Euro−Bund future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 02/01/10

Comment: Interesting to see that Bobls and thirty-year Bunds outperformed over the last two weeks, while shorter dates fret as to what the ECB might have up its sleeve. Bobl futures managed their strongest ever monthly close on Friday, which will hopefully be enough to drag this Bund future decisively through trendlineresistance. Bullish momentum has eased slightly though the contract is slightly overbought. We expect benchmark ten-year yields to re-test last year’s record low at 2.85%.

Strategy: Buy at 123.55 but only if prepared to add to 122.85; stop below 122.25. Add to longs on a daily close above 123.65 for 124.00 short term, 124.70/125.00 medium term and probably more eventually.