This summary highlights futures positions and changes made by hedge funds across commodities, forex and financials up until last Tuesday, December 14.
A week that encapsulated a market in wind down mode and preoccupied with the risk of hawkish FOMC meeting on December 15 and the rising threat of another virus-driven market disruption.
Saxo Bank publishes weekly Commitment of Traders reports (COT) covering leveraged fund positions in commodities, bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
The weekly COT update is taking break and will return January 4.
In energy, the combined WTI and Brent crude oil long continued to be reduced, and following two months of almost continued selling the net length has seen a 38% reduction to 400k lots, a 13-month low. The latest change primarily driven by a 14.7k lots reduction in the WTI long driven by equal measures of long liquidation and fresh short selling.
The agriculture sector speculative length received a 41k lots boost to 948k lots with net buying of corn, sugar and cocoa more than offsetting selling in soybean oil and Chicago wheat, the latter seeing a return to a net short for the sixth time this year.
In forex, the focus among speculators was for a second week primarily geared towards reducing exposure, both long and short, thereby potentially reducing the signal value. Overall, the combined dollar long against ten IMM currency futures and the Dollar index was reduced for a second week, but this time only by 2% to $22.7 billion. Flows were mixed with selling of EUR, GBP and NZD being more than offset by demand for CHF, JPY and MXN.
The COT reports are issued by the U.S. Commodity Futures Trading Commission (CFTC) and the ICE Exchange Europe for Brent crude oil and gas oil. They are released every Friday after the U.S. close with data from the week ending the previous Tuesday. They break down the open interest in futures markets into different groups of users depending on the asset class.
Commodities: Producer/Merchant/Processor/User, Swap dealers, Managed Money and other
Financials: Dealer/Intermediary; Asset Manager/Institutional; Leveraged Funds and other
Forex: A broad breakdown between commercial and non-commercial (speculators)
The reasons why we focus primarily on the behavior of the highlighted groups are:
This article is provided by Saxo Capital Markets (Australia) Pty. Ltd, part of Saxo Bank Group through RSS feeds on FX Empire
Ole Hansen joined Saxo Bank in 2008 and has been Head of Commodity Strategy since 2010.