COT: Speculators raise bets on stronger USD, rising yields

Ole Hansen

Head of Commodity Strategy

Summary:  The week to September 18 saw a dramatic reversal in funds' USD outlook with speculators piling back into long dollar positions. In bonds, leveraged funds continue to look for higher US yields.

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 18, click here

To download your copy of the Commitment of Traders: Financials report for the week ending September 18, click here.

Three weeks of dollar long-liquidation was reversed in the week to September 18 when speculators bought $4 billion against nine IMM currency futures. The buying which occurred just days before the dollar dropped to a 10-week low and took the gross dollar long to an almost 20-month high at $24.2 billion. 

All but CHF and MXN were sold with the EUR returning to neutral while the NZD net-short reached a record and multi-month highs were seen in GBP, AUD, and RUB.  

In bonds, leveraged funds maintained a record short duration across the US yield curve. The record short in 10-year notes extended further, as the 10-year yield climbed back above 3% while the steepening yield curve attracted some buying interest at the front. 

Leveraged funds maintain a strong belief in higher yields with the combined long-end net-short rising to a record 1.4 million lots last week. 
In equities all of the three major stock indexes were sold with the net-short in E-mini S&P hitting the highest since January.

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