US Rates Technical Report – Long-End RSIs Drop, Shorter-End Readings Stickier Near Neutral
- By Richard Jones and Henry Occleston
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
- Long-end prices in the UST rates curve are lower this week, while shorter-end prices are steady to slightly higher.
- RSIs in the long-end have retreated, while shorter-end readings are little changed, remaining at neutral levels.
- TY, FV and TU RSIs remain between 50 and 55, while WN and US RSIs are both below 50.
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 (121.22): the WN price is down from 122.66, with the RSI at 45.1 versus 53.0 previously.
- US (116.41): the US price is down from 117.25, with the RSI at 46.7 from 53.8.
- TY (110.59): the TY price is unchanged at 110.59, with the RSI at 51.9 from 54.3 previously.
- FV (107.47): Unlike the longer-end contracts, the FV price is higher (versus 107.44 the prior week), with the RSI at 51.7 from 53.7.
- TU (103.30): The TU price is up from 103.20 last week, with the RSI at 55.9 from 54.1.
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 121.22, down from 122.66 this time last week, and trades below a small buying cluster at 121.25 and above a smaller selling cluster at 121.00 (Chart 1). WN RSI at 45.1 sits in the middle of the 12-month distribution.
US Positioning
US is trading at 116.41, down from 117.25 this time last week, sitting above a moderately sized selling cluster at 116.25 and a smaller selling cluster at 116.50 (Chart 2). The current RSI, at 46.7, sits in the middle of the 12-month distribution.
TY Positioning
At 110.59, unchanged from last week, TY sits between two decent-sized selling clusters at 110.50 and 110.60 (Chart 3). The RSI, at 51.9, sits on the right-hand side of its 12-month distribution.
FV Positioning
Trading at 107.47, up slightly from 107.44, FV trades between a large buying cluster at 107.40 and a similarly sized selling cluster at 107.50 (Chart 4). The RSI, at 53.7, sits on the right-hand side of the 12-month distribution.
TU Positioning
At 103.30, the price is up from 103.20. The contract trades at a moderately sized selling cluster at 103.30, with a similarly sized buying clusters at 103.20 and a similarly sized selling cluster at 103.35 (Chart 5). TU RSI, at 55.9, sits on the right-hand side of the 12-month distribution.
(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs. You are not permitted to publish, transmit, or otherwise reproduce this information, in whole or in part, in any format to any third party without the express written consent of Macro Hive. This includes providing or reproducing this information, in whole or in part, as a prompt.)