US Treasuries – ZN, ZT – Commitment of Traders

Charts re-designed to show price, COT positioning, volume and open interest. (as a result of putting 2 charts together the volume and open interest does not line up exactly when I change the selections)

Not much commentary but some interesting things on these two charts:

US Ten Year note showing large pick up in volume (I thought there was a liquidity crisis)

us10 vol oi 13 15

On the 2 year commercial positioning turning long vs leveraged short – price has squeezed leveraged money.

us2y_vol_oi

Leveraged money seems to be following the rate hike narrative:

Short-term Treasurys close at 5 1/2 year high after Fed’s interest-rate hike Dec 16, 2015 4:12 p.m. ET

But that narrative seems to be weakening due to world events:

inflation

MSCI Emerging Market Index vs China vs S&P500

us10 vol oi 13 15

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