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COT: Dollar, bonds react to dovish Fed
Ole Hansen
Head of Commodity Strategy, Saxo Bank Group
Summary: The latest COT data show money managers reducing USD long positions in the wake of the dovish FOMC.
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 March 19, click here
To download your copy of the Commitment of Traders: Financials report for the week ending March 19, click here
The non-commercial dollar long against nine IMM currency futures was cut by $1 billion to $24.4bn, a four-week low, in the aftermath of the Federal Open Market Committee meeting on March 20. The net-long in MXN reached a fresh six-year high, and RUB a record high as well, while the GBP net-short reached a nine-month low despite ongoing Brexit turmoil. Selling of EUR continued with the net-short reaching a 27-month high at 80k lots, the equivalent of €10bn.
To download your copy of the Commitment of Traders: Forex report for the week ending March 19, click here
To download your copy of the Commitment of Traders: Financials report for the week ending March 19, click here
The non-commercial dollar long against nine IMM currency futures was cut by $1 billion to $24.4bn, a four-week low, in the aftermath of the Federal Open Market Committee meeting on March 20. The net-long in MXN reached a fresh six-year high, and RUB a record high as well, while the GBP net-short reached a nine-month low despite ongoing Brexit turmoil. Selling of EUR continued with the net-short reaching a 27-month high at 80k lots, the equivalent of €10bn.
The dramatic slump in US bond yields following the FOMC meeting did little to alter the overall positions held by leveraged funds across the yield curve. Selling at the short and ultra-long ends was off-set by short-covering in 10-year notes.
For every short there is a long, and the below charts below break down the open interest across the four main bond futures contracts.
What is the Commitments of Traders report?
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 advisers (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.
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 advisers (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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