Quarterly Outlook
Fixed Income Outlook: Bonds Hit Reset. A New Equilibrium Emerges
Althea Spinozzi
Head of Fixed Income Strategy
Access all our platforms from a single account.
COT: Greenback remains exposed to long liquidation
Ole Hansen
Head of Commodity Strategy
Summary: A reduction in bullish dollar bets was seen in the week to November 13 with USD remaining exposed to long liquidation.
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 November 13, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending November 13, click here.
IMM currency futures
Speculators reduced bullish dollar bets against nine IMM currency futures by $1.9 billion to $28bn. This despite seeing the dollar index reach a 17-month high as the euro temporarily dropped below €1.13 and Brexit jitters once again hit sterling. Dollar long positions were pared against most with the exception being the 15% increase in the yen net-short.
The greenback remains exposed to long-liquidation with speculative traders holding short positions in seven IMM currencies with the exception being small longs in the Mexican peso and the Russian ruble.
Fixed income, stock indices and VIX
In fixed income, leveraged funds were sellers and asset managers buyers across the whole yield curve. This was particularly the case in Ultra T-Bonds where leveraged funds increased the net-short by 9% to a fresh record of 481,000 lots. The DV01, which measures the dollar value of a one basis point move in yield, jumped by $14 million to $271.5m, a new record.
Expanding the focus from leverage traders, we can see how the total futures open interest across the US yield curve is broken down into the different categories defined by the CFTC.
This shows how for months now, continued selling by leveraged traders or speculators (as they are often referred to) has been absorbed by asset managers or real money investors. They can not both be right, and given their often short- versus long-term, focus the risk seems skewed to the upside – i.e. towards lower yields.
In fixed income, leveraged funds were sellers and asset managers buyers across the whole yield curve. This was particularly the case in Ultra T-Bonds where leveraged funds increased the net-short by 9% to a fresh record of 481,000 lots. The DV01, which measures the dollar value of a one basis point move in yield, jumped by $14 million to $271.5m, a new record.
Expanding the focus from leverage traders, we can see how the total futures open interest across the US yield curve is broken down into the different categories defined by the CFTC.
This shows how for months now, continued selling by leveraged traders or speculators (as they are often referred to) has been absorbed by asset managers or real money investors. They can not both be right, and given their often short- versus long-term, focus the risk seems skewed to the upside – i.e. towards lower yields.
The CFTC reporting period covered the Federal Open Market Committee meeting and strong PPI reading before rallying on renewed stock market weakness combined with the deflationary impact of falling oil prices. During this time, US 10-year yields dropped to 3.14% from 3.23%. All three major stock indexes were sold while the VIX net-long reached a seven-month high after six weeks of buying.
Latest Market Insights
Quarterly Outlook
-
-
Quarterly Outlook
Equity Outlook: Will lower rates lift all boats in equities?
Peter Garnry
Chief Investment Strategist
After a period of historically high equity index concentration driven by the 'Magnificent Seven' sto... -
Quarterly Outlook
FX Outlook: USD in limbo amid political and policy jitters
Charu Chanana
Chief Investment Strategist
As we enter the final quarter of 2024, currency markets are set for heightened turbulence due to US ... -
Quarterly Outlook
Macro Outlook: The US rate cut cycle has begun
Peter Garnry
Chief Investment Strategist
The Fed started the US rate cut cycle in Q3 and in this macro outlook we will explore how the rate c... -
Quarterly Outlook
Commodity Outlook: Gold and silver continue to shine bright
Ole Hansen
Head of Commodity Strategy
-
Quarterly Outlook
FX: Risk-on currencies to surge against havens
Charu Chanana
Chief Investment Strategist
Explore the outlook for USD, AUD, NZD, and EM carry trades as risk-on currencies are set to outperfo... -
Quarterly Outlook
Equities: Are we blowing bubbles again
Peter Garnry
Chief Investment Strategist
Explore key trends and opportunities in European equities and electrification theme as market dynami... -
Quarterly Outlook
Macro: Sandcastle economics
Peter Garnry
Chief Investment Strategist
Explore the "two-lane economy," European equities, energy commodities, and the impact of US fiscal p... -
Quarterly Outlook
Bonds: What to do until inflation stabilises
Althea Spinozzi
Head of Fixed Income Strategy
Discover strategies for managing bonds as US and European yields remain rangebound due to uncertain ... -
Quarterly Outlook
Commodities: Energy and grains in focus as metals pause
Ole Hansen
Head of Commodity Strategy
Energy and grains to shine as metals pause. Discover key trends and market drivers for commodities i...