Four Books Sit at Three-Year Extremes While the Convergence Counter Stays at Two
MARKET OVERVIEW: Crude, copper, the euro and 2-year Treasuries are each at or near a three-year positioning extreme in data, even as VIX holds at 15, HY OAS sits at 312bp and the financial stress index reads -2.09. The terminal's own convergence counter tags the session at two categories firing, one short of the three-category bar it uses to call a confirmed signal. ISM Services cooled to 54.9 from 55.4, and FOMC minutes are due at 2pm ET.
TL;DR — the read in bullets
- ISM Services PMI printed 54.9 against a 55 expectation and a 55.4 prior, a modest miss and a step down from last month's reading. FOMC Minutes are due at 2pm ET; the terminal has ...
- Funding stayed calm alongside that positioning shift: SOFR-EFFR +1bp, and the TGA drawdown of $18bn over four weeks did not show up as stress anywhere else in the funding data provided.
- EUR/USD COT positioning is net short at the 1.9th percentile of the past three years, the most short-leaning the book has been in that window, and the short was extended by 23,640 contracts ...
- Henry Hub natural gas rose 2.31% on the day and 5.29% on the week to 3.186. Heating oil rose 3.04% on the day but is down 5.02% on the week at 4.7083. Gasoline fell 3.28% on the day and 7.91% ...
- Four books, crude, copper, the euro, 2-year notes, are at or near the edges of their three-year ranges on the same day, and the terminal's own counter still calls that two categories short ...
Go deeper in the weeklies: COT Positioning Weekly · Rates Decomposition Weekly · Energy Inventory Weekly
Four Books at Three-Year Extremes, One Counter Short of a Signal
Crude (WTI) net longs are at the 100th percentile of the past three years (net +8,234 contracts, up 2,355 week over week). Copper net longs are at the 97.4th percentile (net +78,709, trimmed by 3,940 week over week). EUR/USD net shorts are at the 1.9th percentile, meaning the position is the most short-leaning it has been in three years (net -82,445, extended by 23,640 week over week). 2Y UST net shorts are at the 100th percentile (net -1,170,255, extended by 186,853 week over week). Four different markets, four different corners of the three-year distribution, all on the same day.
None of this shows up in the surface measures of stress. VIX is at 15, a calm reading. The 2s10s curve is +0.48, which the regime classifier calls normal. HY OAS is 312bp, tight by its own label. The financial stress index is -2.09, benign. The terminal's composite macro stress score is 1.6, flagged Low. By every volatility and credit gauge the desk tracks, the session looks ordinary.
The terminal's convergence tool is built to catch exactly this kind of gap between calm surface readings and stretched positioning underneath, and today it counts two categories firing: a HIGH flag for the COT three-year extremes across Crude, Copper, EUR/USD and 2Y UST, and a MEDIUM flag for an energy stock extreme (US total gasoline stocks running 16% below their 5-year band). Its own threshold for calling a confirmed convergence event is three categories. Two is not three, so the tool does not tag today as a signal day, even with four books at the edges of their ranges.
What would change that: if a third HIGH or MEDIUM category joins before the week closes, such as a volatility or credit-spread reading moving to its own extreme, the counter crosses its three-category bar and today's positioning becomes a tagged convergence event rather than a list of four coincidental extremes. If instead the readings in Crude, Copper, EUR/USD and 2Y UST decay back toward their medians over the coming weeks, the four extremes resolve as separate books unwinding on their own schedules, an independent drift rather than a shared stress event. Both are visible outcomes from here; neither has happened yet.
MACRO
ISM Services PMI printed 54.9 against a 55 expectation and a 55.4 prior, a modest miss and a step down from last month's reading. FOMC Minutes are due at 2pm ET; the terminal has no published expectation or prior attached to that release.
Funding conditions stayed orderly. SOFR-EFFR is +1bp. The Treasury General Account sits at $871bn, down $18bn over the past four weeks. The financial stress index is -2.09, benign by its own scale, and the terminal's composite macro stress reading is 1.6, Low.
The regime classifier labels the backdrop pre-vote risk_on, with 78% of weighted votes behind that call, built from the calm VIX reading, the normal 2s10s slope, the benign stress index and the tight HY spread described above.
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