Article / 14 August 2017 at 7:33 GMT

COT: Dollar selling picks up, VIX gross short hits record— #SaxoStrats

Head of Commodity Strategy / Saxo Bank
Denmark
  • US dollar selling accelerated in week to August 8
  • Non-commercial USD short vs eight IMM currency futures jumped 43%
  • IMM euro net long reached new six-year high, not far from 2007 record level
  • A third week of JPY short-covering put additional pressure on USD

Currencies
 Selling of the US dollar accelerated in the week to August 8. Image: Shutterstock

By Ole Hansen

The non-commercial US dollar short against eight International Monetary Market currency futures jumped 43% in the week to August 8. The IMM euro net long reached a new six-year high, and IMM CAD a 4-½-year high. The latter peak was reached just ten weeks after hitting a record short. 

Speculative IMM currency positioning
 
Speculative IMM currency positioning
 
The IMM euro net long reached a new six-year high at 93,685 lots, not far from the 2007 record of 111,000 lots. 
Speculative positioning in IMM EUR
 A third week of JPY short-covering put some additional pressure on the dollar, while the net long in CAD reached a 4 ½-year high – just ten weeks after hitting a record short.
Speculative positioning in IMM CAD
 
The short position in US stock index futures hit its second highest level for the year, with funds selling into a new record high just before the correction.

Speculative positioning in Financials

The VIX net short held steady, but the gross short hit a record 350,000 lots just before US president Donald Trump’s "fire and fury" warning to North Korea sent stocks lower and volatility higher.
 

— Edited by John Acher


Ole Hansen is head of commodity strategy at Saxo Bank

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Commitments of Traders: IMM currency futures

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Commitments of Traders: Speculative positioning in bond and stock index futures

14 August
Alan M Alan M
Looking at the S&P500, If sovereign wealth funds are short, and hedge funds are short. How can prices continue to rise unless there exists an entity who does not have to declare their positioning, such as a central bank. As professional traders, do you feel this price action can be trusted anymore?
14 August
Jim Earls Jim Earls
Alan M-I have the same questions that you have-The continual cornering of $SPX-failure to have even small corrections is something that occurs in markets with few participants.
15 August
Alan M Alan M
Back up again overnight, I don't know. Maybe I'm just stupid.
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