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COT: Funds trim dollar long and bond short
Ole Hansen
Head of Commodity Strategy, Saxo Bank Group
Summary: Speculators trimmed their dollar long positions against nine IMM currency futures for a second week running but sentiment remains strongly in favour of the greenback with short positions held in all apart from MXN and RUB.
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 23, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 23, click here.
Buying was most noticeable in GBP, CAD and not least JPY where short positions were reduced for a second week in response to ongoing market jitters. Small selling of the EUR resulted in the largest bearish position since March 2017.
Leveraged funds cut their short exposure to the US yield curve in the week to October 23. This came during a choppy trading week where US 10-year yields dropped from 3.21% to 3.11% in response to weaker stocks and ongoing concerns about Italy.
The DV01, which measures the dollar value of a one basis point move in yields, dropped to $245 million, the least bearish in eight weeks.
The non-commercial short position in C’boe VIX was cut by 69% to 10k lots, a five-month low.
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