US TSY FUTURES: TU Blocked

ERM5 97.8125/97.9375/98.0625c fly, bought for 2 in 8k.

• In the equity space, S&P E-Minis traded higher again, Friday. Last week’s gains undermine the recent bearish theme. The contract has traded through the 50-day EMA and attention is on resistance at 6107.50, the Dec 26 high. Initial resistance is at 6068.25, the Jan 6 high. Clearance of 6107.50 would strengthen a bullish theme. Key support has been defined at 5809.00, the Jan 13 low. A reversal lower and a breach of this level would reinstate a bear theme. First support lies at 5961.75, the Jan 16 low.
• A bull cycle in the EUROSTOXX 50 futures contract remains intact. Last week’s climb resulted in a breach of 5054.00, the Jan 8 high, to confirm a resumption of the uptrend. The contract is holding on to its gains and the focus is on 5200.00. Key short-term support has been defined at 4931.00, the Jan 13 low. A break of this level would be bearish. First support lies at 5113.00, the Jan 17 low.

The latest CFTC CoT report showed a reduction in net exposure from both hedge funds and asset managers. The cut-off date for this week’s report was January 14, meaning the rally that followed the U.S. CPI data was not accounted for.

• Levered funds trimmed net shorts in FV, TY & UXY futures, while they added to net shorts in TU, US & WN futures. The former dominated the latter in net DV01 terms, although the cohort remains net short across all contracts.
• Asset managers trimmed net longs in FV, TY, UXY & WN futures, while they built on existing net longs in TU & US futures. The former dominated the latter in net DV01 terms, although the cohort remains net long across all contracts.
• Overall net non-commercial positioning saw a mixture of net short setting and net short cover. The cohort’s positioning in US futures is now effectively flat (incrementally net long), with net short positioning intact across the remainder of the curve (details given in the table below).