Head of Commodity Strategy, Saxo Bank Group
Please click to access the COT forex and financials PDFs for the week ending July 17, 2018.
The speculative long dollar position against nine IMM currency futures rose by 12% in the week to July 17. Following 13 weeks of almost continuous buying it reached $19 billion, the most dollar bullish since January 2017 with selling of EUR, CHF and not least JPY more than offsetting small buying of the other six.
The IMM EUR net-long dropped to just 21.4 lots, a 14-month low before President Trump renewed his attack on the strong dollar, not least against the euro and the Chinese yuan.
Despite seeing range-bound trading, leveraged funds nevertheless increased bearish bond bets to the highest level seen this year. The DV01, which measures the dollar value of one basis point change in yield, jumped almost ten million dollars to -$217 million.
Selling was primarily seen in 10s and Ultra bonds with the current net-short positions in 5s, 10s and Ultra bonds being close to multi-year highs.