Head of Commodity Strategy
Summary: The US dollar long hit a nine-week high in the week ending March 12, but its breakout attempt didn't succeed in the end.
To download your copy of the Commitment of Traders: Forex report for the week ending March 12, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending March 12, click here.
Hedge funds and other large speculators increased their dollar long against nine IMM currency futures to $26.5 billion, a nine-week high. This came during the week where a dovish European Central Bank sent the euro to a 20-month low and the dollar index to its highest since December, before once again being rejected.
The JPY net-short increased by 15% to 59k lots despite being one of the few currencies rising against the dollar during the week to March 12.
Funds remained net-short along the curve with the exception of the 3-month Eurodollar, where the net-long jumped 120k lots to 630k lots, the highest since October 2015.
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 advisers (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.