COT: Speculators cut dollar shorts again

Forex

Ole Hansen

Head of Commodity Strategy

Summary:  The Commitments of Traders reports highlight speculators positions and changes made during the week to May 12 in FX, bonds and stocks. Overall a week that only saw small changes with the S&P 500, the dollar and U.S. 10-year Notes trading close to unchanged


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.

Hedge funds and other large speculators were net buyers of dollars for a third consecutive week to May 12. The net dollar short against ten IMM currency futures and the Dollar Index was reduced by 4% to $6.4 billion, the lowest since March.  Overall as per the table below there was no major changes apart from the renewed selling of Mexican peso with a net short emerging for the first time since December 2018.

Leveraged fund positions in bonds, stocks and VIX
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.

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