Head of Commodity Strategy
Summary: Speculators trimmed their dollar long positions against nine IMM currency futures for a second week running but sentiment remains strongly in favour of the greenback with short positions held in all apart from MXN and RUB.
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 23, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 23, click here.
The DV01, which measures the dollar value of a one basis point move in yields, dropped to $245 million, the least bearish in eight weeks.
The non-commercial short position in C’boe VIX was cut by 69% to 10k lots, a five-month low.