COT: Dollar, bonds react to dovish Fed
Head of Commodity Strategy
Summary: The latest COT data show money managers reducing USD long positions in the wake of the dovish FOMC.
To download your copy of the Commitment of Traders: Forex report for the week ending March 19, click here
To download your copy of the Commitment of Traders: Financials report for the week ending March 19, click here
The non-commercial dollar long against nine IMM currency futures was cut by $1 billion to $24.4bn, a four-week low, in the aftermath of the Federal Open Market Committee meeting on March 20. The net-long in MXN reached a fresh six-year high, and RUB a record high as well, while the GBP net-short reached a nine-month low despite ongoing Brexit turmoil. Selling of EUR continued with the net-short reaching a 27-month high at 80k lots, the equivalent of €10bn.
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 advisers (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.