Bloomberg Access:{OIAR<GO>}

10 year Treasury Note:

The March 10 year treasury note lost 17.5 points on strong volume of 1,814,216 contracts. Total open interest increased by 39,143 contracts, which relative to volume is approximately 15% below average, but a total open interest increase on yesterday’s steep decline confirms the bearish momentum of the 10 year note even though it remains on a short term buy signal, which was triggered on January 5.

For the March contract generate a new short term sell signal, the high of the day must be below OIA’s key pivot point for January 20 of 123-270. As this report is being compiled on January 20, the March note is trading 6 points lower on the day and has made a daily low of 123-250. Now that the new president has been sworn into office, the reality of a possible reflation trade will begin to take prominence. If it is as bold as promised, we would expect to see the 10 year note continue its downtrend and make new contract lows. Stand aside.

Dollar index:

The March dollar index advanced 22.6 points on volume of 53,990 contracts. Total open interest declined by 211 contracts, which relative to volume is approximately 75% below average, but the total open interest decline on yesterday’s advance is negative. The dollar index is in a consolidation pattern and for this to change in a major way, the euro will need to weaken considerably and generate a short term sell signal. A short term buy signal for the dollar index and a short term sell signal for the euro is a considerable distance away. As this report is being compiled on January 20, the March contract is trading 10.5 points lower on the day. Stand aside.

Canadian dollar:

The March Canadian dollar lost 47 pips on volume of 75,736 contracts. Total open interest declined by 1,030 contracts, which relative to volume is approximately 45% below average. As this report is being compiled on January 20, the March contract is trading 17 pips lower and has made a new low for the move of 74.73, which takes out yesterday’s print of 74.92. The March contract is getting close to generating a short term sell signal and this will occur if the daily high is below OIA’s key pivot point for January 20 of 74.77. Stand aside.

S&P 500 E-mini:

March S&P 500 E-mini lost 5.00 points on volume of 1,388,067 contracts. Total open interest increased by 23,947 contracts, which relative to volume is approximately 25% below average, but a total open interest increase on yesterday’s decline is negative.

As this report is being compiled on January 20 after the new president has been sworn into office, the March contract is trading 3.25 points above yesterday’s close and has made a daily high of 2272.75, which is the highest print since 2273.50 made on January 13 and is below the all-time high of 2277.00 made on January 6.

For the rally to resume, the March contract must make a daily low above OIA’s pivot point for January 20 of 2267.39. A short term sell signal will occur if the daily high is below OIA’s key pivot point for January 20 of 2252.99. In yesterday’s research note we recommended that clients purchase out of the money put protection on major indices in order to protect portfolios.