COT: Dollar long building at the expense of EUR
Head of Commodity Strategy
Summary: The CFTC’s COT reporting has finally caught up following the delays that occurred following the December to January US government shutdown. Below we highlight the latest movements across forex, bonds and stock index futures in the week to March 5.
To download your copy of the Commitment of Traders: Forex report for the week ending March 5, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending March 5, click here.
Hedge funds and other large speculators increased their dollar long against nine IMM currency futures by $2.1 to $25.5 billion. We are still some 20% below the multi-year high of $32.2bn reached back in early December.
In fixed income, leveraged funds have continued to increase bets on rising bond yields. While asset managers have been buying, leveraged funds are currently holding short positions in every maturity from two-year to Ultra bonds.
The exception is three-month Eurodollars, where continued buying since December has taken the net-long to the highest since November 2015.
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.