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17dollarM

COT: Dollar sold, bond short rises to new record

Forex
Picture of Ole Hansen
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 11, click here. 

To download your copy of the Commitment of Traders: Financials report for the week ending September 11, click here.

In the week to September 11 speculators cut their dollar long against nine IMM currency futures by $1.6 billion to $20.2bn. 

Non-commercial USD position v. nine IMM currency futures
This third weekly reduction was driven by a 40% increase in the EUR net-long together with short-covering in GBP and CHF.
Funds positioning
Bonds and stock index futures:
Fund positioning
Leveraged funds increased bearish bond bets for the thirteenth consecutive week. This as recent data helped support the case for additional rate hikes and the US 10-year yield climbed back towards resistance at 3%. 

Net-selling was seen across the curve with record short bets seen in five- and 10-year maturities as well as T-bond ultras. The DV01 being the dollar value of a one basis point move rose to a record $269 million with the net-short in the four long-dated futures contracts hitting 1.3 million lots. 
Funds positioning
‪
For every short there is always an equivalent long so while the leveraged fund category continues to increase their already record short, the equivalent long position is primarily being held by the asset managers and institutional category.
Position breakdown (US 10-year note)

The stock index futures saw only a small net change while short-covering reduced the Cboe VIX short by 5%.

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