UST Weekly
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Weekly

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The week in five chapters

The story first; open "Check the numbers" on any chapter, or jump to the chart that proves it
Read this first · each chapter links to its evidence

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00

The view

What changed, how we would trade it, and what would prove us wrong
The view in short

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    Into the 28 Oct FOMC · three paths

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    Setups we are tracking · marked every week from Friday's close

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    01

    What happened this week?

    Curve then vs now · change by tenor

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    Par yields, %. Bars: change over the week, bp. Positive = higher yield (sell-off).
    Weekly move per tenor · each dot is one 2026 week

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    2026 weeksThis week±1σ of weekly moves
    02

    How much of September is undone?

    Oct MTD and this week as a share of the September move
    Share of the September move reversed

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    September = 31 Aug close → 30 Sep close. Reversed = −(change since 30 Sep) ÷ September change. Negative = the September move is still extending. Spreads with a September move under 3bp are not scored.
    03

    Bull flattening: front pinned, long end off the highs

    Where each tenor sits in its 2026 range
    Position in 2026 range · end-Sep, a week ago, now

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    04

    Why did it move?

    Factor mix, day-by-day path and the news
    PCA attribution · what drove the move

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    LevelSlopeCurvature
    Level = parallel shift; slope = steepening/flattening; curvature = belly vs wings. Dashed = the three combined; strip = what they don't explain.
    Path through the week · cumulative bp

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    2Y5Y10Y30Y
    Real yield or inflation? · nominal = real + breakeven

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    Drivers · news, data and supply

    What moved the market

    05

    Who was trading?

    Futures positioning, dealer inventory and foreign official holdings · free public data, each with its own as-of date
    Treasury futures · net position by trader type, % of open interest

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    Leveraged fundsAsset managersDealers
    Leveraged funds' net position · % of open interest, weekly

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    CFTC Traders in Financial Futures, futures only, Tuesday positions. Below zero = net short. A line rising towards zero = shorts shrinking.
    Primary dealer net positions by maturity · $bn

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    Foreign official holdings in custody at the Fed · $bn

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    06

    Is risk rising?

    Realised volatility by tenor
    Realised volatility · 20-day, bp per day

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    20-day realised vol = standard deviation of daily par-yield changes over the last 20 sessions. Bars: now; grey: 2026 high; dashed: a week ago. Path view: rolling 20-day vol for 2Y, 10Y, 30Y.
    07

    The curve model

    PCA, curve fit, forwards and correlation · one panel, six views
    PCA and curve fitting

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    08

    Flies: what's rich, what's cheap?

    PCA relative value · 2-factor model on levels, 120 sessions
    PCA residuals · four views of the same model

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    PCA flies · residual to the 2-factor model

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    Positive = belly yield above the model (cheap); negative = rich. Watch = |z| ≥ 1, half-life ≤ 10 sessions and |residual| ≥ 1.5bp. Weighted to zero level and slope exposure. Click a row for its history.
    09

    Does carry matter here?

    3-month carry + roll-down, against the size of the moves
    Carry + roll per unit of 3-month risk

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    Carry funded at the 3M bill; roll-down on the par curve. Weeks of carry = this week's move ÷ (3M carry+roll ÷ 13). With the bill above the funds range, SOFR/GC funding would show more carry at every tenor.
    10

    2026 so far

    Year-to-date levels, extremes and regimes
    Curve journey · level × any spread or PCA fly, linked to the curve · hover, drag or press play

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    Y axis
    or fly
    Left: each point is one day (5-session centred average, display only), coloured from January (blue) to now (orange); white = this week. Hover the path to move through time. Right: the curve on that date against 2 Jan, 30 Sep and now.
    YTD statistics

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    Every session of 2026 · daily change

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    Tenors
    Spreads
    PCA flies
    Weekly regimes · 2026

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    Bull/bear when Δ2Y and Δ10Y move the same way, twist otherwise; steepener/flattener by Δ(10Y−2Y). Weeks run Friday close to Friday close.
    11

    Technicals

    Pick an instrument, overlays and a lower indicator
    Technical workbench

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    Tenor
    Spread
    PCA fly
    Range
    Overlays
    Lower pane
    MA = simple moving average; EMA10 = exponential. Bollinger = MA20 ± 2 × 20-day σ. 20d high/low = Donchian channel. RSI(14) Wilder. MACD = EMA12 − EMA26 with a 9-day signal line; bars = MACD − signal. Momentum = change over 20 sessions. Shaded: this week. Hover for values; click a row in the table below to load it here.
    Technical levels · click a row for the chart

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    MA = simple moving average. RSI(14) on yield levels. Band z = distance from the 20d MA in 20d σ. Trend = 20d MA vs 50d MA.
    12

    What's next?

    Events and the levels that would change the picture
    The next two weeks

    Calendar

    Levels that matter

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    Prepared by
    Jasmeet Gujral
    CQF · FRM · 16+ years in quantitative finance · former SVP and front-office quant lead, NatWest Markets
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    Data. U.S. Treasury daily par yield curve, 2026 closes (2 decimals, so ~1bp rounding). The week runs from last Friday's close to the latest close; marked provisional until Friday's close is published.

    Attribution PCA. Covariance PCA on daily bp changes, 10 tenors 3M–30Y, all 2026 sessions to the latest close (in-sample). Level 83%, slope 11%, curvature 3% of variance. Window change = loading × score; residual = actual − 3 factors, equal to the sum of daily residuals.

    Relative-value PCA. Covariance PCA on yield levels (bp), 7 tenors 2Y–30Y, last 120 sessions, demeaned. 2-factor model (level + slope); residual = level − mean − fit. Flies weighted to zero PC1 and PC2 exposure and shown vs their 120-day mean. z = (now − mean) ÷ σ over 120 days; half-life from OLS AR(1), −ln2 ÷ ln β. Lags: 1D = 1, 1W = 5, 15D = 10, 1M = 21 sessions, using today's loadings.

    Size and range. Weekly moves compared with all completed 2026 weeks (Fri–Fri): z = move ÷ RMS of weekly moves; percentile = share of weeks with a smaller |move|. Range position = (yield − 2026 low) ÷ (high − low). September = 31 Aug → 30 Sep closes.

    Vol and technicals. Realised vol = 20-session σ of daily bp changes, ranked against every 2026 window. MA = simple; RSI(14) Wilder; Bollinger = MA20 ± 2σ(20); MACD = EMA12 − EMA26, signal EMA9.

    Carry. 3-month horizon, funded at the 3M bill: carry = (yield − bill) × 0.25 ÷ modified duration; roll = y(n) − y(n − 0.25) on the par curve; risk = daily σ × √63.

    For information and education only. Not investment advice, an offer, or a solicitation to buy or sell any security. Figures are computed from public U.S. Treasury data and may contain errors.