Article / 26 February 2018 at 8:28 GMT

COT: Yen short remains despite recent rally — #SaxoStrats

Head of Commodity Strategy / Saxo Bank
  • Speculators maintained a near-unchanged dollar exposure 
  • The JPY surprisingly remains the most shorted currency ahead of the dollar
  • Leveraged funds extended short bets in Eurodollar, 2s and 5s

Leveraged funds extended short bets in EURUSD on the back 
of strong CPI data. Photo: Shutterstock

By Ole Hansen

Speculators maintained a near-unchanged dollar exposure against nine IMM currency futures in the week to February 20. Sterling’s renewed weakness led to a halving of the net-long; as a result it dropped behind both the CAD and AUD on the leaderboard of most-preferred currencies.

Speculative IMM currency positioning

The JPY surprisingly remains the most shorted currency ahead of the dollar. The rally this month has so far only triggered a relative small amount of short-covering. Last week, a 6% reduction was driven by equal measures of short-covering and new longs.

Speculative positioning in IMM JPY
However, the conviction rate among traders about the short-term direction has been falling for the past three weeks. During this time the gross position, being the sum of long and short positions, has fallen to a six-month low. 

Non-commercial gross long in IMM currency futures

Leveraged funds extended short bets in EURUSD as well as two- and five-year bond futures on the back of strong CPI data that saw yields move towards multiyear highs. A reduction of the 10-year net-short and light buying of ultra-long bonds ensured an almost unchanged position on the week when measuring the exposure in dollars per basis point. It moved from -147.1 to -146.6 million USD/basis point. 

Lev fund exposures in bonds and stocks
A second week of heavy selling across the major stock index futures triggered a combined leveraged fund short of almost $27 billion, the second-highest short exposure seen during the past 12 months.

— Edited by Gayle Bryant

Ole Hansen is head of commodity strategy at Saxo Bank
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COT: Non-commercial positions in IMM currency futures

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COT: Leveraged fund positions in bonds and stock index futures

26 February
RobertTrader RobertTrader
Thank Ole! Due to the COT report results on Mini-S&P500, what do you think about it? We will assist to furhter corrections? Thanks in advance!
28 February
Jadira F. Norton Jadira F. Norton
Very interesting strategy.
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