Quarterly Outlook
Macro outlook: Trump 2.0: Can the US have its cake and eat it, too?
John J. Hardy
Global Head of Macro Strategy
Head of Commodity Strategy
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The speculative dollar long against nine IMM currency futures rose 9% to $22.5 billion, an 18-month high. Selling of euro, CHF, GBP, and AUD more than offset buying of JPY and CAD.
The two biggest contributions came from a reduction in the euro net-long which more than halved to a 15-month low, and sterling where the net-short jumped by a quarter.
Leveraged funds continued to increase short duration across the US yield curve. The DV01 rose by $2.5 million to $227 million with selling of fives (new record) and T-bonds more than offsetting a 10% reduction of what the previous week was a record short in 10-year notes.
Short selling of stock market volatility continued with the CBOE VIX Index net-short reaching 114,000 lots. This was the highest reading since last December before the blowup of short volatility ETNs back in early February helped trigger aggressive buying.