Fed's November Operation Twist Schedule

In keeping with a balanced approach, the Fed plans on purchasing approximately $45 billion and selling approximately $43 billion in Treasury securities this month. Compared to October's operations, $1 billion less in purchases will occur and $1 billion more in sales, but overall, the amounts are the same at about $43 to $46 billion per month.  November's operations will take the program about $88 billion towards the planned target of $400 billion.  At about $45 billion per month, that projects a duration of 9 months, October 2011 thru June 2012, for the program although the Fed has not placed any time limit on Operation Twist. QE2 ended in June 2011.

The POMO Pump link in the right margin takes you to the current Operation Twist schedule.  Effects on the markets typically occur between 10 AM and 11:30 AM on the days listed in the schedule. The new schedule for December will be released on Wednesday, 11/30/11 at 2 PM EST.

On 10/1/11 as Operation Twist kicked off, the 10-year yield was 1.92%.  The 30-year was 2.92%. Current prints at this writing show the 10-year at 2.03% and the 30-year at 3.08%, down sharply on the week from a peak of about 2.40% for the 10-year and about 3.45% for the 30-year six days ago.  Note that the 10-year has moved up 11 basis points and the 30-year has moved up 16 basis points during the first month of Operation Twist.

Tracking the operations over the last month to note any correlations to the equities markets, the SPX has closed up 9 days and down 5 down days during the purchase days. Thus, on purchase days the markets are typically bullish 65% of the time and bearish 35% of the time, so the bulls are favored during purchase days.  For sales days, the SPX has closed up 5 days and down 2 days. Thus, on sales days the markets are typically bullish 71% of the time and bearish 29% of the time, so the bulls are favored during the sales days. After November plays out, we can get a better handle on things to see if any correlation is worth considering as far as trading goes.  For  now, hte jury is out.  The interesting aspect is that the sales days show that the equities markets are bullish so the 11/9, 11/16, 11/21 and 11/30 days are worth watching. The POMO pumps were much more reliable during QE2 when equities markets would rise like clockwork between 10:00 AM and 11:30 AM each day the Fed carried out operations.