US TNote Future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 01/12/10

Comment: Unwinding the nonsense that started just before Christmas is proceeding incredibly slowly, two-year paper doing the running, keeping the US yield curve was at its steepest ever (twos-thirty’s a record 375 basis points). Benchmark ten-year yields look to have topped just under 4.00%, either by luck or by design, no doubt to the authorities’ relief. This futures contract has a series of obstacles on the way up but momentum should turn bullish on a daily close above 116.16. We continue to favour a rally to 118.00 this month, maybe more later on.

Strategy: Buy at 116.13, adding to 115.24; stop below 115.00. Add to longs on a daily close above 116.16 and again above 117.00 for 118.00 and maybe more.