US Rates Technical Report – Futures Bounce Back, RSIs Remain Neutral
- By Richard Jones and Henry Occleston
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Summary
- Prices rose again in all futures maturities, as did RSIs.
- RSIs remain neutral, all have risen, with the short-end moving closest to overbought.
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 (115.78): the WN price is up from 115.00, with the RSI at 46.1 versus 40.6.
- US (113.13): the US price is up from 112.19, with the RSI at 47.9 versus 40.8.
- TY (111.08): the TY price is up from 110.38, with the RSI at 51.5 versus 41.6.
- FV (108.36): the FV price is up from 107.89, with the RSI at 52.4 versus 42.2.
- TU (103.70): the TU price is up from 103.54, with the RSI at 53.7 versus 46.2.
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 sections:
WN Positioning
WN trades at 115.78. WN sits near a small selling cluster around 115.75, just below a large buying cluster at 116.0-116.25 (Chart 1). WN RSI sits at 46.1, in the middle of its 12-month distribution.
US trades at 113.13, amidst a large buying cluster from 113-113.75 (Chart 2). US RSI at 47.9 sits in the middle of its 12-month distribution.
TY Positioning
TY trades at 111.08, down from 110.95, amidst a large selling cluster from 111-111.2 (Chart 3). TY RSI at 51.5 sits on the right of its 12-month distribution.
FV Positioning
FV trades at 108.36, amidst a selling cluster at 108.3-108.4 (Chart 4). FV RSI sits at 52.4 in the middle of its 12-month distribution.
TU Positioning
TU trades at 103.70, in a gap between two large selling clusters 103.45-103.65 and at 103. (Chart 5). TU RSI at 53.7 shows the contract is neutral, sitting in the middle of its 12-month distribution.
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