Commitment Of Traders: A Peek Into The Futures Via Noncommercial Purchases

Following futures positions of non-commercials are as of September 24, 2019.

10-year noteCurrently net short 196.3k, down 33.7k.

On September 3, the 10-year Treasury yield dropped to 1.43 percent intraday, nine basis points from the record low 1.34 percent set in July 2016.  It was on that day TLT (iShares 20+ year Treasury bond ETF) retreated from $148.67, just $0.23 from matching its all-time high of $148.90 from August 28.  (Yields move opposite price.)

Since that high, TLT came under pressure, slicing through its 50-day moving average.  By the 13th this month, it was down to $136.54, before bulls put their foot down.  The average was reclaimed.  At $142.73, it is currently in no-man’s land, sandwiched between that average and short-term horizontal resistance at $143.80s.

Throughout all this, bond bulls never lost hope.  Through Wednesday this month, TLT took in $2.2 billion (courtesy of ETF.com).  In the first half this month, they were hurting, as the 10-year rate (1.68 percent) rose all the way to 1.9 percent, before reversing and going on to lose – again – the 50-day.  It just feels like rates for now are itching to move lower.  In this scenario, the early-September low is an important reference point.

All this is unfolding as non-commercials continue to cut back their net shorts in 10-year note futures.

30-year bondCurrently net short 58.3k, up 12.1k.

Major economic releases next week are as follows.

September’s ISM manufacturing index is due out Tuesday.  In August, manufacturing activity contracted, down 2.1 points month-over-month to 49.1.  This was the first sub-50 reading in three years.

The ISM non-manufacturing index (September) and durable goods orders (August, revised) will be published Thursday.

ISM services activity in August rose 2.7 points m/m to 56.4.

Preliminarily, August orders for non-defense capital goods ex-aircraft – proxy for business capex plans – shrank 0.3 percent year-over-year to a seasonally adjusted annual rate of $69.3 billion.  This is the first back-to-back y/y decline in 33 months.

Friday brings September’s employment report.  In August, the economy added 130,000 non-farm jobs, for a monthly average this year of 158,000.  In 2018, the monthly average was 223,000.

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