Head of Commodity Strategy
Summary: The Commitments of Traders reports highlight speculators positions and changes made during the week to June 30 in FX, bonds and stocks. A week that saw buyers return to the Greenback for the first time in six weeks. The strengthening against all ten currencies helped cut the dollar short by 16%, primarily against the euro.
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.
This summary highlights futures positions and changes made by speculators such as hedge funds and CTA’s across forex, bonds and stocks up until last Tuesday, June 30. During the week appetite for risk temporarily received a knock with the S&P 500 trading softer while the dollar and bonds rose.
Note: The data was released on Monday instead of Friday due to the U.S. federal holiday.
The dollar strengthened against all ten IMM currency futures while the Dollar Index rose by 0.8%. In response to these developments speculators cut bearish dollar bets by 16% to $15.1 billion, the first week of dollar buying in six.
Most of the action was concentrated in EURUSD with the net long seeing a 16% reduction (€2.4 billion) from a two year high. Other smaller but still noticeable changes were long liquidation in the Japanese yen and additional short selling of the British pound.
The Aussie dollar, having rallied by more than 25% since the March low saw further short-covering with speculators being the least bearish in more than two years.
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