The Commitment of Traders net speculative positions report from the CFTC as of Tuesday 20 February 2018

  • JPY -108k vs -116k prior
  • EUR +126k vs +127k prior
  • GBP +8k vs +15k prior
  • AUD +11k vs +9k prior
  • NZD +1k vs +2k prior
  • CAD +23k vs +33k prior
  • CHF -16k vs -20k prior
  • BTC -1607 vs -1875 prior
  • S&P -10k vs -11k prior
  • US10 -214k vs -297k prior

JPY shorts have trimmed back by quite some margin compared to recent changes, and that happened in the week when we fell to the 105.50 lows. AUD was the only currency to increase its positions.

In last weeks report, I mused that a lot of these shorts must be hedges, and that point was discussed in the week. One of our readers raised the connection with USDJPY to stocks, so I had a look. What we saw is a move in the non-commercial S&P positioning, and a big run into shorts last week.

CFTC S&P futures positioning as of 20 02 2018

CFTC S&P futures positioning as of 20 02 2018

But, that move was not limited to stocks either. I also checked out the US 10yr bond futures picture, and that too tells it’s own story.

CFTC US 10yr futures positioning to 20 02 2018

CFTC US 10yr futures positioning to 20 02 2018

So, what does it all tell us? Firstly, not much we didn’t know already, in that the market has had a flip-out but for FX, there’s still the question of why there are so many USDJPY futures longs when the spot price has been falling? The first answer is that in cash terms, stocks and bonds being sold obviously leaves a cash position, and we know money goes looking for bettter returns, and thus if it’s leaving the US, it’s going to other parts of the world. Secondly, it partly reinforces the case for a lot of these futures positions are hedges, so they don’t necessarily have to be closed out, they can either expire or be rolled over.

What these other positions show is how the dynamics have changed between assets, and particularly in bonds and stocks. None of this suggests were going to see stocks and bonds crash but what it does show is that the asset playing field is becoming more balanced, and so we should start to see things level out in terms of the size of moves. Stocks may not rise as hard, fast or for as long as they have been but I think bond yields still might have some catching up to do.

Being pretty much week old data, it’s not really tradable for us but it is a good oversight and background info that helps us see the lay of the land in markets.


Ryan Littlestone

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