COT: JPY selling accelerates, record shorts seen in AUD, NZD

COT: JPY selling accelerates, record shorts seen in AUD, NZD

Ole Hansen

Head of Commodity Strategy

Summary: The Commitment of Traders report for the week ending September 25 shows the dollar largely unchanged while yen selling offset GBP buying. In equities, traders increased short bets on the VIX.

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 25, click here.

To download your copy of the Commitment of Traders: Financials report for the week ending September 25, click here.

Speculators maintained an unchanged dollar long against nine IMM currency futures. Buying of GBP and CAD was offset by a 33% jump in the JPY net-short to 84,719 lots, a six-month high.

Despite a 35% reduction in the IMM CAD net-short last week amid Nafta talks and higher oil prices, the combined short of the three commodity currencies stayed close to a four-year high, not least due to record and arguably extreme short positioning in both AUD and NZD.

Financials

Leveraged funds maintained an unchanged short duration in US bonds ahead of last week’s post-Federal Open Market Committee squeeze when 10-year bond yields moved lower after failing to break the May high at 3.13%.

Short-covering in five- and 10-years helped offset selling at the far end of the curve while the net-short position in three-month Eurodollar futures was cut by 17% to 1.1 million lots, a two-year low.

In equities traders bought stocks while increasing short bets on the VIX which rose 20,001 lots to 139,775 lots, some 80% of the 12-month peak.

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COT: JPY selling accelerates, record shorts seen in AUD, NZD

Ole Hansen

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