COT: Dollar buying, VIX selling continues
Head of Commodity Strategy
Summary: The latest US Commitment of Traders data show funds continuing to pile into long USD and short volatility positions.
To download your copy of the Commitment of Traders: Forex report for the week ending April 30, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending April 30, click here.
During the week to April 30 the non-commercial dollar long against 10 IMM currency futures (a basket that now includes BRL) rose by $2.3 billion to $35.1 billion, the highest since December 2015. The narrower G7 group reached a $40 billion short against the dollar, also the highest since December 2015.
Yesterday’s double tweet from President Trump threatening to hike tariffs on $200 billion worth of Chinese imports from 10% to 25% by Friday have rattled the market today The S&P 500’s 1.6% drop was followed by a 2.2% jump in the May VIX future to 16.5%. A further move above 17% would push half of the aforementioned short out of the money.
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.