COT: Dollar long cut to three-month low; CHF in demand

Bullish bets on MXN were reduced for a fourth week following the recent border/tariff threats. The CAD was bought after the country’s unemployment rate fell to the lowest since at least 1976. Elsewhere, EUR, GBP and JPY positioning was close to flat over the week.

Leveraged funds cut short positions across the US yield curve with 2’s being the exception. The charts below breaks down the open interest of the individual futures into different types of users. The table above focuses purely on the leveraged fund category. 

The net Eurodollar long extended by 141k lots to reach 995k lots, the highest since February 2015.

What is the Commitments of Traders report?

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.