
COT: Bullish dollar bets cut to 18-month low

Ole Hansen
Head of Commodity Strategy
Summary: Speculators cut bullish dollar bets to an 18-month low during the final week of 2019
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.
Into yearend speculators continued the recent trend of US dollar selling. Our FX strategist John Hardy in his latest update asked whether the US dollar is finally rolling over in a more determined fashion following some weakness during December. The net-long against ten IMM currency futures and the Dollar Index dropped by 17% to $12.3 billion, an 18-month low. Selling was most noticeable against CHF, AUD and not least the JPY.
Apart from the dollar speculators finished 2019 holding long positions in MXN, RUB, CAD and GBP. The latter reaching the highest net long since 2018.
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.
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