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US TNote Future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 12/08/09


Comment: Front month TNote futures are struggling with the pivotal 122.00 area, and benchmark yields at 3.25%, open interest declining as contracts are not rolled over. Again this suggests investors are reluctant to buy instruments that they see as priced for Armageddon. Eventually they will be forced in at even worse prices. We continue to watch for a drop in yields to 2.50% and the permanent establishment of lower yields. Friday’s drop in the futures contract is seen as an ‘extension’ that should be reversed by the end of this week.

Strategy: Buy at 118.13; stop below 117.16. Add to longs on a daily close above 118.20 and again above 120.00 for 121.00/121.16, then 124.00.

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