Weekly COT Report - 29th April 2019
Matt Simpson April 28, 2019 10:02 PM
A summary of the weekly Commitment of Traders Report (COT) from CFTC to show market positioning among large speculators.
- VIX net-short exposure hits an all-time record
- EUR traders extend net-short exposure to their most bearish level since December 2016.
- GBP flips back to net-short after a 1-week hiatus to the long side
- NZD net-short exposure is its most bearish level this year
Traders continue to bet big on low volatility as net-short exposure hit an all-time record last week. Furthermore, its 3-year Z-Score is -3 standard deviations and long/short ratio is its lowest since February 2011 to further suggest we could be headed for a sentiment extreme. However, such red flags can lead inflection points by weeks or even months and it’s also worth noting that over the past 30-years, the VIX has closed lower in April and May 62% and 65% of the time, respectively. And as the VIX remains above record low, perhaps we’ll see the VIX fall further before an inflection point is met.
EUR traders extend net-short exposure to their most bearish level since December 2016. 10.9k gross shorts were added and EUR/USD broke to a 22-month low the day after the COT data was compiled (which is close Tuesday of each week). However, we’re not seeing any real signs of a sentiment extreme within the data which suggests EUR/USD could continue to be favourable to bears as the trend develops.
NZD net-short exposure is its most bearish level this year. In the face of a stronger USD and no immediate signs of a sentiment extreme on NZD positioning, we remain bearish on the Kiwi dollar as we head towards RBNZ’s meeting next week.
- Silver flips to net-short exposure
- WTI net-long exposure hits a fresh 6-month high
- Traders are the most bearish on natural gas since September
- Copper holds on to net-long exposure, yet overall traders appear undecided with a near 50-50 split between long and short contracts.
Silver dips into net-short exposure for the first time this year, fuelled by a closure of longs and addition of shorts. However, by just 110 contracts it almost seems negligible and with prices coiling above support we could see prices rebound before tracking large speculators and managed funds lower.
WTI net-long exposure hits a fresh 6-month high by Tuesday of last week, yet it appears prices are now correcting from highs following Friday's sell-off. We suspect the trend will eventually break to new highs, given that 1 and 2-year Z-Scores remain beneath +2 standard deviations and we’ve seen a healthy flow of longs added whilst shorts covered in an orderly fashion. Yet, over the near-term we could see some longs shaken out as prices correct lower – so let price action be your guide.
Disclaimer: The information on this web site is not targeted at the general public of any particular country. It is not intended for distribution to residents in any country where such distribution or use would contravene any local law or regulatory requirement. The information and opinions in this report are for general information use only and are not intended as an offer or solicitation with respect to the purchase or sale of any currency or CFD contract. All opinions and information contained in this report are subject to change without notice. This report has been prepared without regard to the specific investment objectives, financial situation and needs of any particular recipient. Any references to historical price movements or levels is informational based on our analysis and we do not represent or warranty that any such movements or levels are likely to reoccur in the future. While the information contained herein was obtained from sources believed to be reliable, author does not guarantee its accuracy or completeness, nor does author assume any liability for any direct, indirect or consequential loss that may result from the reliance by any person upon any such information or opinions.
Futures, Options on Futures, Foreign Exchange and other leveraged products involves significant risk of loss and is not suitable for all investors. Losses can exceed your deposits. Increasing leverage increases risk. Spot Gold and Silver contracts are not subject to regulation under the U.S. Commodity Exchange Act. Contracts for Difference (CFDs) are not available for US residents. Before deciding to trade forex and commodity futures, you should carefully consider your financial objectives, level of experience and risk appetite. Any opinions, news, research, analyses, prices or other information contained herein is intended as general information about the subject matter covered and is provided with the understanding that we do not provide any investment, legal, or tax advice. You should consult with appropriate counsel or other advisors on all investment, legal, or tax matters. References to Forex.com or GAIN Capital refer to GAIN Capital Holdings Inc. and its subsidiaries. Please read Characteristics and Risks of Standardized Options.