ALARON US TREASURY FUTURES REPORT 05/20/09

ECONOMIC DATA 05/21/09: all times EST

  • 8:30 AM US JOBLESS CLAIMS (645K)
  • 10:00 AM US LEADING INDICATORS (1.0%), PHILA FED SURVEY (-20.0)
  • 10:30 AM EIA NAT GAS INVENTORY
  • 11:00 AM US 2,5,7 YEAR NOTE ANNOUNCEMENTS

SUMMARY OF DATA 05/20/09

EIA INVENTORY REPORT (CL -2.0 M VS 0.2 M, RBOB -4.3 M VS -1.2 M, DIS +0.6 M VS 1.0 M. CAPACITY UTIL 81.8)

US TREASURIES REBOUND AFTER FOMC MINUTES SUGGEST NEED FOR INCREASED ASSET PURCHASES. ESTABLISH SECURITY POSTIONS AHEAD OF LONG WEEKEND.

US Treasuries spiked to a higher close on Wednesday after the minutes of April’s FOMC meeting showed that a number of Federal Reserve governors believed in increasing the levels of asset purchases in order to support stability in the financial markets. The report appears to offer speculation that the Federal Reserve would not rule out increasing the total amount or velocity of US government securities purchases. Currently, the target amount of government securities scheduled to be added is $300 billion. Support for the recovery move was also fueled by the Federal Reserve cutting its projections for economic growth and raising its expected target range for unemployment.

In addition, buyers came into the target as technical support levels held and portfolios undertook short covering to set up a more secure position against unforeseen economic & geopolitical events during the US Memorial Day weekend. Expect some additional volatility on Thursday when the amounts of next week’s US 2, 5, 7 year note auctions are announces. The likely record levels could offer supply concerns. However the effect is unlikely to have much influence until next week. Bear in mind that June Treasury options are due to expire next week, so expect volatility within a tight range to be heightened as the 121 to 123 handles are challenged and defended.

  1. Technically, June 30 year futures are still range bound with resistance still in place at 123-200. Support sets in at 121-160. Look for the target level for a possible breakout to the downside at

120-20. This could set market up for another attempt at the 117-00 level in the coming months.

US DEBT FUTURES

OPEN

HIGH

LOW

CLOSE

CHANGE

US M9 (US 30 YRS)

121-165

122-245

121-090

122-145

+24.5/32nds

TY M9 (US 10 YRS)

120-190

121-065

120-120

120-305

+9.5/32nds

bond_report.JPG

Prepared by Rich Roscelli & Paul Brittain.

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. Alaron Trading Corp. 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.