Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
This summary highlights futures positions and changes made by speculators such as hedge funds and CTA’s across forex, bonds and stocks up until last Tuesday, June 16. Appetite for risk temporarily received a knock amid worries around a re-acceleration of COVID-19 cases and continued uncertainty around the speed of the U.S. and the global recovery. The S&P 500 ended the reporting week down 2.4% while the yield on U.S. ten-year notes reversed lower to their established 0.6% to 0.8% range.
Speculators almost doubled bearish bets on the Greenback, this despite seeing the dollar rise by 0.7% against an index of currencies. The combined dollar short against ten IMM currency futures and the Dollar Index jumped by $8.4 billion to $16.8 billion, the highest since May 2018.
The heavy selling was broad-based but with the bulk of the flow mostly benefiting the euro and Australian dollar. The euro net-long reached €14.6 billion, the highest since May 2018 while the Australian dollar’s 28% rally from the March low supported a further cut in the net short to 6.5 lots, also the lowest since May 2018. Despite the risk off theme driving markets during the week, the Mexican peso position managed to flip back to long and a 13-week high.
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 advisors (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.