COT: Dollar selling pauses, curve-flatteners in demand

Ole Hansen

Head of Commodity Strategy

To download your copy of the Commitment of Traders: Forex report for the week ending June 5, click here.

To download your copy of the Commitment of Traders: Financials report for the week ending June 5, click here.

After six weeks of selling, the speculative dollar short against nine IMM currency futures was unchanged in the week to June 5.

The most noticeable change was in the Mexican peso where speculators finally flipped to a net-short following seven weeks of selling. 

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Additional selling of EUR, GBP, and CAD were offset by buying of CHF, JPY, AUD, and NZD.

Financials

In fixed income the strong US jobs report on June 1 and the near-certain US rate hike on June 13 saw leveraged funds enter into curve-flattening mode. They sold all maturities from Fed Funds to five-years while buying all from 10-years to ultras. 

The net-short of 148,000 lots in two-years was the biggest in more than five years.

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Funds overall turned less bearish on US Treasuries with the net-short value of a one basis point move (DV01) dropping to $180 million, a seven-week low.  

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