Head of Commodity Strategy
Summary: The latest Commitment of Traders data shows funds buying the dollar and the VIX volatility ahead of the October 10 downturn in stocks.
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 October 9, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 9, click here.
IMM Currency futures
In FX, speculators were buyers of the dollar with the net-long against nine IMM currency futures reaching $28 billion, a 20-month high.
The most noticeable exception was the one-third reduction in the CAD net-short. This despite renewed selling of the loonie during the week to October 9. The JPY remains by far the most shorted currency while net-shorts in EUR, AUD,and NZD reached a 1-1/2-year, 3-1/2, and a record high respectively.
Leveraged funds responded to the melt-up in yields during the week to October 9 by booking some profits on their very elevated short exposure. The overall size of the reduction across the curve was by no means major with short-covering in US 10-year Notes and T-bonds Ultra offset by selling elsewhere.
Stocks were mixed while the VIX net-short was cut by 19% – not enough considering the spike that followed last Wednesday and Thursday. During this time the volatility curve went from the usual contango (lowest volatility at the front of the curve) into a steep backwardation, a formation that weighs heavily on short positions.