US Rates Technical Report – RSIs Stuck in Neutral With Futures Prices Mixed
- By Richard Jones and Henry Occleston
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Summary
- WN and US prices edged higher, while TU, FV and TU prices drifted lower.
- RSIs remain neutral across the curve, stuck in a tight range between 45-50.
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 (116.03): the WN price is up from 115.78, with the RSI at 47.8 versus 46.1.
- US (113.38): the US price is up from 113.13, with the RSI at 49.5 versus 47.9.
- TY (110.86): the TY price is down from 111.08, with the RSI at 48.5 versus 51.5.
- FV (108.20): the FV price is down from 108.36, with the RSI at 48.8 versus 52.4.
- TU (103.57): the TU price is down from 103.70, with the RSI at 46.8 versus 53.7.
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 trades at 116.03, up from 115.78 this time last week. WN sits just above a moderately sized buying cluster at 116.00 and below a smaller buying cluster at 116.25 (Chart 1). WN RSI at 47.8 sits in the middle of its 12-month distribution.
Chart 1: WN Positioning, 30Y Yield, RSI
US Positioning
US trades at 113.38, up from 113.13, and sits above a large buying cluster at 113.25, with two moderately sized buying clusters also at 113 and 113.50 (Chart 2). US RSI at 49.5 sits in the middle of its 12-month distribution.
Chart 2: US Positioning, 20Y Yield, RSI
TY Positioning
TY trades at 110.86, down from 1111.08, between a massive selling cluster at 110.70 and a similarly sized buying cluster at 110.90. (Chart 3). TY RSI at 48.5 sits in the middle of its 12-month distribution.
Chart 3: TY Positioning, 10Y Yield, RSI
FV Positioning
FV trades at 108.20, down from 108.36, between a huge buying cluster at 108.10, on a modest buying cluster at 108.20, and below another modest-sized buying cluster at 108.30 (Chart 4). FV RSI at 48.8 sits in the middle of its 12-month distribution.
Chart 4: FV Positioning, 5Y Yield, RSI
TU Positioning
TU trades at 103.57, down from 103.70, sitting in a range of selling clusters between 103.45 and 103.80, with the biggest clusters at 103.55 and 103.60 (Chart 5). TU RSI at 46.8 sits in the middle of its 12-month distribution.
Chart 5: TU Positioning, 2Y Yield, RSI
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