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Summary
- Prices moved sharply higher in all futures maturities, as did RSIs.
- TU is now flagging overbought, with other RSIs across-the-curve not far behind.
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 (119.53): the WN price is up from 117.22, with the RSI at 60.9 versus 51.7.
- US (115.72): the US price is up from 114.09, with the RSI at 60 versus 52.3.
- TY (112.17): the TY price is up from 111.30, with the RSI at 64.6 versus 57.0.
- FV (109.02): the FV price is up from 108.52, with the RSI at 66.2 versus 60.
- TU (104.01): the TU price is up from 103.62, with the RSI at 71.3 versus 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 trades at 119.53, up from 117.22 this time last week. WN sits between a large selling cluster at 119.0 and a slightly smaller buying cluster at 120 (Chart 1). WN RSI at 60.9 sits on the right of its 12-month distribution.
Chart 1: WN Positioning, 30Y Yield, RSI
US Positioning
US trades at 115.72, up from 114.09, below a large buying cluster at 115.75 (Chart 2). US RSI at 60 sits on the right of the 12-month distribution.
Chart 2: US Positioning, 20Y Yield, RSI
TY Positioning
TY trades at 112.17, up from 111.30, amid a large buying cluster from 112.1-112.2 (Chart 3). TY RSI at 64.6 sits on the right of its 12-month distribution.
Chart 3: TY Positioning, 10Y Yield, RSI
FV Positioning
FV trades at 109.02, up from 108.52, at the upper end of a small cluster of selling (Chart 4). FV RSI sits at 60.0, on the right of its 12-month distribution.
Chart 4: FV Positioning, 5Y Yield, RSI
TU Positioning
TU trades at 104.01, up from 103.62, between a very large buying cluster at 103.95 and a selling cluster at 104.10 (Chart 5). TU RSI at 71.3 shows the contract as overbought, sitting on the right of its 12-month distribution.
Chart 5: TU Positioning, 2Y Yield, RSI