COT: Dollar, VIX bought ahead of last week's turmoil
Head of Commodity Strategy
Summary: The latest Commitment of Traders data shows funds buying the dollar and the VIX volatility ahead of the October 10 downturn in stocks.
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 9, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 9, click here.
IMM Currency futures
In FX, speculators were buyers of the dollar with the net-long against nine IMM currency futures reaching $28 billion, a 20-month high.
The most noticeable exception was the one-third reduction in the CAD net-short. This despite renewed selling of the loonie during the week to October 9. The JPY remains by far the most shorted currency while net-shorts in EUR, AUD,and NZD reached a 1-1/2-year, 3-1/2, and a record high respectively.
Leveraged funds responded to the melt-up in yields during the week to October 9 by booking some profits on their very elevated short exposure. The overall size of the reduction across the curve was by no means major with short-covering in US 10-year Notes and T-bonds Ultra offset by selling elsewhere.
Stocks were mixed while the VIX net-short was cut by 19% – not enough considering the spike that followed last Wednesday and Thursday. During this time the volatility curve went from the usual contango (lowest volatility at the front of the curve) into a steep backwardation, a formation that weighs heavily on short positions.
Latest Market Insights
Quarterly Outlook Q3 2022: The Runaway Train
- Central banks' attempts to kill inflation is a paradigm shift, which could end in a deep recession.
Tangible assets and profitable growth are the winnersWith US equities officially in a bear market, the big question is where and when is the bottom in the current drawdown?
Understanding the lack of investment appetite among oil majorsThe everything rally seen in recent quarters has become more uneven, as its strength is driven by commodities in short supply.
The pressure is on as the wind leaves the sailsWith cryptocurrencies in sharp decline, are we entering a crypto winter or is the bear market a healthy clean-up of the crypto space?
Why the Fed can never catch up and what turns the US dollar lower?Many other central banks are set to eventually outpace the Fed in hiking rates, taking their real interest rates to levels higher than the Fed will achieve.
Bank of Japan: Swimming against the tideThe Japanese economy has gone from the age of deflation to rapidly rising prices in no time, leaving the Bank of Japan in a pickle.
Green transformation detour and bear market hibernationWith the impending risk of global econonomic derailment, we share the five things investors need to consider in this new half year.
Crisis redux for the eurozone?Whether there's going to be a recession in Europe or not, the path towards a stable economy will be agonizing.
Please read our disclaimers:
- Notification on Non-Independent Investment Research (https://www.home.saxo/legal/niird/notification)
- Full disclaimer (https://www.home.saxo/en-gb/legal/disclaimer/saxo-disclaimer)