COT: Euro short at 29-month high

The increase was primarily driven by a 24% jump in the euro short to 99,184 contracts or €12.4 billion, the highest since December 2016. The JPY and AUD net-shorts meanwhile rose to the highest since January and November respectively.

Financials

In fixed income, leveraged funds resume selling across the curve with the noticeable exceptions being 3-month ED and 5-year Notes. The DV01 which measures the dollar value of a one basis point move jumped almost 10 million dollars to 360 million.  The record short in 2-year Notes expanded further to reach 1.33 million contracts while the T-bond net-short reached a one-year high at 55.5k contracts. 

The CBOE VIX net-short jumped 20% to reach 141k contracts, the highest since November 2017.

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.