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CoT Positioning Report
- Commercials: Another week and another 52-week record in net short positioning in the old 10-year T-Note futures contract. Equally interesting is the massive short position placed in Eurodollars.
- Non-commercials (specs): From the move on both sides, it looks like specs may have driven ED positioning as they went nearly as long by a large amount. There was a big short covering in 5s too.
US IR Futures – CoT Positioning Metrics
US IR Futures – CoT Positioning Charts
TFF Positioning Report
- Dealers: After weeks of having unwound money market shorts, they are back in shorting ED futures.
- Asset Managers: No major changes outside of closing overall 10-yr long at the lowest in 8-weeks.
- Leverage Funds: Similar to the spec positioning and the flipside of dealers, big long added in EDs.
- Other Reportables: Outside of the reduction in ED longs, big for their relative size, nothing major.
US IR Futures – TFF Positioning Metrics
US IR Futures – TFF Positioning Charts
Data as of 14/7/2020
George is a twenty years fixed income markets veteran. Over that time he has covered rates, structured products and credit. He worked both on the buy-side and sell-side.
(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs.)