Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
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COT: Dollar long cut to three-month low; CHF in demand
Ole Hansen
Head of Commodity Strategy
Summary: Speculators cut bullish dollar bets against ten IMM currency futures by $2.1bn to a near three-month low at $29.2bn. Buying was concentrated in CHF where heightened market uncertainty and volatility led the a near one-third reduction in the net-short.
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 June 11, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending June 11, click here.
To download your copy of the Commitment of Traders: Forex report for the week ending June 11, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending June 11, click here.
Bullish bets on MXN were reduced for a fourth week following the recent border/tariff threats. The CAD was bought after the country’s unemployment rate fell to the lowest since at least 1976. Elsewhere, EUR, GBP and JPY positioning was close to flat over the week.
Financials:
Leveraged funds cut short positions across the US yield curve with 2’s being the exception. The charts below breaks down the open interest of the individual futures into different types of users. The table above focuses purely on the leveraged fund category.
The net Eurodollar long extended by 141k lots to reach 995k lots, the highest since February 2015.
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 advisors (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.
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 advisors (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.
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