The two-year note outperformed on the day and shed about 10 basis points from its post-payroll spike. The two-year note and 30-year bond curve steepened about four basis points on the day to +318 basis points, and is out 18 basis points on the week. The headline payroll data initially augured for a much different session. Indeed Treasuries plunged on news of a 143,000 surge in payrolls and a drop in the unemployment rate to 5.7% from 6.0%. The yield on the two-year surged over six basis points, while the long bond lost almost a point.
However, realization that the data were boosted by seasonals and other exogenous factors was the impetus for dip buying and short covering, especially ahead of the weekend. Reports of a fire at a downtown Chicago office building also initiated a flight back into bonds. But the afternoon announcement of a shift to "orange" alert added impetus to the rebound, as no one wanted to be short bonds over the weekend.