Credit Agricole: Large levered shorts in 10-year and ultra bonds treasury futures

Credit Agricole’s David Keeble said recent CFTC data suggested that there are large levered shorts in 10-year and ultra bonds treasury futures. “We get the impression that most recent price action has been futures-led, because we can see that on the cash curve that most cheapest to deliver securities are at recent extremes of valuations (mostly cheap) to their less liquid peers,” he said. “In the data from the CFTC, levered accounts remain extremely short the 10-year and ultra contracts, but are generally long in the shorter contracts. In other words, they are playing the idea that the Fed will be reluctant to hike rates. While that trade is large, levered accounts have not added to the position last week (to april 28). The bigger selling appears to have hailed from the ‘institutional’ investors in the latest week’s numbers.”

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s