Head of Commodity Strategy
Summary: Weekly data compiled in the Commitments of Traders report remain delayed due to the 35 days partial shutdown of the US government between December 22 and January 25. The CFTC will be rolling out figures twice a week and should catch up by March 5. The latest available data, presented here, covers the week to January 22.
Please note that Brent and gas oil show data from the week to February 12.
With one week to go before the post January 30 Federal Open Market Committee meeting-inspired dollar rally, the speculative dollar long against eight IMM currency futures had dropped to $22 billion, a six-month low. The change was driven by a four-week JPY buying spree before and not least after the January 3 flash crash. During this time the JPY net-short was cut by 60% to 40,000 lots.
The COT report on bond futures in the week to January 22 showed how leveraged funds continued to increase what was already a record short position across the US yield curve. Especially the position in Ultra Long Term Bonds showed the continued divide between leveraged funds selling on one hand and asset managers buying on the other.
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.