oil

COT: Cross-market reaction to virus news

Ole Hansen

Head of Commodity Strategy

Summary:  This summary highlights positions and changes made by speculators such as hedge funds and CTA's across commodities and forex futures and options up until last Tuesday, November 10, the day of the U.S. election. The report highlights the markets first response to the corona vaccine news from Pfizer/BioNTech on November 9.


Saxo Bank publishes weekly Commitment of Traders reports (COT) covering leveraged fund positions in commodities, bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.

Link to latest report here.

Last night and delayed due to a Federal holiday last week, the U.S. CFTC released its weekly Commitments of Traders report covering futures positions and changes made by hedge funds across commodities and forex up until last Tuesday, November 10. The report highlights the markets first response to the corona vaccine news from Pfizer/BioNTech on November 9.

In commodities the vaccine news triggered a 10% rally in crude oil which supported a 17% increase in the net-long WTI and Brent crude oil position to 420k lots, still well below the six month average at 497k lots.

The 115 dollar top to bottom move in gold, meanwhile saw speculators cut bullish bets by 9% to 111k lots, the lowest since June 2019, when gold traded around $1300/oz, some 45% below the current market. From a bullish investor perspective the report was somewhat encouraging as the reduction was purely driven by long liquidation with no appetite for fresh short-selling seen in the data.

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In forex speculators maintained an unchanged dollar short at $23.8 billion against ten IMM currency futures and the Dollar index. Selling of EUR, GBP and AUD being offset by a 49% jump in the JPY long to a four-year high.

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What is the Commitments of Traders report?

The Commitments of Traders (COT) report is issued by the US Commodity Futures Trading Commission (CFTC) every Friday at 15:30 EST with data from the week ending the previous Tuesday. The report breaks down the open interest across major futures markets from bonds, stock index, currencies and commodities. The ICE Futures Europe Exchange issues a similar report, also on Fridays, covering Brent crude oil and gas oil.

In commodities, the open interest is broken into the following categories: Producer/Merchant/Processor/User; Swap Dealers; Managed Money and other.

In financials the categories are Dealer/Intermediary; Asset Manager/Institutional; Managed Money and other.

Our focus is primarily on the behaviour of Managed Money traders such as commodity trading advisors (CTA), commodity pool operators (CPO), and unregistered funds.

They are likely to have tight stops and no underlying exposure that is being hedged. This makes them most reactive to changes in fundamental or technical price developments. It provides views about major trends but also helps to decipher when a reversal is looming.

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