No follow through to the upside for treasury prices Monday. No capitulation (short covering) of any substance either. Open interest rose another 23K as prices pulled back 9.5 ticks. 3.65% yield is worth watching. Back on the 5th of Mar. that yield level corresponded to a price of 11705.5 area.Currently 3.65% would come in around 117'31. 117'05.5 is currently associated with a cash 10yr. yield of around 3.76%. 117'31 area is my current Maginot line if you will. I will be short futures against that level and long above it. As you can see I am doing a 180 degree turn from yesterdays writing. Again what needed to happen yesterday to run the market higher did not happen, prices got no where near 11717.5 area and there was no short squeeze. This tells me that shorts are not exiting this market. Also events from Friday while not forgotten certainly have lost their teeth. As a matter of fact Goldman reports earnings this a.m. which could buoy the stock market. Another yield level to pay attention to is 3.55% that is approx. the 50% pull back of the recent range. The fact that 10’s are tracking a 7yr. security means there is a certain amount of yield curve risk involved plotting points on the futures charts vs. 10yr. yields. However a lot of the work involved in looking at the CRB index and it’s correlation to 10yr. cash yields and futures prices is still very valid empirically. Again please re-acquaint yourself with this document.
The information in these pages is for informational purposes only. The sources for the information including the exchanges themselves are deemed reliable by the writer. However the writer makes no representations or warranties as to the accuracy of the information in these reports. Commodity trading is very risky and before considering trading commodities you should consult with a bona fide financial professional. The CFTC nor the NFA nor the exchanges make any warranties as to these writings.
Currently with prices trading 11624 the cash 10yr. yield is around 3.81%. Above 3.65 and 3.55 will look for another test of 4%.
Option trade was quite light compared to Fridays session. As noted bullish Fed Fund trader started buying call structures vs. the Jan. Futures.
10yr.
685
1000
500
M14p
7
^M11627
287
Bot
500
K 16/17P STUPID
24
11700+/01
370
Bot
500
+ M 14/15P SPD -M19/20 C SPD
1
11631+/00
660
Bot
4000
U 110P
18
11700/00+
684
Bot
800
K 16/17/18 C FLY
29
11700/01
684
Bot
1750
K 16+P
9
11700+/01
685
Bot
500
M 13+P
5
11701+/02
685
Bot
1000
U11p
27
11626-26+
830
Bot
1000
M 16/18 COMBO +P
3
11700/00+
287
Sold
1000
K 16+P
9
11700/00+
287
Sold
500
+K16/-M16+ C DIAL
3
11630/30+
287
Sold
600
K 14/19 STG
2
11630/30+
287
Sold
500
K+16/M-16+c Diag
5
11625-25+
370
Sold
500
K17 Stdl
37
11631-31+
370
Sold
700
M15p/18c Stgl
34
11625-27
685
Sold
500
K 17^
40
11630+/31
685
Sold
500
K 17^
39
11631/00
709
Sold
850
K 17^
41
11702/03
714
Sold
2000
M 19C
10
11700/01
714
Sold
2000
M 16+P
38
^M11700
30yr.
560
Bot
2000
U 14P
154/160
11626/27
560
Bot
2000
U 10/12P STUPID
203/204
11628/29
355
Sold
1500
-K 17C /+M19C
EVEN
11627/28
2 + 5yr.
714
Bot
3000
M 14+P
16
11508
714
Sold
1000
M 14+P
14.5
Bot
7,000
U113.5p
54
11510
Fed Fund
287
Bot
500
U93C
CAB5
U9972+/73
915
Bot
2000
M 68/75/81 P FLY
2.5
M9977+/78
560
Sold
2000
M 68/75/81 P FLY
2.5
M9977+/78
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