J.P. 摩根-全球-投资策略-全球固定收益技术策略：美国国债市场的疲软对关键阻力位构成了压力-2019.5.9-21页.pdf

Global Technical Strategy09 May 2019 Global Fixed Income Technical StrategistThe belly of the Treasury market pressures key resistance levelsGlobal Fixed Income and US Equity Index Technical StrategyJason Hunter AC(1-212)270-Alix Tepper Floman(1-212)622-J.P.Morgan Securities LLCSee page 18 for analyst certification and important There are only a few more days to participate in the 2019 Institutional Investor Global Fixed-Income Poll.We would greatly appreciate your support in the USA Technical Analysis,Europe Technical Analysis,AsiaTechnical Analysis,and USA Quantitative Analysis categories of the survey.Those categories can be found under the Economics&Strategy sections foreach region.This year you are able to rate J.P.Morgan at the firm level in each of those categories,and then separately rate the individual analysts within those categories as well(1-5 stars).We hope our attempt to transition technical strategy from a collection of anecdotes to a more quantitative discipline has created a useful tool to help in your decision making process.As always,please feel free to reach out with any comments,questions,or requests.Thank you in advance for your support.Please follow this link to vote/request a ballot.Treasuries bullishly pressure key short-term resistance parameters and threaten to derail our bearish medium-term outlook.We continue to believe the technical and cross-market setups lean toward a yield rise into the summer,but recognize that overnight headlines have the potential to mark a decisive inflection for the markets.For the 10-year note,we are looking for a decisive and sustained break through the 2.415%Apr 1 bear gap or 2.52%May 6 bull gap to set the tone.pg.3-8 10-year Bund:Yields cheapen back toward the-0.031%/-0.042%Apr range riches after rallying through that area earlier this week.Sustained moves cheaper than 0.08-0.125%support are needed to get the medium-term bearish outlook back on track.Key resistance comes in near-0.10%.pg.9 10-year BTPs gap to higher yields after bearishly basing near the 2.40-2.50%key chart inflection.pg.9 UK 10-year Gilt yields trade in a short-term range in front of the 1.24-1.25%mid-Mar peaks and behind tactical resistance at the 1.08-1.09%early-Apr pivots.Sustained breaks cheaper than support near 1.30%would confirm a broader trend reversal.Key resistance sits at the 0.90-1.00%chart inflection.pg.10 The 10-year JGBs rebound from support at the 0.001-0.011%Oct 38.2%retrace/Mar 5 peak tags resistance at the-0.065%/-0.066%mid-Apr riches before reversing.Near-term weakness back toward support is needed to regain conviction in a developing broader bearish reversal pattern.pg.112Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Australian 10-year bond:The rebound from support clustered near 2.00%reaccelerates this week and marginally overshoots the 1.725%late-Mar yield low.We will watch for more definitive signs of deceleration near current levels.pg.12 Global FI Trade Strategies:o2s/5s/10s UST butterfly:Hold 100%equal weight belly cheapening trade from-17.25bp average roll adjusted entry.Use an initial stop at-30bp.Exit near-17bp and the rest near-10bp.o5-year note:Hold 50%short from 2.2875%average entry.Keep a stop just through 2.195%.Move the stop to 2.34%if the market cheapens through 2.435%.3Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- USGlobal bond markets have rallied back into the richer end of their recent ranges and risk markets have declined to threaten some key short-to medium-term support zones,but heading into a critical overnight session,the retracements have not extended enough to invalidate our medium-term outlooks.We recognize that at these inflections price,positioning,sentiment,and cross-market signaling takes a back seat to policy implantation.All we can do is post up against the setup that preceded the recent set of headlines and keep our stop levels in place.Assuming tonights outcome doesnt result in a material escalation in the US-China trade dispute,we continue to think those setups favor a more significant test of our bullish target zones for equity markets,and a reset to higher global bond yields.The 10-year note bullishly pressures key short-term resistance at the 2.445%Mar 27 61.8%retrace,and 2.415%Apr 1 opening bear gap(Chart 1).As long as that resistance stays intact,we believe yields will not only retest the 2.605%Mar 61.8%retrace,but extend back into the first quarter range.Sustained closes through the 2.52%May 6 gap would restore high conviction in that outlook.Medium-term support within the first quarter range includes the 2.68-2.69%confluence of Fibonacci retracement levels,followed by the 2.77-2.80%range cheaps and 2.80%Oct 50%retrace.Also note the 200-day MA,which currently sits at 2.825%.Chart 1:The 10-year note bullishly pressures the 2.41-2.46%key resistance zone.Sustained closes cheaper than the 2.52%gap are required to restore confidence in our bearish medium-term outlook.10-year note yield,daily bars;%(momentum divergence,TY weighted Put/Call z-score,and combined position indicator systematic signal trigger overlay)Source:J.P.Morgan,CQG4Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Alternatively,a sustained break through the 2.41%gap would turn our attention back to key medium-term resistance at the 2.35%Oct-Jan.618 swing objective and a confluence of Fibonacci retracement levels near 2.30%(Chart 2).Given the current TY dollar-weighted Put/Call ratio and recent sensitivity of that measure to one-day yield moves,we suspect a 10-year note yield decline to the mid-2.20s is required to create an extreme reading(lower band surrounding price action in Chart 1).Longer-term resistance is clustered at 2.015-2.08%.Chart 2:.Alternatively,a continued rally would turn our attention back to the 2.30-2.355%resistance zone.Given the current setup,a rally into the mid-2.20s is likely required to generate extreme overbought conditions.Longer-term resistance is clustered at 2.015-2.08%.10-year note yield,weekly bars;%(momentum divergence and combined position indicator systematic signal trigger overlay)Source:J.P.Morgan,CQGThe 30-year bond rebound from Oct-Mar trend line support stalled just shy of the2.815%Apr 1 gap after bullishly whipsawing a cluster of levels in the 2.90s.That area has marked a key inflection for the bond over the past few years(Chart 3).The 2.97%50-day MA,2.945%Oct channel trend line,and 2.99%100-day MA currently sit in that area as well.The market rejected nearby medium-term resistance at the 2.77-2.78%Jun 2016 50%retrace and Oct-Jan.618 swing objective in late-Mar.A rally through that area would leave the 2.53-2.63%confluence as the next zone to focus on.That includes the Jun 61.8%retrace,Oct-Jan equal swings objective,and Sep 2017 yield low.Assuming the trade dispute does not escalate,we continue to think the market is basing ahead of a broader retrace to higher yields into the summer.To that end,we have viewed the 3.10%200-day MA,3.11-3.135%first quarter range cheaps,and 3.13%Oct 50%retrace as likely targets.5Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Chart 3:The 30-year bond rally came close to testing 2.815%Apr 1 gap resistance after whipsawing the 2.90s key inflection.The Oct channel support trend line currently sits in that same area.Nearby medium-term resistance rests at 2.77-2.78%.The next confluence of levels comes in at 2.56-2.63%.30-year bond yield,weekly bars;%Source:J.P.Morgan,CME,CQGThe 5-year note bullishly pressures key short-term resistance at the 2.235%Apr 2 gap,2.235%Mar 27 61.8%retrace,and 2.195%Apr 1 opening gap(Chart 4).That has been an important line in the sand for our bearish medium-term outlook.A break richer would open the door for a retest of the 2.11%Mar yield low,which rejected the 2.10-2.15%Dec 2016-Nov 2017 range cheaps.Secondary resistance rests at the 1.95-1.99%Oct 2017 pattern breakdown area and Jun 2016 50%retrace.To higher yields,a sustained break through the 2.33%May 6 gap would restore our conviction in the bearish outlook.The market held initial medium-term support at the 2.42-2.435%Feb range yield lows and 2.43%Jan 61.8%retrace in Apr.Secondary support rests at the 2.57-2.63%first quarter cheaps,which have been our base-case summer target zone.6Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Chart 4:The 5-year note rejects the 2.195-2.235%resistance zone with a bearish reversal day.The market needs to clear 2.34%to confirm a short-term trend reversal.Initial medium-term support rests at the 2.42-2.435%Feb range riches/Jan 61.8%retrace/Apr yield high.5-year note yield,240-minute bars;%Source:J.P.Morgan,CQGThe 2-year note rebound from anticipated medium-term support at 2.37-2.45%overshot our favored resistance zone(2.24-2.26%),and now pressures the richer end of the current range.Nearby resistance includes the 2.16-2.205%range riches.Breaks richer would open the door for a test of the 2.11%Sep 2017 50%retrace(Chart 5).Other longer-term chart resistance comes in at the 2.015%Oct-Jan equal swings objective,1.945%Feb 2018 yield low,and 1.91%Sep 2017 61.8%retrace.Conversely,the recent rally leg would lose bullish momentum if the market backs up through the 2.325%May 7 gap.The 50-day MA has contained the mid-Apr and late-Apr backups,and currently sits at 2.37%.We continue to view the confluence of levels surrounding 2.40%as a sticking point for a yield rise.Assuming the current headlines do not escalate to derail our broader outlook,we think the market eventually cheapens through that support and backs up to the 2.57-2.62%Jan/Mar yield highs and 2.625%200-day MA into the late-summer/early-fall.7Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Chart 5:The 2-year note rebound from the 2.37-2.45%key support zone overshot favored resistance near 2.24%and probes the richer end of the current range.Nearby resistance rests at 2.16-2.20%,followed by 2.11%.Tactical bulls would lose traction through 2.315%gap support.2-year note yield,daily bars;%Source:J.P.Morgan,CQGTIPSThe 10-year TIPS breakevens drop from the 196-197.5bp Mar-Apr range highs extends toward critical support at 182-183bp(Chart 6).Parameters in that area include the 183bp Jan 9 peak,183bp early-Jan 50%retrace,182.5bp Feb 11/Mar 27 yield lows,and 182bp late-Jan 78.6%retrace.We had viewed the late-Mar defense of that support as a good sign for the broader widening trend.From our perspective,the medium-term bias stays in gear as long as breakevens continue to respect that area.Overhead,initial resistance now includes the 187bp Feb 4 high,190-191bp Mar 12/May 6 pivots/late-Apr 50%retrace,and 192.5bp 50-day MA.Through the 197.5bp 200-day MA,a key area of medium-term resistance is clustered near 200bp.Parameters there include the 199bp Oct 61.8%retrace/Nov 29 peak,201bp Dec-Feb equal swings objective,and 203bp Nov 1 pivot.That also roughly lines up with what had been 2018 range support.Given the confluence of levels and the repeated Mar-Apr failures just below it,we continue to think that area marks a material hurdle for the widening trend.8Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Chart 6:The 10-year TIPS breakevens drop from near the 196-197.5bp Mar-Apr peaks extends through the 190-192.5bp area(now tactical resistance)and approaches the critical support zone in the low-180s.The medium-term widening bias stays in gear as long as that support continues to hold.10-year TIPS breakevens,daily closes;bpSource:J.P.Morgan,CQG9Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- Global Fixed IncomeThe 10-year Bund rebound from the 50-day MA stalls in the rich end of-0.035%/-0.055%short-term pattern resistance(Chart 7).While the broader cross-market setup has helped build our base-case outlook which calls for an improved global manufacturing PMI data trajectory to lead rates higher in the spring/summer,increased concerns surrounding US-Chinese trade policy threatens the bias.Next resistance rests at the-0.07%Apr 1 gap,followed by the-0.09%Mar 28 yield low,the-0.095%Oct channel(now at-0.21%),and the-0.10%late-Mar.618 swing target.Longer-term resistance is layered at the-0.185%Nov-Mar equal swings objective,-0.19%Mar pattern target,-0.205%Jul 2016 yield low,and then the-0.27%2018 pattern measured move.Alternatively,tactical moves back through the 0.033%50-day MA and 0.045-0.055%late-Apr cheaps would start to derail some of the short-term positive momentum.The bearish view would regain traction with a sustained break toward the 0.10-0.15%support zone.Parameters there include 0.10%Apr 17 peak,0.115%Apr equal swings objective,0.125-0.135%Mar 7/19 yield highs,and 0.145%Mar 1 78.6%retrace.Medium-term support includes the 0.195%Nov 8 50%retrace,0.205%Jan-Feb equal swings objective,and 0.205%Feb 5 and Mar 1 twin peaks.That area also acted as key 2017/2018 range resistance for the market.Additional parameters to note include the 0.245%Oct 50%retrace,0.255%Nov 8 61.8%retrace,0.255%200-day MA,0.275%Jan 18 peak,and then the Dec 4 bull gap,Oct 61.8%retrace,Nov 78.6%retrace,and Oct 26 yield low clustered in the 0.31-0.35%area.Chart 7:The 10-year Bund rebound from the 0.04-0.05%Apr cheaps/50-day MA stalls after extending to-0.035%/-0.055%short-term pattern resistance and threatening the near-term bearish bias.If the rally were to continue,the next key area of resistance sits near-0.10%.A backup to 0.10-0.15%support would regain footing for the broader outlook,which calls for yields to trend toward the 0.20-0.25%area in the months ahead.10-year Bund yield,daily bars;%Source:J.P.Morgan,CQG10-year BTPs backup to retest the 2.705%late-Apr range cheaps after holding initial resistance at the 2.54%50-day MA,2.50%Apr 16/17 twin peaks,and 2.445%Apr 18 gap(Chart 8).In general,the 2.40-2.50%area has acted as a key 10Global Fixed Income StrategyGlobal Fixed Income Technical Strategist09 May 2019Jason Hunter(1-212)270- chart inflection fort the market.Aside from the brief overshoot last month,that area had contained all rallies since June 2018,and prior to that,had marked range support from May 2015 until the May 2018 blow-off move.We anticipate that resistance will act as a significant hurdle for any residual strength,along with the 2.34%Apr 11 yield low.On a very near-term basis,a break cheaper than the 2.70-2.705%Apr-May range yield highs would restore tactical bearish momentum for the market.Note the 2.69-2.725%Feb range riches and early-Feb 50%retrace also sit nearby.We believe the trend can extend to the 2.93-3.06%support zone into the summer.Key parameters there include the 200-day MA,Dec-Feb pattern inflection,Feb 8 peak,and No