Head of Commodity Strategy
Summary: The Commitments of Traders reports highlight speculators positions and changes made during the week to September 15 in FX, bonds and stocks. Risk appetite returned with the S&P 500 Index rising by 2.1% while the dollar traded lower and bonds were unchanged. Once again the biggest impact came from another reduction in the elevated short position against the euro.
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 in forex, bonds and stocks up until last Tuesday, September 15. Risk appetite returned during the week with the S&P 500 Index rising by 2.1% following the biggest correction since the March pandemic low. A flurry of deal activity and continued speculation about the timing of a coronavirus vaccine together with better-than-expected Chinese data all helped give sentiment what looked like a temporary boost given how markets closed on Friday. The dollar traded lower by 0.4% with losses seen against all its peers with British pound being the most noticeable exception.
Despite broad dollar weakness, speculators still reduced bearish bets for a fourth consecutive week against all but one of the ten IMM currency futures tracked in this report. Overall the dollar short was cut by 4% to $32.4 billion and once again the biggest impact was another reduction of short position against a rangebound euro. From a record high three weeks ago, the euro long has since been cut by 16% to 179k lots or €22.3 billion.
Selling also hit Sterling which saw an 82% reduction in the recently established long thereby cutting the net long down to just 2.2k lots. The Dollar Index net short reached a near 3 year high after rising by 43% to 8.2k lots. Elsewhere the most noticeable changes was the sharp reversal back to an AUD net-long of 16.2k lots, an 18-month high, and a 200% jump in the MXN long to a six month high.
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