Treasury auctions and the dollar's mood

[Shadow Trader]

US Treasury auctions occur at set times, often 1pm New York. A weak auction, where demand is poor and yields jump, can push the dollar around. A strong one can do the opposite.

The reaction depends on the context. When rate expectations are the main driver of currencies, as they often are, a surprise in Treasury yields flows straight into USD pairs.

The effect is usually smaller than a data release, so it's easy to miss. A 10 to 15 pip move in EURUSD or USDJPY around 1pm without any scheduled data release often traces back to an auction.

The auction calendar is public and rarely appears on forex news calendars. Checking the Treasury's site, or a bond market calendar, adds a second layer of awareness.

The two-year, ten-year, and thirty-year auctions have different weights. The ten and thirty-year ones tend to matter most for USDJPY, given the links between US long yields and the yen.

Adding the auction times to the chart as vertical lines, for a month, tests whether volatility actually rises at those moments.

Which move was finally explained by a Treasury auction after looking everywhere else?