COT: Dollar long cut after specs cut shorts in EUR, JPY and GBP
Head of Commodity Strategy
Summary: In the week to December 10 speculators sold dollars for the first time in five weeks. This due to emerging short-covering in the major currencies of EUR, CHF, JPY and not least GBP
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
Speculators sold dollars for the first time in five weeks with the change being driven by short covering in EUR, CHF, JPY and not least GBP ahead of the UK election. Against ten IMM currency futures and dollar Index the gross dollar long was cut by $1.7bn to $20.5 bn.
Ahead of the post-election surge to an 18-month high, the GBP net-short was cut by 7,411 lots to 22,639, the least bearish since May.
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.