Article / 07 August 2017 at 8:46 GMT

COT: Leverage funds double up on stock index short — #SaxoStrats

Head of Commodity Strategy / Saxo Bank
Denmark
  • Leverage funds sold US equity index futures in week to Aug 1
  • Net long in Nasdaq 100 was reduced by a quarter
  • Gross short in VIX volatility index has expanded to a record

CBOT
 The Chicago Board of Trade. Photo: Shutterstock

By Ole Hansen

Leveraged funds were net sellers of all four US stock index futures covered here in the week to August 1. The net short in the E-mini S&P jumped by 55% while the net long in the Nasdaq 100 was reduced by one quarter. As stocks were sold, the gross short in the VIX volatility index has expanded to a record 338,000 lots.

Speculative positioning in Financials
 
Stock indices
Speculative positioning in US stock index futures
 
With the pick-up in the selling of stocks, the gross short in the VIX volatility index has expanded to a record 338,000 lots. The net short rose 16% last week to 158,000 lots and stood at 81% of the 12-month maximum.

VIX index
 
— Edited by John Acher

Ole Hansen is head of commodity strategy at Saxo Bank

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Leverage fund positioning: US bonds, stock index and VIX futures

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