COT: Dollar bought and bond short extended ahead of rout
Head of Commodity Strategy
Summary: Speculators increased their dollar long against nine IMM currency futures to a fresh 21-months high last week.
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 October 2, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 2, click here.
IMM Currency futures
Speculators increased their dollar long against nine IMM currency futures to a fresh 21-months high last week.
The dollar buying was concentrated against the euro on continued Italy focus and not least the yen on the widening yield gap. Small (dollar) selling, meanwhile, was seen against the other seven currencies. Surprisingly, the CAD net-short only saw a small net reduction despite the new NAFTA deal and surging oil prices.
Leveraged funds cut their short exposure to the US yield curve in the week to October 2. Short-covering in 5s and 10s more than offset selling at the front and far end of the curve.
These changes occurred the day before US 10 year yields surged by the most since the 2016 US presidential election. This was in response to strong economic data and hawkish comments from the US Fed on the future direction of short-term interest rates.
Short-covering cut the net-short in S&P by 15% and the Nasdaq by 75% while only small changes were seen in the C’boe VIX position.
Latest Market Insights
Quarterly Outlook Q3 2022: The Runaway Train
- Central banks' attempts to kill inflation is a paradigm shift, which could end in a deep recession.
Tangible assets and profitable growth are the winnersWith US equities officially in a bear market, the big question is where and when is the bottom in the current drawdown?
Understanding the lack of investment appetite among oil majorsThe everything rally seen in recent quarters has become more uneven, as its strength is driven by commodities in short supply.
The pressure is on as the wind leaves the sailsWith cryptocurrencies in sharp decline, are we entering a crypto winter or is the bear market a healthy clean-up of the crypto space?
Why the Fed can never catch up and what turns the US dollar lower?Many other central banks are set to eventually outpace the Fed in hiking rates, taking their real interest rates to levels higher than the Fed will achieve.
Bank of Japan: Swimming against the tideThe Japanese economy has gone from the age of deflation to rapidly rising prices in no time, leaving the Bank of Japan in a pickle.
Green transformation detour and bear market hibernationWith the impending risk of global econonomic derailment, we share the five things investors need to consider in this new half year.
Crisis redux for the eurozone?Whether there's going to be a recession in Europe or not, the path towards a stable economy will be agonizing.
Technical Outlook: Gold, Oil and a remarkable multi-decade perspective on EquitiesThe Nasdaq bubble pattern, USDJPY resistance, crude oil uptrend losing steam and the technical outlook for USD.
China: the train of new development paradigm left the station two years agoChina is transiting to a new development paradigm, as they are hit by deteriorating terms of trade, a slower global economy and an uncertain future while continuing attempts to contain the pandemic.