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#SaxoStrats
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
Denmark
  • 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
currency
 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
 
Financials:

• 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

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COT on IMM currency futures in week to March 20

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

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