The premium came out on Thursday and went back in on Friday, and the ten-year closed at the low

The ten-year Treasury closed the week at 4.94%, six basis points lower Friday to Friday and the lowest close of the move, 37 basis points below the 5 October high of 5.31%. Research note 03 set 40 as the marker for an episode ending; by its rule the trend is three basis points from over. The rally came from the front: the two-year fell thirteen to 4.56%, the thirty-year two to 5.31%, and 2s10s steepened from 31 to 38. Swaps fell with Treasuries this time — ten-year SOFR par 4.60% to 4.54% — so the ten-year swap spread ended where it began, −40.4 to −39.7, after touching −37 on Thursday. Breakevens did nothing for a fourth week, the ten-year CPI swap 2.452% to 2.453%, and the ten-year real yield fell from 2.66% to 2.60%. The whole move, again, was real yield.

The week's story is in what was priced around the ten-year, and it runs in two acts. Through Thursday every risk premium on this site's tape came out. Three-month-into-ten normal vol was 108.5 basis points on 22 October, the day of the big rally, 104.0 last Friday, 96 and 95 on Tuesday and Wednesday, and 78.6 on Thursday on eleven at-the-money prints — a 25 basis-point move from Friday, the fourth percentile of five-session changes since this site's history begins in July 2024. One-year-into-ten went 104.5 to 95.3, the one-year cap 105 to 96. CDX IG tightened 63.9 to 60.1, iTraxx Main 67.9 to 63.2, Crossover 322 to 293, HY 361 to 340, EM 173 to 164: all five indices by bottom-decile weekly amounts in the same four sessions, which has happened in nine clusters since July 2024 and last on 4–5 August. The VIX fell from 19.45 to 17.2 and VVIX from 110 to 98. Meanwhile ten-year realised vol, ten-day, sat at 105 basis points, ninety percent of the way up its one-year range, and not only because the 22 October rally was in the window — Wednesday and Thursday moved the ten-year six up and seven down, which annualises to about a hundred on their own. Implied minus realised closed Thursday at −26.5 basis points. Only 22 of 556 sessions since July 2024 have printed more negative, every one of them in the week after a shock, and in eight of those ten episodes the three-month-into-ten was higher ten sessions later. The options market sells the aftermath, and it has usually been early.

This time it was early by one day. On Friday the ten-year fell four basis points to its low close and everything that had been sold came back: 3m10y 78.6 to 96 on five prints, 1y10y 95.3 to 100.9, the one-year cap 96 to 118, CDX IG 60.1 to 62.3, Crossover 293 to 301, Main 63.2 to 64.7, the VIX 17.2 to 19.4, VVIX 98 to 106. A day on which the ten-year rallies four or more while IG widens two or more has happened eight times since July 2024 — March and April 2025, 1 August 2025, 27 February and 21 September this year — and every one of them was a flight, not a relief. Friday to Friday the week still reads as compression — IG two tighter, Main three, Crossover 21, 3m10y eight lower, the VIX unchanged — but the shape is a round trip with the ten-year lower at the end of it, which is the signature of money leaving risk for duration rather than of a selloff ending.

What connects the acts is the ten-year's relationship with credit, which changed sign this week. The 60-day correlation of CDX IG with the ten-year printed −0.005 on Thursday and −0.034 on Friday, its first negative readings since 19 March, from 0.65 in June and 0.13 a fortnight ago. Through September and October the two moved together — spreads wider as yields rose, the configuration in which both legs of a Part C replication lose at once. From Friday they move against each other, which is the ordinary regime, the one in which the Treasury leg hedges the credit leg. The ten-year replication yield — Treasury plus CDX IG ten-year — fell from 6.02% to 5.94% on the week and the five-year from 5.46% to 5.33%, the first week since the break through 4.85% in which the synthetic corporate cheapened because of rates rather than spread.

For the books this site follows the week reads two ways, and both still point the same direction after Friday. The structures held against rates falling — long receivers, receiver swaptions struck below the forward, floors — are priced off an implied that ended the week 11 basis points under realised after being 26 under on Thursday, and they would be struck at the top of the range: the one-year-forward ten-year at 4.60% and the 10y10y at 5.01% sit at the 94th and 96th percentiles of every session since July 2024, 40 and 39 basis points off their highs. Cheap vol and a high strike together made it a week to buy convexity rather than sell it, and the tape leaned that way until Friday: receivers struck 50 basis points or more below the forward printed 17, 14, 26 and 25 times Monday to Thursday against far payers at 12, 10, 9 and 8, then 12 against 7 on Friday as the vol came back. Insurer-shaped IG index prints ran 211 and 204 on Thursday and Friday against a 21-day average of 163, the two busiest days of the week, one into the tightening and one into the widening. The file does not say which way.

The flow that did not come through Thursday came on Friday. The 10y10y forward slipped under 5% on Monday and Tuesday, 4.97%, closed Thursday at 5.03% and Friday at 5.01%. Insurer-shaped deep forward starts — swaps starting ten or more years out in the tail and size those programmes use — ran 4, 3, 4 and 7 Monday to Thursday, eighteen prints in four sessions, a bottom-three-percent reading. On Friday they printed 18 in a day, $1.3bn, the most since 28 September, inside a 87-print, $7.1bn deep-forward day that with Thursday's 83 and $8.0bn made the two largest deep-forward sessions since 15 October. Last week's review found the outright hurdle buyer following the forward down through 5.05%; this week it waited four sessions with the forward on either side of 5.00% and then printed on the day the ten-year made its low. Whether Friday's prints were outright or package legs is a print-level question for the week ahead.

Two things belong in the text rather than a footnote. Thursday's 78.6 was eleven prints and Friday's 96 was five, so the three-month point is the noisiest number in this review; the argument does not rest on it, because the one-year-into-ten, the cap, the five credit indices, the VIX and the correlation all made the same round trip on many times the prints. And the week's last word is the ten-year's. The option and protection markets decided on Thursday that the September–October episode was over; on Friday they were made to buy it back while the ten-year closed at the low, three basis points short of the marker. The bond market has not said the episode is over, and it is the one that has been right so far.