to be a dismal read on hiring in January, was a bias to sell strength coming out of payrolls. If the market trades higher 59% would sell compared to the 44% average; the highest since April 2009. Meanwhile, just 32% would buy a dip coming out of the data versus the 38% norm, which is the lowest since June 2021, while 57% would do nothing in that scenario, compared to a 48% average. Clearly investors are awaiting a more compelling opportunity to either exit longs, or scale into shorts after what is widely anticipated to be a disappointing release. Keeping with this theme, 67% expect the next 15 bp in 10-Year yields will be higher, 27% see lower, and 6% don’t know compared to respective averages of 61%, 24% and 16%.”

• “As for our first special question, a sub-zero NFP read was not seen as enough to materially reshape the current trading paradigm. Replies for the expected 10-Year yield close on Friday if that is case ranged from 1.63% to 1.92% with a mean and median reply of 1.75%. As for the shape of 5s/30s, a similar dynamic was apparent with the average reply centered on 48 bp, almost precisely in the middle of the current trading zone.”