68.2 US Treasury Bond Futures Crossed Red Line Long Ago

———Part 2 Summary———
Open interest in US Treasury Long Bond futures have crossed the 800,000-line only a few times in the past quarter-century. Nothing ever good happened in markets or the world economy when that happened. Where are they today? Almost 1.2 million. Why, who and when?


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Twitter: https://twitter.com/JeffSnider_AIP
Twitter: https://twitter.com/EmilKalinowski
Alhambra YouTube: https://bit.ly/2Xp3roy
Emil YouTube: https://bit.ly/310yisL
Art: https://davidparkins.com/

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———Ep 68.2 Topics———

01:31 U.S. Treasury Bond futures traded on the CME have remaining term of 15 to 25 years
02:06 Open interest is the number of outstanding derivative contracts (i.e. not yet settled)
02:26 When OI crosses 800,000 contracts in UST Bond futures bad things seem to happen
04:40 What does the hedge-fund US Treasury cash-futures basis trade have to do with 800,000?
06:13 The rise in open-interest signals that money dealers are likely constrained
07:51 Would a reduction in OI signal that money dealer constraints have been lifted?
09:34 What is the argument for “too many Treasuries”?
13:15 Primary Dealer Net Position US Treasury data suggests dealers need safe, liquid assets
14:49 Final concluding, summarizing thoughts by Jeff.

———Ep 68.2 References———

The Warehouse Gap Does Much To Fill In Why There Were Never Too Many Treasuries: https://bit.ly/332LpL5
Alhambra Investments Blog: https://bit.ly/2VIC2wW
RealClear Markets Essays: https://bit.ly/38tL5a7


Jeff Snider, Head of Global Investment Research for Alhambra Investments and Emil Kalinowski, who likes long bonds. Art by the nice version of Gordon Ramsey, David Parkins. Podcast intro/outro is “Pa Na Ma” by Giants’ Nest at Epidemic Sound.