US Rates Technical Report: RSIs Retreat to Neutral Across the Curve

Summary

• Prices across the UST rates curve are lower this week.
• RSIs have all retreated after having been overbought in recent weeks.
• RSIs are now all between 50 and 55 across the curve, which we see as 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 (122.66): the WN price is down from 123.75, with the RSI at 53.0 versus 58.0 previously.
• US (117.25): the US price is down from 118.50, with the RSI at 53.8 from 61.6.
• TY (110.59): the TY price also moved lower over the past week (from 111.50), with the RSI at 54.3 from 66.0 previously.
• FV (107.44): Following a similar pattern to the other contracts, the FV price is lower (versus 107.99 the prior week), with the RSI at 53.7 from 67.3.
• TU (103.20): The TU price is down from 103.46 last week, with the RSI at 54.1 from 71.5.

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 | US | TY | FV | TU

WN Positioning

WN is trading at 122.66, down from 123.75 this time last week, and trades below a moderate-sized buying cluster at 122.75 and above a large selling cluster at 122.25 (Chart 1). WN RSI at 53.0 sits on the right-hand side of the 12-month distribution.

US Positioning

US is trading at 117.25, down from 118.50 this time last week, sitting between a moderate-sized buying cluster at 117.00 and a similar-sized selling cluster at 117.50 (Chart 2). The current RSI, at 53.8, sits on the right-hand side of its 12-month distribution.

TY Positioning

At 110.59, down from 111.50 last week, TY sits amidst a modest cluster of selling from 110.4-110 (Chart 3). The RSI, at 54.3, sits on the right-hand side of its 12-month distribution.

FV Positioning

Trading at 107.44, down from 107.99, FV trades between a large buying cluster at 107.40 and a similar-sized selling cluster at 107.50; above this point selling predominates out to 107.8 (Chart 4). The RSI, at 53.7, sits on the right-hand side of the 12-month distribution.

TU Positioning

At 103.20, the price is down from 103.46. The contract trades at a moderate-sized buying cluster at 103.20, with a larger selling cluster at 103.15 and a similar-sized selling cluster at 103.30 (Chart 5). TU RSI, at 54.1, sits on the right-hand side of the 12-month distribution.

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