Head of Commodity Strategy
Summary: Speculators turned small sellers of dollars in the week to September 10 with most currencies except for EUR, GBP and BRL being bought. Not least JPY where the net-long expanded to near the highest since November 2016
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.
Hedge funds and other large speculators reduced their dollar long against ten IMM currency futures by 6% to $12.7 billion in the week to September 10.
Most currencies except for EUR, GBP and BRL were bought. Not least JPY where the net-long reached one of the most bullish positions since November 2016. Buying of CHF took the net to the least short since September while the CAD net-long more than doubled. Selling took the GBP short to near the highest in more than two years while the BRL short reached a five-year high.
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.