USFI stance in front of NFP

Today’s Employment report is important. Trade in the last two sessions is consistent with a market that is positioned where it wants to be with expectations somewhat centered toward consensus.

Given the tremendous Treasury and Eurodollar price advance in January, even with the modest correction since, some might expect that the market remains overbought and is at risk of an exaggerated decline.

As it is, the table below indicates that since the last employment report, open interest in futures has declined for all Eurodollar and Treasury Futures. The CFTC Commitment of Traders shows that while "large spec" (non-commercial) removed about 140K in Eurodollar (futures and options) net longs since the last employment report, these account types added to net longs in Treasury products.

For my guide, I see the likely market move for a number that is "off consensus" as roughly symmetric.


Generic 10-year Treasury Yield 


Bearish Candlestick Technical Formations 


Bullish Contingent Relinquishes Control

 

About the Author

Martin McGuire, managing director at TJM Institutional Services