EUR and treasury shorts increased – Deutsche Bank

Research Team at Deutsche Bank, lists down the commitment of traders report for the week ended on Tuesday, March 7, 2017.

Key Quotes

“Interest Rates: Speculators increased their net shorts in aggregate Treasury futures by 52K contracts in TY equivalents, led by selling in TU and FV of over 107K and 124K contracts, respectively. However, they pared 111K contracts from their TY net shorts, retracing last week’s moves. Spec shorts as share of open-interest rose to -8.8% or about -3.1 standard deviations away from neutral, close to mid-January levels. Specs also got shorter in Eurodollar futures by 211K contracts, taking net shorts to new record of 2,890K contracts.”

“FX: Specs upped their net shorts by 8K contracts and 5K contracts in EUR and JPY futures, respectively. They also sold 11K contracts in GBP futures over the week.”

“Commodities: Speculators decreased their net longs by 30K contracts and 17K contracts in gold and oil futures, respectively. Specs also sold 8K contracts in copper futures over the week.”

“Equities: Specs pared 9K contracts from their net longs in Nasdaq mini futures but added 14K contracts in S&P 500 consolidated futures. They also sold 10K contracts in Nikkei futures over the week.”