This week, in the report that came out on Friday January 27th, 2012, there was some major moves made by the commercial traders in the ten year Treasury futures. The cutoff for this week's report was last Tuesday January 24th, 2012 and it covers the trading days from Wednesday January 18, 2012.
On the right hand side of the chart below, I have a daily chart showing the breakdown of the long term multipoint trendline. It has since rallied to the backside of the trendline and up and through since that cutoff date for this COT report.
The left hand side of the chart below is a daily chart but only for the days of this COT report which was clearly bearish price action most of the way in the 10 year Treasury futures.
However, here is where it gets interesting. In this COT report the commercials for this period actually increased their long positions buying 118,229 contracts, and reduced their short positions by buying in 69,966 contracts. That is a NET INCREASE of 188,195 contracts to the long side for the week. Open interest only went up 20,012 contracts during that week. This is an incredible display of stealth demand from the commercials in the face of a selloff and a significant trendline being broken down.
(Click on chart to expand)
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Hi Scott,
ReplyDeleteI'm a first time reader. Thank you for explaining things so well.
Rick
Your welcome Rick. Thank you for reading my analysis.
ReplyDeleteScott
Here is the follow up on the Legacy COT report for this week. The commercial traders liquidated 29,030 long positions and went short 83,508 contracts.
ReplyDeleteThe non-reportable category showed the small speculators collectively going long 22,367 contracts and closing out 17,817 short positions.
Commercials are still net long 83,967 while the small speculators are net short 54,384.
If you are bearish 10 year US Treasury futures, this is only an improvement in the structure of the COT report and certainly not a signal to get bearish in my opinion. I do not use the COT report as a timing tool, but rather as a gauge for position sizing on my trade setups.