Head of Commodity Strategy
Summary: The Commitments of Traders reports highlight speculators positions and changes made during the week to June 2 in FX, bonds and stocks. During the week risk appetite continued to improve with the S&P 500 rising 2.8%, the Dollar index dropped to a two-month low while the US yield curve began steepening
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.
Hedge funds and other large speculators were reluctant dollar sellers, despite broad price weakness, in the week to June 2. With the exception of yen, the Greenback lost ground against all the ten IMM currency futures tracked in this report. The net short nevertheless only increased by 9% to $6.9 billion, a five-week high.
The net short nevertheless only increased by 9% to $6.9 billion, a five-week high. A rising euro long and short covering in New Zealand and Canadian dollar as well fresh longs in the Russian ruble were partly off-set by continued long liquidation in the Japanese yen and short-selling in the pound.
Speculators were the most bearish on the pound since last November and most bullish on the Swiss franc since July 2016.
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