Taking a Long-Term Look at Treasury Yields

2022年9月28日

U.S. Treasuries have gone through a period of historic turmoil as the Federal Reserve starts shrinking its balance sheet. Today’s weekly chart considers just how dramatic the moves have been using the 10-year note’s yield index (TNX).

The first thing that stands out is the accelerating rate of change since about March 2021. This chart shows ROC with a nine-week interval, which peaked above 80 percent almost five months ago. Moves like that are simply unprecedented in the six decades of TNX’s history.

Of course, there are problems with viewing percentage change for an index that is itself a percentage. (After all doubling from 0.6 percent to 1.2 percent isn’t a huge feat.) So we used TradeStation’s analytics to compare the changes in net points and found they’re still unusually large.

For example, TNX rose about 120 basis points in the last nine weeks. Aside from the spike in April and May of this year, that was the biggest increase since August 2003. Before that surge, you have to look to the 1980s, when yields were twice as high.

The second interesting pattern is highlighted by our Price Streak custom script, which shows TNX has risen for nine consecutive weeks. That is the longest unbroken upward move since 2004. (The only longer runs occurred in 1968 and 1972-1973.)

Finally, consider the simple price level. TNX hit 3.992 yesterday, just 2 basis points from its peaks in both 2009 and 2010. While yields may continue higher over the longer-term, will traders look for consolidation at this historic resistance level?

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