Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
Head of Commodity Strategy
Summary: Ongoing trade optimism continued to sap demand for dollars, JPY and CHF with commodity and EM currencies being bought. Rising stocks and lower volatility drove the VIX net-short to a fresh record
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.
Speculators sold dollars for a third consecutive week with the long against ten IMM currency futures falling by $0.4 billion to $12.3 billion, a ten-week low. The continued risk appetite being driven by hopes for a growth stabilizing trade deal helped support demand for commodity and EM currencies.
The Greenback did enjoy some buying as well on the back of continued selling of CHF, JPY and not least EUR.
Heavy selling was seen across financial futures markets from bonds to stocks. Volatility sellers remained out in force, selling another 16k lots of VIX futures to take the net short to a fresh record of 204k lots.