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CFTC Positioning Update

(CFTC) — The CFTC Commitments of Traders report has been released, showing futures positions as of Tuesday’s close. Highlights of speculative positioning include:

In fixed income, there was no real sign of steepening pressure in futures space– quite the opposite! While specs sold 2s (41k) and 5s (29k), they bought ultra 10s (12k), long bonds (24k), and ultras (5k.) There was also small net buying of 10s (2k), shrinking the aggregate duration short by some 50k TY equivalents. SOFR futures saw net selling of 57k.

Elsewhere, gold saw net buying of 41k, while oil (16k) and copper (11k) saw net selling.

In FX, while specs bought euros (6.9k), the rest of the week’s net changes entailed FX selling/dollar buying. Specs sold yen (3.2k), sterling (1.2k), Swissie (1k), CAD (2.1k), AUD (4.2k), MXN (7.9k), and kiwi (1.8k). All in, the aggregate dollar long increased slightly by around $250 million on the week.
In equities, there were some solid short-covering flows. Specs bought 31k Spooz and Russell contracts, while the NDX long increased by 7k. The S&P futures short is now the smallest since June of last year, which kind of raises the question of how much capacity there is for a squeeze. The VIX saw net selling of 8k on the week.

The chart below shows the z-score of speculative futures positioning with a two-year lookback window.

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