US Rates Technical Report: RSIs Pull Back, but Remain Neutral
- By Richard Jones and Henry Occleston
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Summary
- Prices are lower across all futures maturities, with long end contracts underperforming.
- RSIs are also lower at every point along the curve, with readings all within the 40-50 neutral range.
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 (118.31): the WN price is down from 120.84, with the RSI at 42.6 from 52.1.
- US (114.50): the US price is down from 116.28, with the RSI at 43.9 from 52.7.
- TY (111.02): the TY price is down from 111.84, with the RSI at 48.0 from 57.1.
- FV (108.31): the FV price is down from 108.87, with the RSI at 49.4 from 59.5.
- TU (103.63): the TU price is down from 103.92, with the RSI at 47.2 from 58.7.
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 118.31, down from 120.84 this time last week, and trades between a moderate-sized buying cluster at 118.25 and a larger selling cluster at 118.50 (Chart 1). WN RSI at 42.6 sits on the left-hand side of the 12-month distribution.
US Positioning
US is trading at 114.50, down from 116.28, at a small selling cluster at 114.50, just above larger ones at 114-114.25 (Chart 2). The RSI at 43.9 sits on the left-hand side of the 12-month distribution.
TY Positioning
TY is trading at 111.02, down from 111.84, at the lower end of a large selling cluster from 111.0-111.20 (Chart 3). The RSI at 48.0 sits in the middle of the 12-month distribution.
FV Positioning
FV trades at 108.31, down from 108.87, trading below a very large selling cluster at 108.40 (Chart 4). The RSI at 49.4 sits in the middle of the 12-month distribution.
TU Positioning
TU trades at 103.63, down from 103.92. The contract trades between a huge selling cluster at 103.60 and a much smaller selling cluster at 103.65 (Chart 5). The RSI at 47.2 sits in the middle of the 12-month distribution.
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