Head of Commodity Strategy
Summary: Speculators continued to sell dollars against ten IMM currency futures during the week to August 27. This ahead of Fridays dollar rally when the euro dropped to a 27-month low below €1.10.
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
Ahead of Friday’s dollar rally when the euro dropped below €1.10, speculators had continued to sell the Greenback. In the week to August 27 the gross dollar long against ten IMM currency futures was reduced to a 14-months low at $10.6 billion with buying of JPY, GBP and not least CHF being the main contributors.
The 33,600 lots long in JPY was the most bullish since November 2016 while net-short bets on the Swiss franc fell to 3,800 lots, the lowest since October 2017. The net-short in Sterling was reduced for a third week before PM Johnson’s decision to suspend Parliament for five weeks helped send the price lower again.
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 advisors (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.