US Rates Technical Report: RSIs Remain Neutral, With Long End Nearer Overbought Than Short End
- By Richard Jones and Henry Occleston
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Summary
- Price action has seen the curve flatten, with futures prices in the longer maturity contracts outperforming the short end.
- Technicals also reflect this shift, with RSIs in the deferred maturity contracts slightly closer to overbought than the short end.
- Despite these nuances, RSIs across all contracts remain neutral.
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 (120.47): the WN price is up from 119.00, as was the RSI (now 54.9 versus 50.3 previously).
- US (115.38): the US price is up from 114.13, with the RSI up to 57.3 from 52.2.
- TY (109.19): the TY price also rose over the past week (from 108.89) as did the RSI (at 52.9 from 51.4 previously).
- FV (106.45): Following a similar pattern to the other contracts, the FV price is higher (versus 106.38 the prior week). The RSI fell slightly, to 50.9 from 51.2.
- TU (102.73): The TU price is down slightly from 102.77, with the RSI falling to 46.0 (the weakest reading this week) from 48.6.
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 sectors:
WN Positioning
WN is trading at 120.47, up from 119.00 this time last week, and trades above a moderately sized buying cluster at 120.00 and a similarly sized selling cluster at 121 (Chart 1). WN RSI at 54.9 sits on the slight right-hand side of the 12-month distribution.
US Positioning
US is trading at 115.38, up from 114.13 this time last week, sitting below a large selling cluster at 115.50 (Chart 2). The current RSI, at 57.3, sits on the right-hand side of its 12-month distribution.
TY Positioning
At 109.19, up from 108.89 last week, TY trades between a large buying cluster at 109.00 and a smaller 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 106.45, up from 106.38, FV trades between two very large selling clusters at 106.40 and 106.50 (Chart 4). The RSI fell to 50.9, from 51.2.
TU Positioning
At 102.73, the price is down slightly from 102.77. The contract trades between two large buying clusters at 102.70 and 102.75 (Chart 5). TU RSI, at 46.0, is below last week’s 48.6 reading. The RSI sits in the middle of the 12-month distribution.