Today's edition of the Saxo Morning Call features the SaxoStrats team discussing the continuing weakness of the US dollar as commodity prices recover ground and in the wake of key US equity indices hitting all-time highs Thursday.
Article / 26 March 2018 at 7:13 GMT

COT: Dollar short near 7-year high on strong JPY buying – #SaxoStrats

Head of Commodity Strategy / Saxo Bank
  • Short JPY position collapsed in the week to March 20 over risk aversion
  • Speculative dollar short against nine IMM currency futures jumped sharply
  • Leveraged funds sold most bond maturities ahead of FOMC meeting
 Heightened trade tensions and risk aversion made a big impact in the week to March 20.
Pic: Shutterstock

By Ole Hansen

In the week to March 20 the speculative dollar short against nine IMM currency futures jumped by 50% to $26.1 billion, the highest since August 2011. 

Speculative IMM currency positioning
Profit taking reduced the near record EUR long by 9% while speculators added significant length to GBP, AUD and NZD.

Speculative IMM currency positioning

The change however was driven by a collapse in the JPY net-short by 72% to just 22,000 lots, a 16-month low. The significant amount of short-covering, which amounted to 57,540 lots or $6.8 billion equivalent, was driven by rising risk aversion amid rising global trade tensions.

Speculative positioning in IMM JPY

• Leveraged funds sold most maturities across the curve ahead of Wednesday’s FOMC rate hike. The DV01 being the dollar value of 1 basis point change rose to $165 million, the highest in at least one year.

• The net-short in US 10-yr notes reached 405,000 lots, the second highest level since data began being collected in 2006.

• In equities, speculators trimmed short positions in the S&P and the Dow while turning net-short on the Nasdaq. The VIX net-long jumped by one-third on rising trade tensions.

Speculative positioning in Financials

– Edited by Clare MacCarthy


Ole Hansen is head of commodity strategy at Saxo Bank

Download document

COT on IMM currency futures in week to March 20

Download document

COT on bonds, stock index and VIX futures in the week to March 20


The Saxo Bank Group entities each provide execution-only service and access to permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on or as a result of the use of the Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. When trading through your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of ourtrading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws. Please read our disclaimers:
- Notification on Non-Independent Invetment Research
- Full disclaimer

Check your inbox for a mail from us to fully activate your profile. No mail? Have us re-send your verification mail