COMMODITY TRADING SCHOOL
WHITEHALL INVESTMENT MANAGEMENT US TREASURY FUTURES REPORT 06/18/09
ECONOMIC DATA 06/19/09: all times EST
NO MAJOR ECONOMIC RELEASES, QUADRUPLE WITCHING (EXPIRATION ON STOCK & STOCK INDEX FUTURES & OPTIONS)
ECONOMIC DATA 06/ 18/ 09
- US JOBLESS CLAIMS (608K VS. 610K)
- US LEADING INDICATORS (1.2% VS. 1.0%)
- PHILADELPHIA FED INDEX (-2.0 VS.-15.0)
- EIA NAT GAS (114 BCF VS. 106 BCF)
- US DEBT ANNOUNCEMENT (2-$40B, 5-$37B, 7-$27B YEAR NOTES)
US TREASURIES COLLAPSE UNDER THE WEIGHT OF RECORD SUPPLY COMING TO AUCTION, BETTER THAN EXPECTED ECONOMIC DATA.
US Treasuries collapsed in Thursday’s session, driven through key support levels on the 30 year futures by a combination of fundamental and technical factors. The higher end of the yield curve took it hard on the chin as reports on US manufacturing and leading economic indicators both posted strong gains after a stream of declining reports. The news helped to break the 3 day losing streak in equities, enhancing their appeal on valuations. Financials and material stocks helped to bolster equities and further dampen demand for Treasuries.
Treasuries accelerated their declines today after the announcement of a record $104 billion worth of 2, 5, and 7 year notes coming to auction next week. The supply is going to have higher concentrations on the higher end of the yield curve as the treasury is trying to perhaps take advantage of the markets price contraction to offer Debt at higher yields. Concerns are increasing though as the acceleration of downward momentum appears to be increasing during periods when the Federal Reserve does not step into the market with financial support. Perhaps the Fed is focusing more on its attempted power grab and has less concern for supporting the market, believing in its ability to comfortably dollar cost average into its proposed $300 billion purchases of Treasury debt. After all, there will be enough supply to go around for a long time to come (at least 7 years according to next week’s auction).
Technically, 30 year futures broke through the initial support level this report called for at 114-280. Some short covering may take place, but upward movement looks limited to a recovery level of
115-060. Overall, weakness in the market should continue based on the brief break of the 114-00 handle. While the market is likely to range trade throughout the summer between 112-150 and 117-200, September 30 Year Treasuries should attempt a breakout downward move to target 111-170.
|
US DEBT FUTURES |
OPEN |
HIGH |
CHANGE |
||
|
US U9 (US 30 YRS) |
115-285 |
115-300 |
113-310 |
114-055 |
-2-04.5/32nds |
|
TY U9 (US 10 YRS) |
115-055 |
115-085 |
113-275 |
114-005 |
-1-10.5/32nds |
Prepared by Rich Roscelli & Paul Brittain.
EMAIL QUESTIONS OR COMMENTS TO RICH@BINVSTGRP.COM
Past performance is not indicative of future results. The information and data in this report were obtained from sources considered reliable. Their accuracy or completeness is not guaranteed and the giving of the same is not to be deemed as an offer or solicitation on our part with respect to the sale or purchase of any securities or commodities. Whitehall Investment Management, its officers and directors may in the normal course of business have positions, which may or may not agree with the opinions expressed in this report. Any decision to purchase or sell as a result of the opinions expressed in this report will be the full responsibility of the person authorizing such transaction.
