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Bonds, War and Witching: September’s Volatility Fuse Is Lit
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Scott Bessent: "The Nation's Top Bond Salesman"
A few weeks ago, Treasury Secretary Scott Bessent made a big promise to bring down yields. So far, he has not delivered, as U.S. government bond yields climbed to fresh multiyear highs on Wednesday after the Treasury Department said it would repurchase up to $6 billion of longer-term debt at a buyback operation.
Over the last five or six months, I have repeatedly talked about the weak bond and note Treasuries. One of my first jobs out of the Chicago Board of Trade grain room was moving to the bonds room. It was by far and away the largest futures pit in the world.
Back then, the bonds were trading 65.00 to 75.00. There was a guy in the Market Wizards book by the name of Gary Bielfeldt from BL&H whom I worked the phone for, and he would put in these huge 1,000- and 2,000-lot scaled bids and offers.
It was a turning point in my career, and after that, I started working for Rick Barns, doing mammoth size, and he's the trader who sent me over to the CME because he was getting ripped off on his S&P orders.
This is not the first time the government has done Treasury buybacks, and one important point for bond futures is that these are not the same thing as Fed QE. The Treasury is swapping financing—buying older securities while continuing to issue new debt. It can improve liquidity and create localized demand for certain maturities, but it isn't inherently monetary stimulus like Fed purchases.
The Pros and Cons
Treasury bond buybacks can improve market liquidity, support older off-the-run securities, and help the Treasury manage its debt more efficiently. They can also provide temporary support for bond prices and reduce dislocations in stressed markets.
The downside is that buybacks do not reduce the overall federal debt if the Treasury is issuing new debt to fund them. Large buybacks can also distort price discovery, create mixed market signals, and potentially raise refinancing costs if poorly timed.
Right now, the jury is still out, and the big question remains... Will it work?
Our View
I really intended on doing a smaller OP today, but as I said above, I started talking about the bonds and notes months ago. I believe there is an immense amount of risk when it comes to the interest rate markets. I also believe there is a high probability of an interest rate hike.
I don't think this happens in September or October, but I think the odds go way up as we come into the end of the year.
Our Lean is a premium feature available only to paid subscribers. It provides a daily pre-market look at how Danny is leaning into the trading day.
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The ES traded in a 7691.25 to 7644.50 Globex trading range and traded 7660.75 on Wednesday's regular-session open, down 20.25 points, or -0.26%.
After the open, the ES traded 7663.75, sold off down to 7651.75, chopped around the 7654.00 area, traded up to 7662.00 at 10:00, and sold off 17.50 points down to 7644.50 at 10:15.It then rallied 20.50 points up to 7665.00 at 11:00, sold off 36.25 points down to 7628.75 at 11:15, rallied 22.00 points up to 7650.75 at 11:30, and sold off down to 7632.75 as Brent crude oil jumped above $100.00.
The ES rallied 20.50 points up to 7653.25 at 1:45, back and filled in a 10-point range down to 7642.75 at 2:15, traded up to 7654.50 at 3:15, traded down to 7641.25 at 3:45, and traded 7648.75 as the 3:50 cash imbalance came out flat and then small to sell. The ES traded 7644.75 on the 4:00 cash close.
After 4:00, the ES flatlined and settled at 7648.00, down 32.50 points, or -0.42%. The NQ settled at 29,460.00, down 78.75 points, or -0.27%. The YM settled at 52,473.00, up 48 points, or +0.09%, and the RTY settled at 2924.70, down 38.90 points, or -1.13% on the day.
In the end, front-month crude oil futures (CLV26), including Wednesday night's Globex session, traded up to $97.79 and have been up 8 sessions in a row for a total gain of $11.38, or 13.27%, and Brent crude oil (CBX26) made a high at $101.87, up 7 of the last 8 sessions for a total gain of $10.72, or 11.85%.
The 30-Year Bond (ZBZ26) has been down 3 sessions in a row and traded under 108.00, and the 10-Year Note (ZNZ26) is down 4 days in a row and traded down to 107-005.
In terms of the ES's overall tone, it was weak but fell into a big sideways back-and-fill late in the day. In terms of the ES's overall trade, volume was lower at 1.360 million contracts, with 47k ESZ traded.
MiM
The September 9 MOC opened showing a $306 million net sell imbalance. The initial setup was still rotational rather than a broad liquidation event, with the dollar lean at -52.9% and the symbol lean at -54.7%. NYSE and S&P 500 flows leaned slightly heavier to the sell side, while Nasdaq was the outlier, carrying a $291 million buy imbalance with a +58.5% dollar lean.
The flow remained relatively balanced through 3:54 before briefly flipping to a $286 million buy imbalance at 3:55 as buy orders reached $3.04 billion. That reversal did not hold. At 3:56, the MOC abruptly transitioned into a $1.32 billion sell imbalance as sell orders jumped to $3.00 billion. Selling remained dominant into the bell, reaching a -67.7% dollar lean at 3:59 and finishing at 4:00 with a $1.18 billion net sell imbalance. The final -82.9% dollar lean and -71.2% symbol lean were particularly notable, signaling a wholesale market sell rather than normal rotation.
Sector flow was sharply divided. Financials showed the strongest broad selling with a -76.3% dollar lean and -69.7% symbol lean. Energy was also heavily offered at -69.8%, while Health Care reached -66.9%. Utilities showed a notable -68.6% symbol lean. On the buy side, Consumer Discretionary posted a strong +69.1% dollar lean, Communication Services reached +68.1%, and Basic Materials registered +100%, although that represented only one symbol.
Individual buying was concentrated in SNDK at $167.9 million, MU at $145.9 million, and TSLA at $101.0 million, followed by APH, GOOG, and META. The largest sell imbalances were JNJ at $144.9 million, BRK.B at $69.6 million, AAPL at $68.3 million, T at $67.5 million, and AMD at $63.3 million. The takeaway was a rotational start that developed into a decisive late-day sell program.
Daily Breadth Data 📊
For Wednesday, September 9, 2026
NYSE Breadth: 24% Upside Volume
Nasdaq Breadth: 35% Upside Volume
Total Breadth: 31% Upside Volume
NYSE Advance/Decline: 25% Advance
Nasdaq Advance/Decline: 26% Advance
Total Advance/Decline: 25% Advance
NYSE New Highs/New Lows: 40 / 223
Nasdaq New Highs/New Lows: 72 / 308
NYSE TRIN: 1.08
Nasdaq TRIN: 0.63
Weekly Breadth Data 📈
For the Week Ending Friday, September 4, 2026
NYSE Breadth: 50% Upside Volume
Nasdaq Breadth: 57% Upside Volume
Total Breadth: 54% Upside Volume
NYSE Advance/Decline: 43% Advance
Nasdaq Advance/Decline: 49% Advance
Total Advance/Decline: 47% Advance
NYSE New Highs/New Lows: 152 / 308
Nasdaq New Highs/New Lows: 313 / 545
NYSE TRIN: 0.76
Nasdaq TRIN: 0.74
Today’s Economic Calendar
PTG Room Summary – For Wednesday, September 9, 2026
Wednesday’s session developed as a failed Cycle Day 3 in ES. Overnight weakness completed the previously identified 7650 downside objective, and the key test for the regular session was whether ES could reclaim the 7703.50 Cycle Day 1 Low. It never accomplished that mission, while intraday price action remained choppy and rotational, giving the session more of a Cycle Day 2 feel. The best opportunities came from recognizing support, waiting for strength to return, and trading the reversal rather than pressing shorts into established support.
Overnight setup and primary objective
Overnight selling extended the prior session’s weakness and fulfilled the 7650 downside objective from the Daily Trade Strategy.
PTGDavid identified the primary Cycle Day 3 objective as reclaiming the 7703.50 Cycle Day 1 Low.
Failure to regain 7703.50 was an important warning that trapped longs could remain under pressure.
The execution message remained consistent: take only Triple-A setups, manage risk, use hard stops, and stay aligned with the dominant force.
Morning price action
ES did not immediately provide an Opening Range trigger, while traders noted divergence between NQ and ES.
The market repeatedly respected the 7655 area, making fresh shorts into that support increasingly unattractive.
The early session became highly rotational, with quick moves away from support followed by returns toward the open.
Several traders commented that the session behaved more like a Cycle Day 2 than a traditional directional Cycle Day 3.
Positive trade opportunity
One of the better setups developed around the overnight low and the 7651.75 Money Box area.
PTGDavid’s commentary highlighted the possibility of a Peek-a-Boo-style long from the overnight low.
The trade improved once price reclaimed the Money Box area, providing evidence that buying strength was returning.
A room member reported deliberately waiting for an entry slightly above 7651.75 rather than trying to catch the exact low.
The resulting long was well received in the room, with favorable comments about both the trade and the runner.
This was a strong example of allowing the market to confirm the reversal before committing capital.
Midday influences
Treasury-market news added another volatility factor when a reported $6 billion Treasury buyback came in below the roughly $10 billion some participants had expected.
The disappointment was associated with a sharp move higher in the 10-year yield.
Despite these outside influences, the better trading lesson remained centered on price structure rather than predicting headlines.
Cycle outcome
By the afternoon, ES had officially produced a Failed 3-Day Cycle because it could not reclaim the 7703.50 Cycle Day 1 Low.
NQ did manage to reclaim its corresponding Cycle Day 1 Low, creating an interesting divergence between the two markets.
PTGDavid noted that the shortened holiday session may have disrupted the normal cycle rhythm.
The group observed that the market’s back-and-forth behavior was much more characteristic of a Cycle Day 2.
The expectation remained that the cycle process would eventually self-correct.
Key trading lessons
Do not force shorts directly into repeatedly defended support simply because the broader market has been weak.
Confirmation can be more valuable than getting the absolute best entry price. Waiting for the 7651.75 Money Box reclaim gave evidence that strength was returning.
A five-point trade does not require catching the exact high or low; execution quality matters more than perfect positioning.
Averaging or adding exposure is substantially safer when the market is already moving in your favor rather than using size to rescue a losing position.
When the expected cycle behavior does not appear, recognize the change instead of trying to force the market into the original roadmap.
Opening Range signals, Money Box levels, overnight lows, ATR references, and cycle structure are most useful when several pieces of evidence align.
The session reinforced PTG’s Primary Directive: remain aligned with the dominant force and let the market confirm the setup.
Looking ahead
The unresolved question is whether ES can recover the 7703.50 Cycle Day 1 Low following the failed Cycle Day 3.
PTGDavid highlighted 7620–7618 as an important downside pivot zone if overnight weakness continues.
A move below that zone followed by a quick recovery could create another Peek-a-Boo Long opportunity.
The close offered little additional information, with MOC essentially flat.
DTG Room Preview – For Thursday, September 10, 2026
Market backdrop
Index futures are cautious ahead of today’s PPI and tomorrow’s CPI, with inflation data expected to drive near-term Fed expectations.
Treasury yields remain a key signal for ES, while the VIX is firming ahead of the releases.
Brent crude remains above $100 as Middle East tensions and tanker attacks keep a sizable geopolitical risk premium in energy markets.
China’s purchase of 1 million tons of US soybeans ahead of Xi’s Washington visit may help ease trade tensions and support cyclical sentiment.
Expect early chop and headline-driven volatility around inflation, energy, geopolitical developments, and Fed/Treasury commentary.
Tech and AI
Apple unveiled its iPhone 18 lineup, foldable iPhone Duo, and new AI-focused wearables. AAPL reaction could have an outsized impact on NQ given its index weighting.
Nvidia faces additional regulatory pressure from a DOJ probe into its licensing agreement with Groq, while continued chip-supply constraints remain a concern.
Anthropic reported another cybersecurity incident involving Claude, adding operational-risk concerns across the AI complex.
A potential wave of AI-related IPOs could create capital rotation within tech, increasing dispersion even as AI investment remains a major market theme.
Earnings
After the close: ADBE, CPRT and ORCL.
Friday morning: KR.
Economic calendar
8:30am ET: PPI and Weekly Unemployment Claims.
10:00am ET: Existing Home Sales and Wholesale Inventories.
12:00pm ET: Crude Oil Inventories.
Volatility and positioning
ES 5-day average daily range slipped to 70 points from Tuesday’s 74.75.
Key volatility risks remain Iran/Middle East developments, Ukraine, Israel/West Bank headlines, Fed or Treasury comments, and President Trump social-media posts.
No whale bias this morning, with overnight large-trader volume too light to provide a meaningful signal.
ES technical picture
ES bounced from its 50-day moving average at 7633.25 on Wednesday, making that area loose support.
Below, the former intermediate-term downtrend channel top at 7615/12 and short-term downtrend channel bottom at 7589/84 are important support zones.
A clean break below those trendline supports could open a move toward the 7500 area.
Bulls currently have considerable room to work from a trendline perspective.
Key ES levels
Resistance: 7647/42, 7865/70.
Support: 7615/12, 7589/84, 7489/94, 7295/90, 7085/80.
