Futures

Press, 14 March 1987, Page 27

Futures

March share-index futures firmed more than the Barclays index yesterday, closing at 3244. This was a premium of 0.79% to the physical index, which was up 18.45 points at 3218.55. June contracts, at 8235, are at a premium of 0.51%. After an initial high this week of 3345, share index futures traded at a premium of 60 points above the physical index, said Jenny Chin, of Marshall’s. Futures fell steadily to a low of 3165 yesterday reflecting a weaker physical index.

Falls of 47.85, 13.53, 19.30 were seen from Tuesday to Thursday on the physical index.

"This bearish sentiment aside, the futures market and physical market we believe, will find support between 3150 and 3175 as the end of March draws nearer. We favour buying this contract for the next major movement” Mr Geoff McDonnell, futures manager of Mair Astley, said the drift down by the sharemarket during the week was the contributing catalyst to a fall in the futures contract. "Brokers suggest that taxation payments having more priority than investment decisions took interest out of the sharemarket. In addition, the impact of the impending BNZ float has probably acted as a diversion for investors who would be awaiting the outcome of their applications

before investing elsewhere in the sharemarket” The contract will close out on Monday, March 30. Bank bills Bank-bill futures traded steadily down from 7580 to 7460 before a correction to above 7500 on Thursday and Friday, said Jenny Chin. The volatility indicated a lack of short-term direction as buyers and sellers took profits or stop-losses were triggered. Mr McDonnel said the call interest rate was the main pivot of the bank-accepted bills contract. "Until the pressure due to tax payment on the banking system reduces we cannot see much upside in the futures index.” However, the Reserve Bank seemed to be establishing confidence by the way it was conducting its daily open market operations, and this might mean term rates were peaking. Yesterday, bank-bill futures closed up on the Thursday close: April by four points. May by 20, and June by five. Government stock June Government stock futures fell steadily from 8245 to 8199, where strong buying support pushed prices back to 8210, said Jenny Chin. “Technically, a break of this level could see 8216

initially, followed by 8235, the reason being gaps were left at these levels and the downward swing was very steep. “Even so the market is still in a downward trend, and it would take significant buying before this was broken.”

Nearly 1700 Government stock futures contracts were traded this week, considerably fewer than in previous weeks. The market was reassessing the fundamentals and technicals after March contracts ceased trading this week, she added.

Negative funding (higher short-term interest than stock yields) was causing a lack of interest in bonds in New Zealand and overseas, Mr McDonnell said. “All relevant factors currently favour shorting this contract, with any change in sentiment unlikely to emerge until term rates ease and specific details of the 1987-88 stock tender programme are announced,” Mr McDonnell said. June Government-stock futures closed eight points up on the Thursday close yesterday and indicating a yield of 17.88%. U.S. dollar U.S. dollar futures firmed 135 points, or $675 a contract, in modest trading. Offshore buying interest and export receipts pushed the kiwi dollar steadily up through 5U50.5700 during the week, before selling entered yesterday, pushing the currency below 5U50.5700 to support around 5U50.5650. The unit appeared to have followed the path of the Australian dollar on its climb, but

retreated on Friday as the Australian dollar came under selling pressure. April futures traded between 1.8090 and 1.7800; March contracts stopped trading on Wednesday. “We expect further rises could be seen, but beware of a sell-off as the market gets itself overbought,” said Miss Chin. Mr McDonnell said present high interest rates and the continuing conjecture that the rates would remain firm reinforced the view that the kiwi dollar might reach 58 U.S. cents by the end of the month. Any potential to fall had to coincide with a drop in interest rates or some dramatic evidence of disenchantment with economic policies. Wool The physical wool market this week was in a rampant upward surge, especially at the auction in Dunedin yesterday, said Mr Guy Spooner, of Marshall Futures. Prices for crossbred fleece in the deliverable range of the futures market had risen by up to 4.5%, about 25 cents. This had brought the 35F2D quote to around 600 c a kilogram. “The futures market, to some degree, has anticipated this rise, but further stoplossing, covering of short positions, and buying pressure from exporter hedging against a fall in the kiwi dollar may push prices well above present levels," he added. Wool contracts firmed noticeably yesterday. May closed eight points up on the Thursday close, and August six points up. Mr McDonnell said the rise in the 35F2D quote gave credibility to the view that the remaining sales of this season would finish strongly and that firm demand would be present in the early 87/88 season.

“This combined with conjecture that the kiwi dollar will weaken before the election forces us to conclude that wool futures are underpriced.”

Sydney In Sydney, share-price index futures recovered from early lows caused by profittaking and finished firmer yesterday on short-covering sparked by gains on the share market March closed 6.0 points up at 1639.0, unchanged from its open, after falling to 1621.0 in the morning session. June closed 11.3 points higher at 1637.3. The underlying allordinaries index gained 10.4 points to 1636.3. Details of yesterday’s trading: JUS CONTRACTS Mth Open H/L Last Vol Apr 1.7860 7935/860 7935 21 Contracts traded: 21 Open positions at Mar 12: Apr 48, May 12, Jun 1, total 61 (up 30). COMMERCIAL BILLS Mth Open H/L Last Vol Contracts traded: Nil Open positions at Mar 12: Jun 123, Sep 43, Dec 40, Mar 39, Jun 10, total 255 (same). GOVERNMENT STOCK Mth Open H/L Last Vol Jun 8200 214/199 212 607 Contracts traded: 607 Open positions at Mar 12: Apr 2, Jun 1447, Dec 117, total 1566 (up 138).

Open positions at Mar 12: Mar 3, May 235, Aug 196, Oct 170, Dec 130, Jan 227, Mar 230, May 106, Aug .11, total 1308 (down 16). WHEAT Mth Open H/L Last Vol Contracts traded: Nil Open positions at Mar 12: May 7, total 7 (unchanged).

Contracts traded: 56 Open positions at Mar 12: Apr 261, May 144, Jun 175, Sep 46, Dec 44, Mar 53, Jun 40, Sep 40, Dec 40, total 843 (up 117). SYDNEY ALL-ORDS (half-points omitted)

Prev. Mth close H/L Last Vol Mar 1633 1645/21 1639 2276 Jun 1626 1637/21 1637 147 Contracts traded: 2423 Open positions at Mar 12: 12,586.

BARCLAY’S SHARE INDEX Mth Open H/L Last Vol Mar 3194 245/165 244 617 Jun 3200 235/195 235 8 Contracts traded: 625 Open positions at Mar 12: Mar 1989, Jun 47. total 2036 (up 14).

WOOL Mth Open H/L Last Vol Mar 591 591/591 591 7 May 616 620/616 620 56 Aug 650 651/650 651 5 Oct 655 655/655 655 11 Jan 663 665/663 665 2 May 675 675/675 675 1 Contracts traded: 82

90-DAY BANK BILLS Mth Open H/L Last Vol Apr 7485 515/485 505 31 May 7630 640/625 640 15 Jun 7750 750/750 750 10

NX FUTURES MARKET WEEK ENDED MARCH 13 Trading Traded prices Total Open months This week To date this cont’s SUS High Low Last High Low week Mar ’87 1.7806 1.7590 1.7590 2.0180 1.7590 177 0 Apr W 1.8090 1.7800 1.7935 1.89201.7800 65 48 May '87 1.8080 1.8080 1.8080 1.89301.8080 4 12 Jun ’87 Totals PCP — — — 1.96601.9660 246 1 61 Mar ’87 7450 7420 7420 8500 7400 179 75 Apr '87 —— —. — — — — —— May ’87 —— — — —- Jun ’87 — — — 8520 7800 — 123 Sep ’87 — — — 8525 7800 43 Dec ’87 — — —. 8500 7800 40 Mar '88 — — — 8500 7800 39 Jun ’88 — Totals GOVERNMENT STOCK — 8450 7815 179 10 330 Mar '87 8178 8170 8170 8445 8150 38 0 Apr ’87 .8180 8150 8178 8318 8150 3 2 Jun ’87 8245 8199 8212 8580 8199 1336 1447 Sep ’87 — — — 8436 8400 ■ ■■■■ - Dec ’87 Totals WOOL — — — 8360 8315 1667 117 1566 Mar ’87 591 589 591 605 480 8 3 May '87 620 612 620 620 486 60 235 Aug '87 651 645 651 651 532 30 196 Oct ’87 655 645 655 660 530 32 170 Dec '87 655 655 655 655 541 15 130 Jan ’88 665 655 665 665 541 23 227 Mar ’88 666 656 666 666 551 9 230 May ’88 675 675 675 675 575 1 106 Aug ’88 Totals — — — 685 635 80 11 1308 Tenderable stock: 405 bales. 35F2D quotes — 603 at Dunedin yesterday. WHEAT Mar ’87 — — — 2330 2050 — — May ’87 — — — 2350 2060 — 7 Jun ’87 — — 2150 2150 — — Jul ’87 — — — 2300 2100 — — Sep '87 _ _ _ 2400 2100 Totals 90-DAY BANK ACCEPTED BILLS — 7 Mar ’87 7485 7440 7455 8120 7425 52 0 Apr ’87 7580 7460 7505 7950 7460 231 261 May ’87 7690 7595 7640 7850 7595 151 114 Jun ’87 7850 7740 7750 8160 7740 52 175 Sep ’87 — —- 8150 7740 — 46 Dec ’87 — — —- 8275 8000 —— 44 Mar '88 — — — 8275 8000 — 53 Jun ’88 — — — 8275 8100 — 40 Sep ’88 —— — — 8275 8100 — 40 Dec ’88 _ _ _ Totals BARCLAY’S SHARE INDEX 8275 8100 486 40 843 Mar ’87 3345 3165 3244 3940 2880 2756 1989 Apr ’87 —— — — 3250 3250 — — May '87 — — — — — — —— Jun ’87 Totals 3345 3195 3235 3746 2910 21 2777 47 2036