EQUITIES: Rolling EU Bank calls

The latest CFTC CoT report pointed to both hedge funds and asset managers reducing net exposure ahead of last week’s FOMC decision (survey cut off 17 December).

• Hedge funds trimmed net shorts in most contracts (TU, FV, TY & WN), comfortably outweighing additions to existing net shorts in UXY & US. The cohort remains net short across all contracts.
• Asset managers added to longs in TU, TY & US, but cut net longs across the remainder of the curve, with the latter dominating from a net DV01 equivalent perspective. The cohort remains net long across all contracts.
• Non-commercial net positioning saw a mix of net shorts being added to (TU, UXY, US & WN) and trimmed (FV & TY). The cohort remains net short across all contracts.
• CFTC CoT positioning metrics will be skewed by the presence of basis trades.

Source: MNI - Market News/CFTC/Bloomberg

• A sell-off in the S&P E-Minis contract on Dec 18 highlights a short-term top and a corrective cycle. The move down resulted in a breach of the 20- and 50-day EMAs. A resumption of weakness would open 5811.65, 38.2% of the Aug 5 - Dec 6 bull leg. Support at 5921.00, Nov 19 low, has been pierced. A clear break of it would strengthen a bearish threat. Initial resistance is 6067.90, the 20-day EMA. A clear break of it would be a bullish development. 
  - A bull cycle in the EUROSTOXX 50 futures contract remains intact, however, the recent move down highlights a corrective cycle and a short-term bear threat remains present - for now. Price has traded through the 50-day EMA, at 4922.49. The Dec 20 sell-off resulted in a print below 4846.57, 61.8% of the Nov 21 - Dec 9 bull cycle. Key short-term resistance has been defined at 5040.00, the Dec 9 high. Initial resistance is at 4935.29, the 20-day EMA.