US Treasury Futures update: New short trade in 10Y T-Note

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Systematic Market Intelligence

UST Market Positioning
Update

Revealing future markets' longs and shorts, position concentrations and returns.

Oct 1, 2020

AG Positioning Model explanation

AG Positioning vs the CFTC report

New short trade in 10Y T-Note

An increase of 1.3% in shorts and a decrease of 1% in longs has pushed the short momentum to significant levels in the 10Y T-Note. This has triggered a new short signal for the strategy which will be entered today ahead of the close.

There are no major positioning imbalances, with the long end being short-biased at -11 and -13 for the 30Y and 10Y respectively, while the short end is at neutral levels.

The Momentum Score (MS)

Positioning contribution to the change in price

A positive (negative) number indicates positioning momentum backing the move higher (lower) in price. Anything above +2.5, and below -2.5, indicates significant positioning momentum supporting the price change. Although there is no upper (lower) limit, the extreme levels average around +6 on the upside and -6 on the low side. Learn More

Positioning Concentration Index (PCI)

Current positioning concentration

The PCI provides investors with a tool to verify the existence of a positioning imbalance in the market. Positioning is ranked from a -20 value (overextended short) to +20 (overextended long). When these two extremes are reached, the PCI flags the risk of a reversal of the current market positioning. Learn More

AG POSITIONING MODEL

The Alpha Genesi Positioning Model (AGPM) estimates market positioning using liquid futures. The model uses a combination of futures market participants behaviour, seasonality and idiosyncratic factors to estimate the number of longs and shorts together with their entry prices, size and returns.

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Alpha Genesi is a provider of market analysis, systematic strategies and events modelling for institutional investors. We combine statistical models and extensive financial knowledge to systematically conduct top-down analysis across Fixed Income, FX, Commodities and Equity markets.

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