CoT: Peek Into Future Through Futures, Hedge Funds Position

Following futures positions of non-commercials are as of November 23, 2021.

10-year note: Currently net short 323.4k, up 29.3k.

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As of last Tuesday, non-commercials added more to their holdings of net shorts in 10-year note futures. They are now most net short since February last year. Directionally, their bearishness seemed appropriate as on Wednesday the 10-year treasury yield touched 1.69 percent, matching the intraday high from October 22. On both those occasions, bears (on price) were unable to hang on to the gains, with the 10-year closing at 1.65 percent last Wednesday. In the next session – that is, Friday – rates gapped down 17 basis points, as stocks tumbled across the board; the session low of 1.47 percent just about tested horizontal support at mid-1.40s. This was also a test of the 200-day (1.49 percent). It has held – thus far.

Yesterday, yields rose five basis points to 1.53 percent. On the daily, there is still room for rates to head lower. But if the bears regroup and bonds sell off more, Friday’s gap gets filled at 1.64 percent.

30-year bond: Currently net short 11k, down 5.3k.

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Major economic releases for rest of the week are as follows.

The S&P Case-Shiller Home Price Index (September) is due out later this morning. Nationally, US home prices surged 19.8 percent month-over-month in August. This was the steepest price rise in the series’ nearly 47-year history.

Wednesday brings the ISM manufacturing index (November). Manufacturing activity in October dropped three-tenths of a point m/m to 60.8.

Nonfarm payrolls (November), the ISM non-manufacturing index (November) and durable goods orders (October, revised) will be published on Friday.

In October, the US economy added 531,000 non-farm jobs m/m to 148.3 million. Since the post-pandemic low of 130.2 million, 18.2 million jobs have been added. This is still 4.2 million short of the February 2020 high of 152.5 million.

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