Quantitative analysis from 300 observations of 2-Year Note Primary Dealer Share history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.
What factors could push 2-Year Note Primary Dealer Share higher?▾
The primary drivers that tend to lift 2-Year Note Primary Dealer Share depend on the current macro regime. Primary dealer share at the latest 2-Year Note auction; dealers backstop the issue, so a rising PD share typically signals weaker indirect/direct appetite. Convex tracks these drivers live across the Treasury Auctions category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push 2-Year Note Primary Dealer Share lower?▾
The same transmission channels that drive 2-Year Note Primary Dealer Share higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see 2-Year Note Primary Dealer Share heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
Get forecast updates for 2-Year Note Primary Dealer Share and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.
10Y
120
-16.98%
111.99%
-0.15
54.6%
-84.18%
All
300
n/a
109.04%
n/a
50.9%
n/a
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Percentile Rank
29.0th
0.00median 25.0969.08
Current value 8.7818 on a 300-observation history going back to Jul 25, 2001.
Volatility Regime
elevated
140.17%REALIZED 30D ANN
Sits at the 87.0th percentile vs full history. Median 93.45%.
Forward Returns by Macro Regime[04]
How 2-Year Note Primary Dealer Share has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
VIX
Volatility regime: Low (<15), Normal (15-25), Elevated (25-40), Extreme (>40)
Credit regime: Tight (<350bps), Normal (350-500bps), Stressed (>500bps)
CURRENT:2.74→Tight (<350bps)
REGIME BUCKET
N
+30D
+90D
+1Y AVG
+1Y MED
HIT %
▍Tight (<350bps)
49
5.13%
0.88%
-13.48%
-21.09%
29.7%
Normal (350-500bps)
61
2.09%
1.47%
-3.20%
-7.85%
41.0%
Trade-Weighted Dollar
Dollar regime: bottom/middle/top tercile of trailing 5Y rolling distribution
CURRENT:120.89→Neutral (middle)
REGIME BUCKET
N
+30D
+90D
+1Y AVG
+1Y MED
HIT %
Weak (bottom tercile)
48
4.85%
4.71%
-7.01%
-4.61%
44.8%
▍Neutral (middle)
63
4.94%
2.80%
1.94%
-2.07%
43.6%
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads 2-Year Note Primary Dealer Share; negative means it lags.
ANCHOR
ROLE
PEAK LAG
PEAK CORR
ZERO-LAG
RELATIONSHIP
Initial Jobless Claims
Labor leader
-45d
0.460
-0.057
lags target by 45d
HY OAS Spread
Credit risk leader
-45d
0.384
0.028
lags target by 45d
NFCI
Financial conditions
-47d
-0.331
-0.001
lags target by 47d
10Y-2Y Yield Spread
Recession leader
-39d
0.263
0.076
lags target by 39d
Baa-10Y Spread
Credit risk (slow)
-45d
0.257
0.002
lags target by 45d
Copper
Global growth proxy
-45d
-0.199
0.082
lags target by 45d
10Y Treasury Yield
Discount-rate driver
-45d
-0.185
0.014
lags target by 45d
Trade-Weighted Dollar
FX driver
+56d
-0.180
0.004
leads target by 56d
VIX
Volatility leader
+12d
-0.160
0.106
leads target by 12d
U-Mich Consumer Sentiment
Survey leader
0d
0.000
0.000
weak
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where 2-Year Note Primary Dealer Share sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
DATE
VALUE
+30D
+90D
+1Y
May 27, 2025
9.1743
30.00%
18.11%
15.95%
Feb 24, 2025
6.1890
65.88%
92.71%
40.87%
Nov 25, 2024
8.5259
29.65%
20.41%
17.21%
Aug 27, 2024
10.9134
13.66%
1.29%
-21.09%
Mar 25, 2024
13.2151
11.91%
-36.09%
-22.31%
Worst Historical Drawdown[07]
-91.04%PEAK-TO-TROUGH
Peak May 28, 2008 → trough Feb 24, 2025. Has not yet recovered to prior peak.
All-time high: 69.0834 on May 28, 2008 · Current DD from ATH: -87.29%
Largest Single-Period Moves[09]
▲ Up
Jun 20, 2016165.14%
Mar 24, 2026148.65%
Jul 28, 2009127.75%
Nov 22, 202193.79%
Mar 27, 202389.36%
▼ Down
May 24, 2016-53.59%
Apr 27, 2026-51.84%
Feb 24, 2025-51.71%
Aug 23, 2016-51.42%
Nov 25, 2024-51.26%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
MONTH
AVG RETURN
HIT %
N
January
-12.81%
27.8%
18
February
-3.05%
38.9%
18
March
17.00%
55.6%
18
April
4.01%
55.6%
18
May
-6.64%
52.6%
19
June
9.33%
36.8%
19
July
7.13%
50.0%
18
August
2.95%
55.6%
18
September
7.03%
50.0%
18
October
-1.72%
52.9%
17
November
5.96%
57.9%
19
December
9.84%
77.8%
18
N = 300 OBS · GENERATED 2026-07-02 21:30Z
What is the historical range for 2-Year Note Primary Dealer Share?
▾
Historical ranges for 2-Year Note Primary Dealer Share vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the 2-Year Note Primary Dealer Share chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the 2-Year Note Primary Dealer Share forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.