(Bloomberg) — The CFTC Commitment of Traders report has been released, showing futures positions as of Tuesday’s close. Highlights of speculative positioning include:
In fixed income, last week’s melt-up in yields brought out some short-covering, notably in 10s.
While the overall size of the position reduction across the curve was by no means epic, it nevertheless reduced the aggregate duration short by some 125k TY equivalents.
(Bloomberg) — Commodity Futures Trading Commission data for the week ended Oct. 9 show largest swings in 10-year note futures, where asset managers aggressively cut net longs and speculators added to net short. Both were bullish across front end of the curve.
Speculators cut net 10-year futures short position by $8.7m/DV01 from near record levels, while adding $3.2m/DV01 to net bond futures short. In eurodollars, speculators cut net short by $6.4m/DV01 to least short since December 2017
Asset managers cut net long in 10-year futures by $8.1m/DV01, also cut net long in ultra-long bonds by $4.1m/DV01. They added to net longs in 5-year and bond futures by combined $8.8m/DV01. Asset managers also cut net eurodollar shorts, by $3.8m/DV01
Over the CFTC reporting period, Treasuries aggressively sold off in move largely led by futures market as 10-year yields topped through 3.25%. The curve steepened in the move as long end was notably weak DV01 weekly changes across account types (millions of dollars):
In FX, the market was generally a buyer of dollars, albeit in moderate amounts. One notable exception was the CAD, where the short was cut by a third.
Stocks saw mixed flows, with purchases of DOW futures but selling of SPX, Russell, and Nasdaq futures.
Meanwhile, the VIX short was cut, but likely not by enough!
Elsewhere, traders added to the gold short aggressively, nearly doubling it to a total of 38k…just in time for this week’s squeeze.
Punters also sold oil and copper in moderate amounts.
To wit: I corrected some of the CFTC positions on this monitor from yesterday’s post on social media.
-R.W.N II, yours in 322.
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