

This article is only available to Macro Hive subscribers. Sign-up to receive world-class macro analysis with a daily curated newsletter, podcast, original content from award-winning researchers, cross market strategy, equity insights, trade ideas, crypto flow frameworks, academic paper summaries, explanation and analysis of market-moving events, community investor chat room, and more.
Summary
- Bullish price action has led RSIs higher across the curve this past week.
- The TU (75) and FV (70.2) are both above the 70 threshold, meaning both contracts are overbought.
- The WN (67.1), US (67.5) and TY (68.9) RSIs are not far behind.
- Over the past 12 months, when RSIs rose and were at current levels, prices rose most of the time the following week in most contracts, except for in TU, where prices fell each of the six times these current conditions prevailed.
Using Positioning Data to Find Key Futures Levels
We look at net positioning moves in our Cross-Market Positioning Report. Here, we use an alternative model for analysing CFTC futures data based on the key levels at which fast money net positioning has changed. Our aim is to identify support and resistance levels.
The current analysis suggests (Table 1):
- WN (137.16): Both RSI and price rose the past week, with the current price well above all the biggest net long and net short levels seen over the 3-month, 6-month and 12-month lookback periods. The WN price rose 64% of the time the following week on previous occasions (14 times over the past 12 months) where the RSI rose and was at this level. The RSI sits on the right-hand side of the 12-month distribution.
- US (127.25): Again, both the US RSI and price rose this past week, with the RSI sitting on the right-hand side of the distribution. The US price rose 100% of the time the following week on previous occasions (7 times in the past 12 months) where the RSI rose and was at this level. The US price still sits well above the biggest net long and net short levels across all the lookback periods.
- TY (115.08): As with WN and US, both the RSI and price rose this week. At the current RSI level (and after rising from the previous week), TY has risen 63% of the time the following week. The TY price is above each of the long and short lookback levels, with the RSI sitting on the right-hand side of the distribution.
- FV (110.27): At 70.2, the RSI has just breached the 70 overbought level. With both the price and RSI rising, at this RSI level and after an RSI rise, prices rose 56% of the time the following week. Additionally, the current price is well above the biggest net long and net short levels across all the lookback periods.
- TU (104.09): The TU price and RSI both rose this week, with the RSI at 75 indicating that for the second week in a row the contract is overbought. At the current RSI level and after an RSI jump, TU has fallen every time (6 times over the past 12 months). TU is well above most of the biggest net long and net short levels across all the lookback periods.
The below table is based only on the largest net changes. For a more detailed view of levels of net position changes, see the specific sectors:
WN Positioning
WN is trading at 137.16, up from 135.31 this time last week, and now sits above all the buying and selling clusters seen over the past 12 months (Chart 1). The price is near the top of its YTD range.
The WN RSI jumped to 67.1 from 63.1. The current RSI level is now on the right-hand side of the 12-month distribution (Chart 2). The RSI has closed in the current bucket 19 times in the last year, after which price has tended (58% of the time) to rise in the week following. With this up move in the RSI, it means that the following week, at this RSI level, the indicator rose again 64% of the time.
US Positioning
US is trading at 127.25, up from 126.06 this time last week. At the current price, US trades above all the buying and selling clusters seen over the past 12 months. (Chart 3).
The current RSI, at 67.5, up from 64.3, sits on the right-hand side of its 12-month distribution (Chart 4). The historic WoW performance from here is bullish — when you look at the current RSI range, prices rose 67% of the time the following week), and rose 100% of the time (in the 7 occurrences over the past 12 months) the following week if you look at the RSI level and the direction it is travelling in.
TY Positioning
At 115.08, up from 114.45 last week, TY trades above all the buying and selling clusters seen over the last 12 months (Chart 5).
The RSI at 68.9, up from 65.1, is in the right-hand side of the 12-month distribution. It has closed in the current bucket 10 times in the last year and has fallen more in the week after 50% of the time. In the last year when the RSI has closed in this bucket and been moving downwards, the price has risen 63% of the time in the following week.
FV Positioning
Trading at 110.27, up from 109.98, FV trades above almost all the decent sized buying and selling levels from the past year (Chart 7). The price is near the top of its YTD range.
The RSI, at 70.2, rose from the previous 69.1 reading, sits just above the overbought 70 threshold. Price moves have been skewed higher (rising 56% of the time WoW) over the past 12 months when closing in this range. When the RSI has moved higher as seen this week, the proportion of week ahead rises is also at 56%.
TU Positioning
At 104.09, up from 103.84 last week, the contract remains above all the buying and selling levels seen over the past year (Chart 9). The RSI sits on the right-hand side of the 12-month distribution.
The RSI at 75, above the overbought 70 threshold, has edged higher from last week’s 71.9 level and is the highest reading of all the contracts we look at. The evidence over the last year suggests that on the six occasions when the RSI has been in this range and rising, the price fell every time the time in the week after.
Richard Jones writes about FX and rates markets for Macro Hive. He has traded and invested in interest rate and FX market portfolios spanning three decades, both on the buy-side and sell-side.
Henry Occleston is a strategist who focuses on European markets. Formerly, he worked in European credit and rates strategy at Mizuho Bank, and market strategy at Lloyds Bank.