Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
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COT: Dollar long surged as euro proved unpopular
Ole Hansen
Head of Commodity Strategy
Summary: The US dollar long hit a nine-week high in the week ending March 12, but its breakout attempt didn't succeed in the end.
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 March 12, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending March 12, click here.
Hedge funds and other large speculators increased their dollar long against nine IMM currency futures to $26.5 billion, a nine-week high. This came during the week where a dovish European Central Bank sent the euro to a 20-month low and the dollar index to its highest since December, before once again being rejected.
To download your copy of the Commitment of Traders: Forex report for the week ending March 12, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending March 12, click here.
Hedge funds and other large speculators increased their dollar long against nine IMM currency futures to $26.5 billion, a nine-week high. This came during the week where a dovish European Central Bank sent the euro to a 20-month low and the dollar index to its highest since December, before once again being rejected.
In euro pairs, the combination of the failed attempt to break lower following the March 7 dovish ECB meeting and the biggest net-short since December 2016 helped attract some light buying. The Antipodean currencies, meanwhile, went their separate ways with the NZD long reaching its highest since June while traders were the most bearish on AUD since December.
The JPY net-short increased by 15% to 59k lots despite being one of the few currencies rising against the dollar during the week to March 12.
The JPY net-short increased by 15% to 59k lots despite being one of the few currencies rising against the dollar during the week to March 12.
In fixed income, leveraged funds were net-buyers across the yield curve. This was the week where the 10-year Note yield was pushing below the year-to-date range following a weaker US job report and weaker-than-expected US consumer prices.
Funds remained net-short along the curve with the exception of the 3-month Eurodollar, where the net-long jumped 120k lots to 630k lots, the highest since October 2015.
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 advisers (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 advisers (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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