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Treasuries continue to trade closer to the recent lows. Last week’s low of 109-03 (Sep 13) reinforces the bearish theme. However, it is worth noting that the recovery from the Sep 13 low was a bullish development and a hammer candle - a reversal signal - was confirmed at that day's close. The pattern suggests scope for a correction. First resistance to watch is 110-00+, 20-day EMA. On the downside, a break of 109-03 would resume the downtrend.
The combination of yesterday’s twist steepening of the SOFR strip and preliminary OI data points to the following:
19-Sep-23 | 18-Sep-23 | Daily OI Change | Daily OI Change In Packs | ||
SFRM3 | 1,103,941 | 1,105,994 | -2,053 | Whites | -55,068 |
SFRU3 | 1,070,783 | 1,079,924 | -9,141 | Reds | -25,479 |
SFRZ3 | 1,307,301 | 1,340,179 | -32,878 | Greens | -4,245 |
SFRH4 | 958,988 | 969,984 | -10,996 | Blues | +10,748 |
SFRM4 | 907,306 | 928,707 | -21,401 | ||
SFRU4 | 787,404 | 799,265 | -11,861 | ||
SFRZ4 | 898,693 | 890,572 | +8,121 | ||
SFRH5 | 529,954 | 530,292 | -338 | ||
SFRM5 | 595,724 | 596,690 | -966 | ||
SFRU5 | 480,806 | 481,023 | -217 | ||
SFRZ5 | 443,055 | 444,256 | -1,201 | ||
SFRH6 | 312,270 | 314,131 | -1,861 | ||
SFRM6 | 245,417 | 250,949 | -5,532 | ||
SFRU6 | 201,010 | 189,800 | +11,210 | ||
SFRZ6 | 190,706 | 187,463 | +3,243 | ||
SFRH7 | 129,462 | 127,635 | +1,827 |