By Kevin Muir of “The Macro Tourist” fame; reposted here with permission
It’s that time again. At the end of this month, the Federal Reserve has over $30 billion of notes maturing. I won’t rehash what this might mean for the market, rather for those not familiar, I ask you to go read Pink Tickets On QT Days.
Let’s do a quick recap at what happened at the previous big QT day – last month end – May 31st, 2018:
Another large QT maturity day, and another down day in spooz.
Let’s update the table with the recent QT maturity days to have a peek at what it looks like now:
The streak is alive and well. QT days have been rather large down days for the S&P 500.
And this month’s maturity is another big one – over $30 billion.
I was surprised to find that government bonds can mature on a weekend. I don’t trade a lot of cash US treasuries and didn’t realize they can mature on a non-business day.
This means that this month’s QT maturity day effect will occur on Monday – not Friday’s month end.
So mark it in your calendars – Monday July 2nd spooz should trade heavy if this QT theory holds true.