COT: Dollar longs reduced as rate hike premium erodes

Forex 3 minutes to read

Ole Hansen

Head of Commodity Strategy

Summary:  The week to December 11 saw speculators sell dollars ahead of the strongest weekly close in 19 months, reducing bullish dollar bets against nine IMM currency futures by $3 billion to $29 bn.


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 December 11, click here.

To download your copy of the Commitment of Traders: Financials report for the week ending December 11, click here.

Speculators sold dollars ahead of the strongest weekly close in 19 months. In the week to December 11, they reduced bullish dollar bets against nine IMM currency futures by $3 billion or 9% to $29 bn. The belief in a stronger dollar into 2019, however, remained elevated as per the chart below. 

Non-commercial USD position v. nine IMM currency futures
The reduction was broad-based and was led by short-covering in EUR, JPY, AUD and NZD.
Funds positioning
In fixed income leveraged funds were net-buyers across the yield curve with the exception being the five-year note where the net-short reach a fresh record high of 1.3 million lots, a total contract value of $147bn.
Funds positioning
The week covered the soft jobs report on December 7 and subsequent rally which saw much of the 2019 rate hike premium being eroded. Record-breaking volumes in three-month Eurodollar futures on December 6 resulted in the net-short falling to just 800,000 lots, a 26-month low. 
Leveraged funds: three-month Eurodollar

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