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J.P.Morgan Recommend Positioning For Moves Lower In UXY & WN Rolls

US TSY FUTURES

Late on Friday J.P.Morgan noted the following re: the quarterly Tsy futures rolls:

  • “We expect the WN calendar spreads to narrow in the weeks ahead due to elevated net commercial longs and wildcard optionality.” They recommended entry with the spread trading at -14.75.
  • “We are bearish on the weighted UXY note calendar spread due to elevated net commercial longs and a potential corrective flattening in the CTD yield curve.” They recommended using a 100:94.2 hedge ratio for that position, with a bias for a move lower.
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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