Quarterly Outlook
Macro outlook: Trump 2.0: Can the US have its cake and eat it, too?
John J. Hardy
Global Head of Macro Strategy
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COT: Long dollar and record bond short maintained
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 August 28, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending August 28, click here.
Speculators maintained the biggest dollar long in 20 months against nine IMM currency futures last week.
The EUR and GBP short positions extended to the highest since January and April 2017 respectively. Profit taking reduced the MXN long by 25% as trade euphoria gave way to emerging market worries. The CHF net-short remained elevated despite being one of the best-performing currencies last month.
Leveraged funds increased bearish bond bets for the 10th consecutive week. This despite having seen the yield on the 10-year note stay rangebound between 2.8% and 3% during this time. The DV01, which measures the dollar value of a one basis point move, rose to a fresh record of $242 million.
Selling was seen in five-years, which hit a fresh record of 1.2 million lots, and the two ultra tenors. The exception was an 8% reduction in 10-year notes from a record short the previous week.
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