John J Hardy
Saxo Bank’s head of FX strategy John Hardy takes a closer look at trends and moves in today’s forex charts, including EURUSD, USDJPY, AUDUSD, and EURSEK.
Article / 19 February 2018 at 8:30 GMT

COT: JPY short expanded ahead of last week's surge – #SaxoStrats

Head of Commodity Strategy / Saxo Bank
  • Speculators trimmed gross dollar short against nine IMM currency futures by 28%
  • Buying was most noticeable versus EUR and GBP
  • Curve-steepening trades drove a move from long- to short-dated bonds

By Ole Hansen

In the week to February 13 speculators trimmed the gross dollar short against nine IMM currency futures by 28% to $11.7 billion. The buying was most noticeable versus EUR and GBP with MXN being the only exception. 

Speculative IMM currency positioning
Selling of the JPY saw it retake from the dollar the role of being the most shorted currency. This occured just before it resumed its rally to reach the highest level against the dollar since November 2016. 
Speculative positioning in IMM JPY

Leveraged funds engaged in curve steepening trades during the week following the big selloff in stocks. Short positions from Fed Funds to 5-year notes were reduced while being replaced with shorts in bonds and ultras. The value of the overall short position across the curve rose to $147 million per basis points, the most bearish in five weeks.    

COT on financials

In equities all the three major indices were sold with the net-short in the Nasdaq 100 mini approaching the maximum short of 33,000 lots reached just four times since 2010. 

In the VIX both short and not least long positions were reduced but overall the net–long remained close to record territory following the carnage in recent weeks.

– Edited by Clare MacCarthy


Ole Hansen is head of commodity strategy at Saxo Bank

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COT on IMM Currency futures

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COT on bonds and stock index futures


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