-- Debt futures speculators dump bond contracts-CFTC --
CHICAGO, Dec 6 (Reuters) - Speculators in Chicago Board of
Trade Treasury bond futures sold the contract sharply during
the trading period from Nov. 27 to Dec. 3, according to data
released on Friday.
The Commodity Futures Trading Commission's Commitments of
Traders report on speculative positioning is used by many
analysts as a reverse indicator of future market direction.
Speculators generally comprise trend followers seeking to
pick a precise top or bottom in the market. Extreme net long
speculative positions, for example, often presage a decline in
the futures contract, especially if that position conflicts
with those held by the more influential players.
Bond futures speculators extended a net short position to
12,782 contracts from 1,206 contracts in the previous reporting
period. Analysts noted that the shift in speculators
positioning was dramatic, but they also acknowledged some
extenuating circumstances.
"There was a major adjustment of positions," said John
Person, head financial analyst at Infinity Brokerage Services.
"But I think we have a reason for that adjustment. It was
rollover time and the holidays."
He said some of the unwinding of long position may have
been related to "rollover" or spread trading, which occurs when
futures traders sell December futures contracts for positions
in equivalent March contracts.
If a trader exited a long December bond position on Tuesday
with plans to take a long March bond position, the new long
position would not necessarily be reflected in the Commitments
of Traders report. The CFTC collects data for the report on
Tuesday.
December debt futures expire on Dec. 19, but the March
contract has already taken over as lead month.
"They got out of longs and they added some shorts," Person
said. "Right now we're starting to sense that the market is
experiencing some extremely volatile swings. But I think this
is fairly neutral."
March bonds gained during the CFTC's reporting period from
a close of 107-15/32 on Nov. 27 to a close of 107-30/32 on Dec.
3. The contract extended gains through Friday.
Speculators in 10-year note futures extended a net long
position to 57,387 contracts, its largest since August, to
50,403 contracts in the previous reporting period.
The data may have been colored by the same rollover factors
that affected the bond futures market, Person said.
March 10-year note futures climbed from a close of
110-25/32 on Nov. 27 to a close of 110-29/32 on Dec. 3. It
extended gains through Friday.
((Chicago Derivatives Desk (312)408-8750
chicago.derivatives.newsroom@reuters.com))
30-YEAR BONDS
12/03/02 week 11/26/02 week
Long 26,028 32,874
Short 38,810 34,080
Net -12,782 -1,206
10-YEAR NOTES
12/03/02 week 11/26/02 week
Long 157,140 149,926
Short 99,753 99,523
Net 57,387 50,403
FIVE-YEAR NOTES
12/03/02 week 11/26/02 week
Long 140,877 141,146
Short 69,165 60,394
Net 71,712 80,752
TWO-YEAR NOTES
12/03/02 week 11/26/02 week
Long 7,914 8,771
Short 8,047 6,998
Net -133 1,773
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nN06569211
06-Dec-2002 22:01:42 GMT
Source RTRS - Reuters News |
