FVM posted an overall contract high of 106-260 and overall low of 106-110 during yesterday's a/c/e session. The June 5-year T-Note opened higher yesterday and traded sideways to higher the entire session before settling +9 ticks at a contract high settlement of 106-225. FVM posted a pit session high of 106-250 and a pit session low of 106-180. The cash note settled +8 ticks at a 2-week high settlement of 99-26 (4.418%). The 9-day RSI rose to 63.9 where it is neutral. Volume for Tuesday's session was 172,434 while open interest fell -191 contracts to 657,412. Estimated volume for yesterday's session was 235,000. The short-term trend is now bullish with yesterday's contract high and high settlement. The intermediate-term trend is neutral with FVM trading near the top of a 3-month range while the long-term trend is bearish with the March 21st contract low and the March 25th contract low settlement. The primary resistance levels for FVM are: 106-260 and 107- 185. Primary support levels for FVM are: 106-110, 106-030, 105-295, 105-140, 105-035, and 104-175.
BASIS DATA: Cash 4-3/8% note - (FVM02)(.9316) Basis: 13 -1.
SUPPORT/RESISTANCE LEVELS -- 5-YEAR T-NOTE FUTURE (FVM02)
108-040 4-1/8% cash yield (BASIS@13) 107-185 5-1/2 month high weekly nearest (2/25/02 H02) 107-160 4-1/4% cash yield (BASIS@13) 106-290 4-3/8% cash yield (BASIS@13) 106-260 Contract high (Yesterday-a/c/e) 106-250 Yesterday's pit session high *106-225 Contract high settle (Wednesday) 106-200 Pivot Point 106-180 Yesterday's pit session low 106-140 3-day average 106-110 Yesterday's overall low (a/c/e) 106-100 4-1/2% cash yield (BASIS@13) 106-030 Tuesday's low 105-295 Monday's low 105-230 4-5/8% cash yield (BASIS@13) 105-200 1-month low settle (Last Tuesday) 105-140 1-month low (Last Tuesday) 105-115 100-day average 105-070 50-day average 105-040 4-3/4% cash yield (BASIS@13) 105-035 1-1/4 month low (April 16 & 19) 104-180 4-7/8% cash yield (BASIS@13) 104-175 1-1/2 month low (April 9) 103-310 5-00% cash yield (BASIS@13) 103-180 Contract low settle (March 25) 103-160 1-3/4 month low (Apr 2) 103-125 2-month low (March 25) 103-115 Contract low (Mar 21)
RETRACEMENTS-- 5-YEAR T-NOTE FUTURE (FVM02)
2-month 3-14.5/32 point upmove from 103-115 (Mar 21) to 106-260
(Yesterday)
HIGH 1/4 1/3 .382 1/2 .618 2/3 3/4 LOW 106-260 105-305 105-210 105-160 105-030 104-215 104-165 104-070 103-115
SUPPORT/RESISTANCE LEVELS -- CASH 5-YEAR T-NOTE (4-3/8% 05/07)
104-08 All time high (Nov 1) (3.448%) 104-03 All-time high settle (Nov 7) (3.480%) 104-00 3-1/2% cash yield 103-13 3-5/8% cash yield 102-27 3-3/4% cash yield 102-08 3-7/8% cash yield 101-30 6-month high (Dec 4) (3.943%) 101-22 4-00% cash yield 101-17 5-1/2 month high (Jan 11) (4.038%) 101-06 4-1/4 month high (Feb 22 & 25) (4.110%) 101-04 4-1/8% cash yield 100-18 4-1/4% cash yield 100-08 2-1/2 month high (May 1) (4.319%) 100-00 4-3/8% cash yield 99-29 2-week high (Yesterday) (4.397%) *99-26 2-week high settle (Wednesday) (4.418%) 99-16 Yesterday's low (4.489%) 99-14 4-1/2% cash yield 98-29 4-5/8% cash yield 98-28 1-1/2 month low settle (Last Tuesday) (4.630%) 98-21 1-1/2 month low (Last Tuesday) (4.680%) 98-11 4-3/4% cash yield 97-26 4-7/8% cash yield 97-25 10-1/2 month low (Mar 25) (4.877%) 97-09 11-3/4 month low (6/29/01) (4.991%) 97-08 5-00% cash yield 96-30 1-1/4 year low (5/25/01) (5.071%) 96-28 1-1/2 year low (1/25/01) (5.091%)
Note: Prior to the auction date of (5/07/02) for the 5-yr cash note (4- 3/8% note of 05/07), a "synthetic" price history is used based on the yield of the benchmark 5-yr note.
RETRACEMENTS-- CASH 5-YEAR T-NOTE:Retracements are calculated from cash
note yield, not price.
6-1/2 month 6-15/32 point downmove from 104-08 (Nov 1) (3.448%) to 97-25
(Mar 25) (4.877%)
39% retrace (May 1st high) 100-08 (4.319%)
HIGH 3/4 2/3 .618 1/2 .382 1/3 1/4 LOW 104-08 102-19 102-01 101-23 100-31 100-06 99-28 99-11 97-25 3.448% 3.805% 3.924% 3.994% 4.163% 4.331% 4.401% 4.520% 4.877%