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Bob,
I use various LDB measurements and relate them to the profile also.
Be careful with this old idea of commercials versus specs, like used
with the COT analysis.
Some larger specs like hedge funds also report in the CTI4 category,
and they are usually "better" than the small specs that you might be
thinking of... For example, during the june series, the CTI4-to-CTI2
was cumulative 30K to the sell side during the May market fall, thus
the 4 side was "right".
The market was caught very "short" going into the numbers on Friday.
The OI will be important this time. In addition to significant hedge
activity, and short covering, there was good buying reported in the
middle of the curve, both futures and on the cash side. We are at a
trendline bogey and the 114 handle is key on the upside. Now that all
the shorts have been blown out, upward movement will be meaningful,
if it occurs.
Watch the volatilities on the xmas near strangles.
Cliff
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