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J.P.Morgan Recommend Longs In US Roll, Shorts In FV Roll

US TSY FUTURES

J.P.Morgan provided a couple of recommendations for the quarterly futures rolls late on Friday:

  • They like wideners in USU4/Z4 on “basis convergence and the net open interest in commercial accounts being significantly short.”
  • They also recommend initiating narrowers in FVU4/Z4 on “elevated net commercial longs and relative value on the yield curve between the front and back CTDs.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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