Head of Commodity Strategy
Summary: Speculators ditched dollar longs as buyers returned to EUR and GBP. The Cboe VIX short once again approaching record territory as market complacency reigns.
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.
Following five weeks of solid dollar buying speculators made a U-turn and cut bullish bets by 28% to $15.2 billion. While the dollar selling during the week to October 22 was broad-based, over half of the reduction came from a 34% reduction in the EUR net short. Another major contributor was GBP on Brexit deal hopes while bullish CAD bets reached a 20-months high.
As a sign of the continued risk-on across markets the JPY net-short was boosted by 11.5k lots to 18k lots, the most bearish since June.
The S&P 500’s attempt to reach a fresh record helped drive a 10% increase in the non-commercial Cboe VIX short. At 171k lots it is now just 9k below the April record.
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