questi i COT di venerdì con commento, sul 10y record fatto sull'OI
CBOT debt futures traders still heavily long-CFTC
By Ros Krasny
CHICAGO, Nov 19 (Reuters) - Debt traders trimmed long
positions only marginally in Chicago Board of Trade Treasury
contracts in the latest week, leaving futures vulnerable to
further selling, a weekly report showed on Friday.
Large speculators, such as commodity funds or hedge funds,
still hold hefty net longs across the CBOT's Treasury futures
complex.
In the week ended Nov. 16 speculators trimmed net longs in
10-year futures by about 30,000 contracts from record highs. At
the same time, net spec longs in 30-year bonds rose to their
highest since September.
Data from the Commodity Futures Trading Commission's
weekly commitments of traders report are used by analysts as an
indicator of market direction.
Traders have set up in longer maturities for slower growth,
even at a time when U.S. payroll employment has improved and
inflation is rising, dealers said.
However, bond prices slumped after Federal Reserve Chairman
Alan Greenspan warned on Friday that U.S. interest rates are on
their way up.
The 10-year Treasury note yield <US10YT=RR> rose to 4.20
percent from 4.12 percent on Thursday but was similar to levels
from Tuesday, when the CFTC's snapshot was taken.
In futures, CBOT 10-years had an "outside day with lower
close," a bearish technical pattern that could generate
follow-through selling next week.
The first target is likely to be 111-29/32 and from there a
test of the 100-day moving average, which crossed on Friday
near 111-21/32.
The following table shows positions held by non-commercial
firms in futures only:
30-YEAR BONDS
11/16/04 week 11/09/04 week
Long 180,267 161,057
Short 108,196 107,028
Net 72,071 54,029
10-YEAR NOTES
11/16/04 week 11/09/04 week
Long 426,710 430,974
Short 325,256 299,430
Net 101,454 131,544
FIVE-YEAR NOTES
11/16/04 week 11/09/04 week
Long 390,222 398,860
Short 162,995 176,984
Net 227,227 221,876
TWO-YEAR NOTES
11/16/04 week 11/09/04 week
Long 64,387 63,903
Short 55,907 50,839
Net 8,480 13,064