Bond data bleg

Can anyone find yields for 2, 5, and 10 year T-notes, and also the S&P500, at 15 or 30 minute intervals on Tuesday 2:00 to 4:30, and Wednesday around 9:30 to 10:00?  I wish to investigate co-movements in response to the recent Fed policy announcement.  I’ll obviously mention your name–unless you choose to remain anonymous. 

If numbers aren’t available, an intraday graph might work.


BTW, Obviously I am falling behind in comments–I hope people understand the importance of new posts at this critical time.



20 Responses to “Bond data bleg”

  1. Gravatar of Cameron Cameron
    11. August 2011 at 10:25

    The S&P :

    Zoom in on 5 day or 1 day and you’ll get even better than 15-30 minute intervals.

    I can’t find yields yet, but here are prices:

    2 Year Treasury Prices
    5 Year Treasury Prices
    10 Year Treasury Prices

  2. Gravatar of anon anon
    11. August 2011 at 10:28 — intraday graphs only, not sure how to get historical intraday yield info.

    There was a 10-year auction on Wednesday, so the yields here are from the 10-year bond issued on 11/15/2010. This might be the wrong series, or have some liquidity effects.

  3. Gravatar of Cameron Cameron
    11. August 2011 at 10:34

    Well here are 5 and 10 year rates

    5 Year:^FVX+Interactive#symbol=%5EFVX;range=5d
    10 Year:^TNX+Interactive#symbol=%5ETNX;range=5d

  4. Gravatar of JoshK JoshK
    11. August 2011 at 10:36

    Hi, I trade rates at my bank. Let me know if you still need it and I can pull it. Ty for the great blog, J

  5. Gravatar of ssumner ssumner
    11. August 2011 at 10:44

    Everyone. Thanks, Cameron’s links will be adequate. Don’t spend precious time looking for numbers. But if you do, then 2:15, 2:42, 3:10 and 4:00 would be great. Also the next day’s opening.

    I’ll do a post tonight–i think the numbers strongly support my argument.

  6. Gravatar of Benjamin Cole Benjamin Cole
    11. August 2011 at 10:48

    Keep up the superb, first-rate blogging. Really great stuff.

  7. Gravatar of Lars Christensen Lars Christensen
    11. August 2011 at 11:07

    Scott, note the action in the markets today – 30y yields up 8bp (or so…) over the day and very strong stock market performance. What does that tell us? In my view is at least an indication that Bernanke’s 2013 rule is increasing inflationary expectations and maybe also NGDP growth expectations – or at least I hope. I still agree that it is far from optimal. Interest rate targeting is not something we guys (monetarists and quasi-monetarists) like, but it is better than doing nothing.

  8. Gravatar of Morgan Warstler Morgan Warstler
    11. August 2011 at 11:13


    Man I wish you’d do the same thing for DJIA the exact moment Obama said in his speech, that we had to keep investing.

    By my eye, that was when things first went deep south.

  9. Gravatar of Morgan Warstler Morgan Warstler
    11. August 2011 at 11:14

    Also, everyone I think you’ll all really enjoy this piece on Euro from Michael Lewis:

    There’s even some scat talk for you in there Benji!

  10. Gravatar of BoKFinancial BoKFinancial
    11. August 2011 at 11:45

    Two words: Algorithmic trading.
    Two more words: Fool’s errand.

  11. Gravatar of James in london James in london
    11. August 2011 at 12:02

    What if it could be shown the Fed had authorized buying of S&P Futures to rescue the equity market from the initial sell-off? Many traders believe GS was doing precisely that, probably on behalf of the Fed. I guess you’d just applaud it Scott, as innovative monetary easing rather than excoriate it as market manipulation?

  12. Gravatar of Tom Tom
    11. August 2011 at 12:02

    You can convert graphs to data points for regressions using software such as:

    There are others but I find this one works pretty well.

  13. Gravatar of Gabe Gabe
    11. August 2011 at 12:33

    The Fed would never unfairly provide GS with inside information like that! What do you think the Fed is a bunch of criminals?

  14. Gravatar of Morgan Warstler Morgan Warstler
    11. August 2011 at 12:48

    Gabe, rofl!

  15. Gravatar of KingNat KingNat
    11. August 2011 at 13:25

    Prof. Sumner, think you might find this tidbit on market efficiency quite interesting….

    I personally think markets may tend towards efficiency, but that they are not even weak-form efficient. I don’t think there was much new information released post-Fed communique that would cause the equity and bond prices to vacillate so much!

  16. Gravatar of John Thacker John Thacker
    11. August 2011 at 14:36

    The article on Germany mentions WWII and the Great Depression, and all sorts of things to explain why Germany didn’t have a 2000s real estate bubble.

    Fine, but it should really mention what Spiegel did back in 2008– Germany didn’t have a real estate bubble in the 2000s because it had one in the 1990s, as a result of reunification.

  17. Gravatar of David Pearson David Pearson
    11. August 2011 at 15:10


    The Dow has been up and down more than 500 points each of the last four days. The long bond has also been extremely volatile.

    Is this really an environment where a few hours worth of market reaction to an anticipated announcement could, “strongly support [your] argument?” If so, your ability to perceive the market’s true intentions is truly superior to the vast majority of traders.

  18. Gravatar of JimP JimP
    11. August 2011 at 16:28

    This guy thinks it will reduce demand for money and boost things.

  19. Gravatar of Mark C Mark C
    11. August 2011 at 18:38

    15mins running for 10yr UST

    Date Open High Low Close
    08/09 16:45 2.2737 2.2780 2.2470 2.2488
    08/09 16:30 2.2728 2.2832 2.2668 2.2737
    08/09 16:15 2.2737 2.2763 2.2634 2.2737
    08/09 16:15 2.2737 2.2763 2.2634 2.2737
    08/09 16:00 2.2625 2.2806 2.2513 2.2737
    08/09 15:45 2.2008 2.2625 2.1863 2.2625
    08/09 15:30 2.1581 2.2093 2.1471 2.2008
    08/09 15:15 2.1131 2.1888 2.1131 2.1581
    08/09 15:00 2.1829 2.1888 2.0346 2.1114
    08/09 14:45 2.2797 2.2814 2.1735 2.1794
    08/09 14:30 2.3272 2.3281 2.2505 2.2789
    08/09 14:15 2.3333 2.3385 2.2720 2.3263
    08/09 14:00 2.3246 2.3333 2.3229 2.3333
    08/09 13:45 2.3523 2.3549 2.3246 2.3255
    08/09 13:30 2.3575 2.3610 2.3506 2.3515
    08/09 13:15 2.3584 2.3645 2.3489 2.3575
    08/09 13:00 2.3714 2.3732 2.3567 2.3593

  20. Gravatar of Scott Sumner Scott Sumner
    11. August 2011 at 18:50

    Lars, Wasn’t that due to the strong unemployment report?

    Everyone, Thanks for all the tips–I have a new post up.

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