Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
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COT: Elevated dollar short sees small reduction
Ole Hansen
Head of Commodity Strategy
Summary: The Commitments of Traders reports highlight speculators positions and changes made during the week to August 11 in FX, bonds and stocks. It was a strong week for risk with the S&P 500 adding 1.7% to its already strong gains, bond yields ticked higher while the Dollar Index dropped by 1.4% on weakness against all of its major peers. The elevated dollar short nevertheless saw its first reduction in eight weeks.
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, August 18. It was a strong week for risk with the S&P 500 adding 1.7% to its already strong gains, bond yields ticked higher while the Dollar Index dropped by 1.4% on weakness against all of its major peers.
Despite fresh dollar weakness against most of the currencies tracked in this report, speculators nevertheless made their first albeit small reduction in their dollar short in eight weeks last week. The net short against ten IMM currency futures and the Dollar Index saw a 3% reduction after reaching a nine year high the previous week. The reduction to $32.6 billion, that was led by profit taking in euro, Swiss franc and Japanese yen was somewhat being offset by a strong week of Sterling buying. The buying of 9,325 lots (£583 million) saw the position reverse to a net long for the first time in four months.
Leveraged fund positions in bonds, stocks and VIX
What is the Commitments of Traders report?
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.
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.
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