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COT: GBP selling spiked ahead of May’s resignation
Ole Hansen
Head of Commodity Strategy
Summary: Speculators reversed course on the dollar during the week to May 21. Following two weeks of selling they turned buyers to the tune of $1.3bn against ten IMM currency futures.
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 May 15, click here
To download your copy of the Commitment of Traders: Financials report for the week ending May 15, click here
To download your copy of the Commitment of Traders: Forex report for the week ending May 15, click here
To download your copy of the Commitment of Traders: Financials report for the week ending May 15, click here
Selling was led by EUR (-6k lots) and not least GBP where the 23k lots addition to the net-short was the biggest weekly sale since September 2017. Overall the net flows were mixed with buying of CAD and JPY somewhat keeping the overall change to a minimum.
The net-short in Cboe VIX rose by 16k following two weeks of aggressive buying. The change, however, was driven by long liquidation – not fresh selling – as the VIX steadied below its 200-day moving average.
In bonds the front end of the curve was bought as the trade war and incoming data pointed to softening US growth and with that increased risk of the Federal Open Market Committee moving towards a sooner-than-expected rate cut.
In bonds the front end of the curve was bought as the trade war and incoming data pointed to softening US growth and with that increased risk of the Federal Open Market Committee moving towards a sooner-than-expected rate cut.
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.
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.