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 30. During the week appetite for risk temporarily received a knock with the S&P 500 trading softer while the dollar and bonds rose.
Note: The data was released on Monday instead of Friday due to the U.S. federal holiday.
The dollar strengthened against all ten IMM currency futures while the Dollar Index rose by 0.8%. In response to these developments speculators cut bearish dollar bets by 16% to $15.1 billion, the first week of dollar buying in six.
Most of the action was concentrated in EURUSD with the net long seeing a 16% reduction (€2.4 billion) from a two year high. Other smaller but still noticeable changes were long liquidation in the Japanese yen and additional short selling of the British pound.
The Aussie dollar, having rallied by more than 25% since the March low saw further short-covering with speculators being the least bearish in more than two years.
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.