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Article / 09 April 2018 at 7:36 GMT

COT: Big USD short maintained, record short in US 10-year notes

Head of Commodity Strategy / Saxo Bank
Denmark
  • Selling of EUR, CAD and AUD being off-set by buying of GBP and JPY
  • The net-short in US 10-yr notes reached a record 550,000 lots
  • Speculators turned net-short in both S&P 500 and Nasdaq 
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The dollar short against nine IMM currency futures remained unchanged. Photo: Shutterstock

By Ole Hansen

In the week to April 3 the speculative dollar short against nine IMM currency futures remained close to unchanged meaning a gross-short at the highest since August 2011. Selling of EUR, CAD and AUD was being off-set by buying of GBP and JPY with traders turning net-long the latter for the first time since November 2016.

Speculative IMM currency positioning
 
Financials

Speculative positioning in bonds and stock index futures
 
Leveraged funds sold all long dated maturities which resulted in the DV01 being the dollar value of one basis point change rising to $191 million, the highest in at least one year.

DV01 of US bond futures
 
The net-short in US 10-yr notes reached a record 550,000 lots thereby outstripping two previous peaks around 400,000 lots in 2010 and 2015.  
COT on 10-year notes
 
In equities speculators turned net-short in both S&P 500 and Nasdaq while the Dow just managed to hold onto small net-long.

The VIX net-long rose by 6% ahead of the trade tension carnage that followed the day after data was collected. 

— Edited by Adam Courtenay

Ole Hansen is head of commodity strategy at Saxo Bank

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COT in week to April 3: Non-commercial IMM dollar position

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COT on bonds, stocks and VIX futures in week to April 3

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