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US 10 Year Note Trading Range Analysis

The US 10-Year Note yield has broken out of a tight trading range established in February 2014. Historical analysis shows that yields typically continue moving in the direction of the breakout. When yields break below a tight range bottom, they are on average 6 bps lower 10 days later and still lower 60% of the time at 20 and 30 days. When yields break above a tight range top, they are on average nearly 4 bps higher 10 days later, with the trend remaining positive in the majority of cases out to 30 days. The recent breakout has pushed yields below monthly and quarterly resistance levels, suggesting yields may continue declining unless this support is recaptured, though short-term momentum indicators show yields are oversold

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5 views2 pages

US 10 Year Note Trading Range Analysis

The US 10-Year Note yield has broken out of a tight trading range established in February 2014. Historical analysis shows that yields typically continue moving in the direction of the breakout. When yields break below a tight range bottom, they are on average 6 bps lower 10 days later and still lower 60% of the time at 20 and 30 days. When yields break above a tight range top, they are on average nearly 4 bps higher 10 days later, with the trend remaining positive in the majority of cases out to 30 days. The recent breakout has pushed yields below monthly and quarterly resistance levels, suggesting yields may continue declining unless this support is recaptured, though short-term momentum indicators show yields are oversold

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© All Rights Reserved
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5/15/2014

Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based upon it. This material should not be redistributed or replicated in
any form without the prior consent of Arbor. The material is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.

US 10 Year Note Breaking Out of Trading Range


The US 10 Year Note is breaking out of its
trading range established in the beginning
ofFebruary,whichwasadifferenceofonly
22.84 bps between the highest (2.8045)
and lowest (2.5761) close over 70 trading
days. Looking at similar instances in the
past, we find that there have been 11
occurrences since 1990 where the 10 year
yield was stuck within a range of 30 bps or
[Link]
compare what happened 5, 10, 20 and 30
days after breaking out of the top and
bottomofsimilartightranges.

Bullish Breakouts (break bottom of range)


Breaksthroughthebottomofsimilartightrangeshaveseenfollowthrough10dayslater,withyieldslowerinall
instancesbyanaverageof6bps.Yieldswerestilllower60%[Link]
reverseandclimbbackhigherbyday20.

5/15/2014
Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based upon it. This material should not be redistributed or replicated in
any form without the prior consent of Arbor. The material is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.


Bearish Breakouts (break top of range)
Breaksthroughthetopofsimilartightrangessawyieldshigher83%oftime10dayslaterbyanaverageof3.98bps,with
67%stillhigheratday20and30.

AQA Technical Outlook


ThebreakoftherecenttradingrangehaspushedtheUS10YearYieldjustbelowMonthlyResistance2.526/2.560and
intooverlappingQuarterlyResistance2.443/2.536(held7qtrs).Failuretoholdthisresistanceclusterwouldconfirma
[Link],notethatshortmomentumstudieshave
reachedshorttermoversoldlevels,whichmaysignalatleastapauseinrecentbullishmomentum.(Seedailychartto
thelowerleftandweeklycharttothelowerright).

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