US Rates Technical Report: Futures Prices Little Changed, RSIs Track Sideways
- By Richard Jones and Henry Occleston
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Summary
- Price action over the past week was less pronounced than the week before, with yields flat to little changed across the curve.
- RSIs across all the contracts tracked sideways, with each of the readings remaining in the 50-55 range, similar to the week before.
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 (119.03): the WN price was little changed from 119.13, as was the RSI (now 50.7 versus 50.1 previously).
- US (114.09): the US price rose slightly (from 113.97) over the past week, with the RSI up to 52.7 from 50.9.
- TY (108.95): the TY price was also little changed over the past week (from 109.06) as was the RSI (at 52.9 from 53.6 previously).
- FV (106.44): Following a similar pattern to the other contracts, the FV price was little changed (106.46 the prior week). The RSI rose slightly, to 53.5 from 53.1.
- TU (102.86): The TU price is up very slightly from 102.82, with the RSI rising to 54.4 (the strongest reading this week) from 52.3.
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 119.03, down from 119.13 this time last week, above a moderate-sized selling cluster at 119.00 (Chart 1). WN RSI at 50.7 sits on the slight right-hand side of the 12-month distribution.
US Positioning
US is trading at 114.09, up from 113.97 this time last week, sitting between two small buying clusters at 114.00 and 114.25 (Chart 2). The current RSI, at 52.7, sits on the right-hand side of its 12-month distribution.
TY Positioning
At 108.95, down from 109.06 last week, TY trades between a large buying cluster at 108.90 and a moderate-sized selling cluster at 109.30 (Chart 3). The RSI, at 52.9 sits on the right-hand side of its 12-month distribution.
FV Positioning
Trading at 106.44, little changed from 106.46, FV trades between a large selling cluster at 106.40 and a small selling cluster at 106.60 (Chart 4). The RSI rose to 53.5, from 53.1.
TU Positioning
At 102.86, the price is up slightly from 102.82. The contract trades between a moderate-sized buying cluster at 102.85 and a larger buying cluster at 102.90 (Chart 5). TU RSI, at 54.4, is above last week’s 52.3 reading. The RSI sits on the right-hand side the 12-month distribution.