US Rates Technical Report – Futures Sell Off
- By Richard Jones and Henry Occleston
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Summary
- Prices moved sharply lower in all futures maturities, as did RSIs.
- RSIs are in the 40-50 range, with the long-end looking nearest oversold.
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 (115.00): the WN price is down from 116.28, with the RSI at 40.6 versus 44.7.
- US (112.19): the US price is down from 113.25, with the RSI at 40.8 versus 44.7.
- TY (110.38): the TY price is down from 110.95, with the RSI at 41.6 versus 46.9.
- FV (107.89): the FV price is down from 108.22, with the RSI at 42.2 versus 47.9.
- TU (103.54): the TU price is down from 103.65, with the RSI at 46.2 versus 52.6.
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, down from 116.28 this time last week. WN sits in the gap between a large buying cluster at 114.5 and a slightly smaller buying cluster at 116 (Chart 1). WN RSI at 40.6 sits on the left side of its 12-month distribution.
US Positioning
US trades at 112.19, down from 113.25, between large buying clusters at 111.75 and 113 (Chart 2). US RSI at 40.8 sits on the left of its 12-month distribution.
TY Positioning
TY trades at 110.38, down from 110.95, above a large buying cluster at 110.3 and a large selling one at 110.6 (Chart 3). TY RSI at 41.6 sits on the left of its 12-month distribution.
FV Positioning
FV trades at 107.89, down from 108.22, between two large selling clusters at 107.8 and 108.0 (Chart 4). FV RSI sits at 42.2 on the left of its 12-month distribution.
TU Positioning
TU trades at 103.54 down from 103.65, in a gap amidst a selling cluster from 103.45-103.65 (Chart 5). TU RSI at 46.2 shows the contract is neutral, sitting on the left of its 12-month distribution.
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