COT: Long dollar and record bond short maintained

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 August 28, click here

To download your copy of the Commitment of Traders: Financials report for the week ending August 28, click here.

Speculators maintained the biggest dollar long in 20 months against nine IMM currency futures last week.

Enlarge
The EUR and GBP short positions extended to the highest since January and April 2017 respectively. Profit taking reduced the MXN long by 25% as trade euphoria gave way to emerging market worries.  The CHF net-short remained elevated despite being one of the best-performing currencies last month.
Enlarge
Leveraged funds increased bearish bond bets for the 10th consecutive week. This despite having seen the yield on the 10-year note stay rangebound between 2.8% and 3% during this time. The DV01, which measures the dollar value of a one basis point move, rose to a fresh record of $242 million.
Enlarge
Selling was seen in five-years, which hit a fresh record of 1.2 million lots, and the two ultra tenors. The exception was an 8% reduction in 10-year notes from a record short the previous week.
Enlarge

You can access both of our platforms from a single Saxo account.

Disclaimer

Saxo Capital Markets (Australia) Pty Ltd prepares and distributes information/research produced within the Saxo Bank Group for informational purposes only. In addition to the disclaimer below, if any general advice is provided, such advice does not take into account your individual objectives, financial situation or needs. You should consider the appropriateness of trading any financial instrument as trading can result in losses that exceed your initial investment. Please refer to our Analysis Disclaimer, and our Combined Financial Services Guide and Product Disclosure Statement. All legal documentation and disclaimers can be found at https://www.home.saxo/en-au/legal/.

The Saxo Bank Group entities each provide execution-only service. Access and use of Saxo News & Research and any Saxo Bank Group website are subject to (i) the Terms of Use; (ii) the full Disclaimer; and (iii) the Risk Warning in addition (where relevant) to the terms governing the use of the website of a member of the Saxo Bank Group.

Saxo News & Research is provided for informational purposes, does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of our trading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. No representation or warranty is given as to the accuracy or completeness of this information. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. No Saxo Bank Group entity shall be liable for any losses that you may sustain as a result of any investment decision made in reliance on information on Saxo News & Research.

To the extent that any content is construed as investment research, such content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication.

Please read our disclaimers:
- Full Disclaimer (https://www.home.saxo/en-au/legal/disclaimer/saxo-disclaimer)
- Analysis Disclaimer (https://www.home.saxo/en-au/legal/analysis-disclaimer/saxo-analysis-disclaimer)
- Notification on Non-Independent Investment Research (https://www.home.saxo/legal/niird/notification)