Head of Commodity Strategy
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 September 11, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending September 11, click here.
In the week to September 11 speculators cut their dollar long against nine IMM currency futures by $1.6 billion to $20.2bn.
Net-selling was seen across the curve with record short bets seen in five- and 10-year maturities as well as T-bond ultras. The DV01 being the dollar value of a one basis point move rose to a record $269 million with the net-short in the four long-dated futures contracts hitting 1.3 million lots.