Refer to other posts under the POMO tag cloud 5for more information on POMO. 

Not much time here, but we will have more in tomorrow’s morning report.  For those that are planning for tomorrow’s action, please consider the below.  Also, ignore any dates in the “x” axis of the graphs.

Graph1:   The tape-the-paint tendency has been fading since the July 09 min-rally, in favor of the 2:30 to 3:30 pm hour.  Also, note the strong opening hours.  Even though the auctions have not yet occurred (they start at 10:30 am), could this be frontrunning as people are catching on?  Perhaps, because this opening bullish edge completely disappears for non-POMO days in the same time period (not shown).  Measuring the edge from the July rally forward appears to be important, but it necessarily reduces the sample size.

 Graph 2:  This covers each of the days from July to present for which there has been an Agency POMO on the preceding day (all were Mondays–important–and have enjoyed great strength.  Note too, that Monday’s are usually quiet news days (as is tomorrow).  Unfortunately, sample size is necessarily small.

Graph 3:  This is the one negative factor for tomorrow morning because, going back to the beginning of POMO (Mar 25 09), a POMO day following a POMO (Agency) day has had a tough opening hour.  We’ll filter our bias based on the price relative to Friday’s close 1-2 hrs pre-open.

Graph 4: This is this Tuesday’s Time Profile because it is a POMO day following another POMO day.  Note the tendency for a strong first hour, but negative performance after 1:30 pm.

Always remember the following:  The “edge” is an evolving target.  You would need to take every trade on a given edge to produce the graphed results.  Because the edges are often discovered with 20/20 hindsight, this is not possible.  All we are alerting to here is that traders might want to be more receptive to certain trends and possible reversals in certain periods of time.

1010.50 to 999.50 is our projected overnight range, assuming no major developments, and the opening price of tomorrow’s day session relative to these numbers and also Fri’s settlement of 1006.50 will be important to our projection for the day.

We will have much more tomorrow, including an analysis of whether or not the amount of buyback on POMO’s  by the FRNY from primary dealers of the dealers’ inventory acquired at previous Treasury auctions has any trading edge (hint: it appears to).  Thanks to Zero Hedge for his painstaking work on this over the weekend.  Thanks to the members of the Value in Time Group for their invaluable contributions.