Article / 30 April 2018 at 8:04 GMT

COT: Bearish dollar bets reduced as conviction weakens

Head of Commodity Strategy / Saxo Bank
  • Speculative IMM dollar short was cut by $4 billion in the week to April 24
  • USD began challenging resistance, especially against EURUSD and the DXY
  •  Leveraged funds extended short positions in US 10-year notes to a fresh record 

By Ole Hansen

The speculative IMM dollar short was cut by $4 billion in the week to April 24.This, the first major reduction in ten weeks, occurred after the dollar began challenging resistance, especially against EURUSD and the DXY.
Overall it was a week of weakening conviction with existing positions being reduced across all of the nine IMM currency futures tracked in this report. The dollar strength resulted in long liquidation in EUR, GBP, JPY, NZD, MXN and RUB while short-covering was seen in CHF, CAD and AUD.

Speculative IMM currency positioning

The 20,882 lot reduction of what was a record EUR net-long to 130,594 lots was the biggest one-week reduction in four months. Overall traders have maintained a position of between 125,000 and 150,000 lots since January. 

COT on IMM Euro
As the yield on US 10-year bonds began challenging 3% leveraged funds extended a record short in US 10-year notes for a second week. The value of one basis point move (DV01) rose by $3.7 million to $45 million. Broad-based selling across the curve led to an overall increase of the DV01 by $15 million. 

COT on financials

 – Edited by Clare MacCarthy


Ole Hansen is head of commodity strategy at Saxo Bank

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Non-commercial position across nine IMM currency futures in week to April 24

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Leveraged fund positions in US bonds and stock index futures



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