COT: Dollar sold; bond short jumps

Ole Hansen

Head of Commodity Strategy

Saxo Bank publishes two 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.

To download your copy of the Commitment of Traders: Forex report for the week ending September 4, click here.

To download your copy of the Commitment of Traders: Financials report for the week ending September 4, click here.

Speculators cut bullish dollar bets by $2.3 billion during the week ending September 4. The 10% reduction was the biggest in almost six months due to traders flipping the euro position back to positive after a net-purchase of 15,000 lots ($1.9 billion). Short-covering in GBP and CHF also contributed to the reduced dollar long.

Financials

Leveraged funds increased bearish bond bets across the US Treasury curve for an 11th consecutive week to a fresh record. Selling was particularly aggressive in 10-year notes with the net-short jumping 34% to 864,000 lots. This despite seeing that part of the yield curve staying rangebound for the past three months between 2.8% and 3%.

The DV01, being the dollar value of a one basis point move, jumped to a record $258 million and speculators now hold a combined net-short of 1.3 million lots in the four long-dated bond futures contracts.

In equities, all three US stock index futures were sold while the Cboe VIX net-short was extended by 12%.

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COT: Dollar sold; bond short jumps

Ole Hansen

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Latest Market Insights

Outrageous Predictions 2023: The War Economy

Billionaire coalition creates trillion-dollar Manhattan Project for energy

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Gold rockets to USD 3,000 as central banks fail on inflation mandate

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A country agrees to ban all meat production by 2030

UK holds UnBrexit referendum

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OPEC+ & Chindia walk out of the IMF, agree to trade with new reserve asset

USDJPY fixed to the USD at 200 as Japan overhauls financial system

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