Commercial Hedgers Signal Caution
Yesterday we looked at commercial trader positioning in both yen futures and the U.S. bond markets. Commercial traders were long yen against the dollar, and long U.S. 10-year notes but flat long bonds. The only meaningful takeaway was that yield-curve traders could short the long end of the curve and hedge via long 10-year notes. Although the dollar looks firm against the yen, commercials are so long yen that I would not fight them at this point.
Perusing U.S. stock index futures, an ominous positioning is taking place, especially in the Nasdaq-100 E-mini futures. Given the various derivative products either directly linked to the S&P 500 index or extremely correlated (think full-sized CME contracts, the SPDR S&P 500 Trust (SPY), the SPDR Dow Jones (DIA), DJIA futures, the S&P 100 index (OEX)), these data must be taken with at least a pound of salt. There appears to be a great deal of arbitrage between the larger contract and the e-mini futures, so the information extrapolated from any one contract is too noisy for me. However, this is not the case for the Nasdaq-100 futures....813 more words left in this article. To read them, just click below and try Real Money FREE for 14 days.
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