Video

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
Denmark
  • 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
 
Financials:

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

Download document

COT on IMM Currency futures

Download document

COT on bonds and stock index futures

Disclaimer

The Saxo Bank Group entities each provide execution-only service and access to Tradingfloor.com 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 Tradingfloor.com 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 Tradingfloor.com 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 Tradingfloor.com or as a result of the use of the Tradingfloor.com. 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 Tradingfloor.com your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. Tradingfloor.com 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