I think this one is stright forward. Asset managers are holding ton of long positions in the front and need to sell these contracts to roll. Since most of them try to do at the same window creates downward pressure. These effects do get dislocated when it coincides with events like election.
B.t.w. I'm not following the logic why large asset manager net long positioning would drive the roll lower. I would have thought the opposite, as the asset managers need to roll their positions vs. constrained dealer balance sheets.
This regression is general regression not separating out roll period, but shows downward trend with asset manager long position. X axis is the asset manager institutional long futures position in 5 yr futures vs the 5 year note price. Soc Gen recommendation was correct imo
Statistics: Posted by gamthe — Sat Jan 18, 2025 7:30 pm — Replies 3390 — Views 782915