COMMODITY TRADING SCHOOL US TREASURY FUTURES REPORT 07/01/09

SUMMARY OF DATA 07/02/09

  • 8:30 AM BLS NONFARM PAYROLL (-350K), UNEMPLOYMENT (9.6%), WEEKLY CLAIMS (619K)
  • 10:00 AM US FACTORY ORDERS (1.4%)
  • 10:30 AM EIA INVENTORY (NAT GAS)
  • 11:00 AM US 3, 10, 30 YEAR 10 YEAR TIPS ANNOUNCEMENTS

07/01/09 SUMMARY OF DATA

ADP EMPLOY REPORT (-473K), ISM MFG IDX (44.8 vs. 45.0), US CONSTRUCTION SPENDING (-0.9% vs.-0.5%), PENDING HOME SALES (90.7) EIA INVENTORY REPORT (CRUDE -3.7%, RBOB +2.3 M, DISTIL +2.9 M RBOB DEMAND +0.9%, CAP UTIL 87.0.

LONG END OF YIELD CURVE COMES UNDER PRESSURE ON EXPECTATION JOBS DATA WILL SHOW SLOWING OF LOSSES, AUCTION ANNOUNCEMENTS

US TREASURIES reflected the tight range, low volume trading expected ahead of the 4th of July week, as well as position flattening ahead of the major employment release scheduled for Thursday. Early pressure on the yield curve came about after reports on China and US manufacturing showed strengthening within the manufacturing sector. Additional reports offered support to improvement in the US housing sector as the pending home index continues to improve.

Treasuries began to recover later in the session, particularly in the short end of the yield curve, as traders squared up positions and entered into a risk mitigation strategy ahead of expected volatility that would be more likely to target the 10 and 30 year futures. There is additional expectation of possible pressure on Treasuries as the announcement of next week auctions for US 3, 10, and 30 year debt is scheduled for Thursday. With all this potential bad news for Treasuries expected tomorrow, it is no wonder that the complex closed essentially unchanged. Remember, markets eventually get used to almost anything. Volatility may set in if a surprising increase in the number of jobs lost pushes the long end of the curve to test the upper end of its trading range.

TECHNICAL OUTLOOK-US 30 YEARS- Little change to technical outlook across the complex. Market continues to range tradewith a downward bias setting up to a downward move toward 116-305, as near term resistance sets up at 118-200. Daily RSI and stochastic both support the notion of a gradual pullback to support level of 115-075. Look for initial resistance at 119-020.

US 10 YEARS-Look for downward movement to initial target of 115-200, with a break of this level setting up for a test of 115-020, Resistance of range sets up at 116-090.

EURODOLLARS- December Eurodollars continue to set up as a sell and should try for a pullback to 9898.0, on their way to support at 9893.0. Downward target for end of July still seen at 9879.0

US DEBT FUTURES

OPEN

HIGH

LOW

CLOSE

CHANGE

US U9 (US 30 YRS)

118-080

118-130

117-115

118-075

-4.5/32nds

TY U9 (US 10 YRS)

116-085

116-120

115-215

116-085

0/32nds

ED Z9 (EURO $)

99.0950

99.150

99.090

99.140

+4.50

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.