Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
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COT: USD sees light buying, MXN sells off
Ole Hansen
Head of Commodity Strategy
Summary: The dollar rally that continued through to the middle of last week saw some light USD buying while the Mexican peso's sharp sell-off saw money managers reduce their MXN positions in the week to October 30.
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 October 30, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending October 30, click here.
The dollar rally that continued through to Wednesday last week helped trigger some light dollar buying against six of the nine IMM currency futures contracts tracked in this report. The gross dollar long rose by $1.2 billion and remained close to a two-year high.
The most noticeable shift was the 4% sell-off in the Mexican peso after incoming President Obrador cancelled a scandal-plagued airport project in Mexico City. As a result, the net-long was reduced by 42%. The EUR net-short reached a 20-month high as it remained on the defense in response to Italy concerns and slowing euro-area growth momentum.
In fixed income, leveraged funds continued to cut their short exposure to the US yield curve. Short-covering in 10-year notes and 10-year ultras more than off-set selling at the front and far ends of the curve.
In equities, speculators turned very slightly long VIX futures for the first time in six month while buying into the dip helped trigger a 31% reduction in the S&P net-short.
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