COT: Dollar sold; bond short jumps

Ole Hansen

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 4, click here

To download your copy of the Commitment of Traders: Financials report for the week ending September 4, click here.

Speculators cut bullish dollar bets by $2.3 billion during the week ending September 4. The 10% reduction was the biggest in almost six months due to traders flipping the euro position back to positive after a net-purchase of 15,000 lots ($1.9 billion). Short-covering in GBP and CHF also contributed to the reduced dollar long.
Enlarge
Financials

Leveraged funds increased bearish bond bets across the US Treasury curve for an 11th consecutive week to a fresh record. Selling was particularly aggressive in 10-year notes with the net-short jumping 34% to 864,000 lots. This despite seeing that part of the yield curve staying rangebound for the past three months between 2.8% and 3%.
Enlarge
The DV01, being the dollar value of a one basis point move, jumped to a record $258 million and speculators now hold a combined net-short of 1.3 million lots in the four long-dated bond futures contracts. 

In equities, all three US stock index futures were sold while the Cboe VIX net-short was extended by 12%. 
Enlarge

You can access both of our platforms from a single Saxo account.

Disclaimer

The Saxo Bank Group entities each provide execution-only service and access to Analysis permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Saxo News & Research and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Saxo News & Research is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Saxo News & Research or as a result of the use of the Saxo News & Research. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. Saxo News & Research does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of our trading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws.

Please read our disclaimers:
- Notification on Non-Independent Investment Research (https://www.home.saxo/legal/niird/notification)
- Full disclaimer (https://www.home.saxo/legal/disclaimer/saxo-disclaimer)