The June 10-year T-Note posted an overall low of 105-160 during Tuesday night's a/c/e session. TYM opened higher yesterday and traded sideways to higher the entire session before settling +12 ticks at a 2- 3/4 month high settlement of 106-000. The contract posted a 3-week high of 106-020 and a pit session low of 105-235. The cash note settled +11 ticks at a 2-week high settlement of 98-09 (5.102%). The 9-day RSI rose to 61.8 from 57.4 where it is neutral. Volume for Tuesday's session was 353,684 contracts while open interest fell -4,805 contracts to 822,177. Estimated volume for yesterday's session was 375,000. The short term trend is now cautiously bullish with yesterday's 3-week high and 2-3/4 month high settlement and last Tuesday's 1-month low and low settlement. The intermediate term trend is neutral with the note trading near the top of a 5-month range. The long term trend is bearish with the contract within striking distance of penetrating the December 17th contract low. The unweighted NOB (TYM-USM) fell -3 ticks yesterday to close at 140. Primary resistance levels for TYM are: 106-020, 106-050, 106-095, 106-120, and 106-250. Support levels for TYM are: 105-160, 105-035, 104-265, 104-080, 104-010, and 103-210.
BASIS DATA: Cash 4-7/8% note (TYM02)(.9194) Basis: 27/32 Unch.
SUPPORT/RESISTANCE LEVELS -- 10-YEAR T-NOTE FUTURE (TYM02)
112-130 All time high (TYZ01, Nov 1) 109-285 Contract high (Nov 7) 108-290 4-3/4% cash yield (BASIS@27) 107-270 4-7/8% cash yield (BASIS@27) 106-250 5-00% cash yield (BASIS@27) 106-120 6-month high (Feb 22) 106-095 3-month high (Feb 28) 106-065 5-1/4 month high settle (Feb 27) 106-050 2-3/4 month high (May 1) 106-020 3-week high (Yesterday) *106-000 2-3/4 month high settle (Wednesday) 105-275 Pivot Point 105-250 5-1/8% cash yield (BASIS@27) 105-235 Yesterday's pit session low 105-205 3-day average 105-160 Yesterday's overall low (a/c/e) 105-035 Tuesday's low 104-265 Monday's low 104-240 5-1/4% cash yield (BASIS@27) 104-175 100-day average 104-145 1-month low settle (Last Tuesday) 104-100 50-day average 104-080 1-month low (Last Tuesday) 104-010 1-1/4 month low (April 18) 103-240 5-3/8% cash yield (BASIS@27) 103-210 1-1/2 month low (April 9) 102-240 5-1/2% cash yield (BASIS@27) 102-095 Contract low settle (March 20 & 14) 102-010 2-month low (March 25) 101-290 2-1/4 month low (March 21) 101-235 5-month low (March 15) 101-100 Contract low (Dec 17)
RETRACEMENTS-- 10-YEAR T-NOTE FUTURE (TYM02)
6-1/4 month 8-18.5/32 point downmove from 109-285 (11/07/01) to 101-100
(12/17/01)
59% retrace (Feb 22 high) 106-120
HIGH 3/4 2/3 .618 1/2 .382 1/3 1/4 LOW 109-285 107-240 107-010 106-195 105-195 104-190 104-055 103-145 101-100
SUPPORT/RESISTANCE LEVELS -- CASH 10-YEAR T-NOTE (4-7/8% of 02/07)
106-10 All-time high (Nov 1) (4.101%) 105-18 All-time high settle (Nov 7) (4.190%) 102-31 4-1/2% cash yield 101-31 4-5/8% cash yield 101-30 6-month high (Dec 4) (4.629%) 100-31 4-3/4% cash yield 100-21 5-1/2 month high (Jan 16) (4.791%) 100-20 4-month high (Feb 22) (4.796%) 100-11 6-month high settle (Feb 22) (4.831%) 100-00 4-7/8% cash yield 99-01 5-00% cash yield 98-28 2-1/2 month high (May 1) (5.022%) 98-18 2-1/2 month high settle (May 3, May 4 & April 26) (5.063%) 98-12 2-week high (Yesterday) (5.089%) *98-09 2-week high settle (Wednesday) 98-03 5-1/8% cash yield 97-25 Yesterday's low (5.168%) 97-05 5-1/4% cash yield 96-27 1-1/2 month low settle (Last Tuesday) (5.294%) 96-20 1-1/2 month low (Last Tuesday) (5.323%) 96-07 5-3/8% cash yield 95-27 10-1/2 month low settle (April 1) (5.424%) 95-15 11-1/2 month low (April 2 & March 15) (5.475%) 95-10 5-1/2% cash yield 94-31 17-1/2 month low (5/29/01) (5.534%) 94-13 5-5/8% cash yield 92-12 19-1/2 month low (11/7/00) (5.895%) 92-04 21-1/2 month low (9/21/00) (5.927%) 90-10 23-month low (7/19/00) (6.185%) 87-20 2-1/4 year low (5/9/00) (6.579%)
Note: Prior to the auction date of (02/06/02) for the 10-yr cash note (4-7/8% note of 03/12), a "synthetic" price history is used based on the yield of the benchmark 10-yr note.
RETRACEMENTS-- CASH 10-YEAR T-NOTE: Retracements calculated from cash
note yield, not price.
2-year 18-22/32 point upmove from 87-20 (6.579%) (5/9/00) to 106-10
(4.101%) (11/1/01)
55% retrace (April 2nd & March 15th) (95-15) (5.475%)
HIGH 1/4 1/3 .382 1/2 .618 2/3 3/4 LOW 106-10 101-07 99-19 98-21 96-14 94-08 93-12 91-29 87-20 4.101% 4.721% 4.927% 5.048% 5.340% 5.632% 5.753% 5.960% 6.579%