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To: Nemer who wrote (49795)	8/13/1998 12:25:00 PM
From: Stoctrash	Read Replies (1) \| Respond to of 58727

Bonds & notes looking like a good place to hide: 8/12/98 Q: What happens when the bond contract makes a new 1-month high on the day of the five-year note auction? A: 1 week later, five- and ten-year note yields are either 10 basis points lower (on average), or unchanged in 100% of 10 occurrences. 2 weeks later yields are even lower. Let variable values: theSec = USNOTE05Y Date Day 1w 2w 07/24/1991 Wed -0.14 -0.36 12/19/1991 Thu -0.19 -0.23 08/25/1993 Wed -0.03 -0.21 05/24/1995 Wed -0.14 -0.22 11/29/1995 Wed -0.11 -0.04 09/26/1996 Thu -0.06 -0.05 11/20/1996 Wed -0.01 -0.03 07/23/1997 Wed -0.13 0.04 09/24/1997 Wed -0.04 -0.02 08/11/1998 Tue NaN NaN Avg -0.09 -0.12 AvgPos NaN 0.04 AvgNeg -0.09 -0.14 PctPos 0.00 11.11 PctNeg 100.00 88.89 Maximum -0.01 0.04 Minimum -0.19 -0.36 StdDev 0.06 0.13 ZStat -1.54 -0.93 Variance 0.00 0.02 10 Occurrences