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 forex, bonds and stocks up until last Tuesday, September 8. The week covered the first major US stock market correction since the March pandemic low. The Nasdaq 100 lost 10% and the S&P 500 5.5% during a week where US megacap stocks took a beating. The risk off spread to the other sectors with the dollar rising by 1.2% while bonds held steady.
Speculators kept an unchanged bearish dollar bet in the week to September 8. This despite broad dollar gains as the US stock market correction reduced the general level of risk appetite. The net short against ten IMM currency futures and the Dollar Index stood at $33.6 billion with the most noticeable changes offsetting each other being buying of GBP and CAD and selling of JPY.
One interesting observation was the lack of reaction to the stronger dollar from speculators holding a near record euro long at 197k lots (€24.5 billion). During the week both long and short positions saw a small reduction which left the overall net unchanged.
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.