The Daily Edge

April 17-23: EUR Vol & OI Favors Bear Trend

Authored by Ivan Delgado, Head of Market Research at Global Prime. This report intends to unveil the directional bias the smart money is supporting based on the latest changes in market positioning by leveraged, and commercials.


A very important development in the EUR futures contract as the successful rotation to the downside came on both higher volume and open interest at a time when large specs kept piling into fresh short positions while the commercial accounts, which stays at the highest in years, kept buying further euros in what should be understood at constructive bearish dynamics for a trend continuation.


In the case of the Sterling, leveraged accounts were much more muted, barely adding into fresh shorts despite the trend lower in the currency. Commercials were much more active, adding longs by twice as much, in a move that saw both the volume and the open interest above recent averages. Positioning in the Sterling is far from being at extremes at this stage of the game.


Leveraged accounts kept adding shorts in the Yen, with the positioning stand t around -100k contracts while commercials did load up further longs. The changes were seen as part of a range-bound context, with the vol pick up in the rate not yet reflected in a change of positions until the next COT report. Commercials and leverages are at the most extreme readings in 2019.


The latest CPI-induced selloff in the AUD is yet to be reflected in the COT data. However, judging by the increase in both open interest and volume, one would expect the bearish tendency to continue given the sheer number of increased commitment to play the AUD short trade.


There are 4 types of reports published by the CFTC. However, there are only two we want to pay attention to, which include 1. The legacy and 2. The traders in financial futures (TIFF), with the proper version including futures and options activity. Find below these resources:

View a table of the latest legacy report:

These reports are broken down by the exchange, with a futures-only report and a combined futures and options report, the latter being the one we want to stick with. It is then unpacked into reportable open interest positions for non-commercial (speculators) and commercial traders (hedgers).

View a table of the latest TIFF report.:

These reports include financial contracts, such as currencies, U.S. Treasury securities, Eurodollars, stocks, VIX and Bloomberg commodity index. These reports have a futures-only report and a combined futures and options report, the latter the one we want to use. The TFF report breaks down the reportable open interest positions into Dealer/Intermediary, Asset Manager/Institutional, Leveraged Funds, and Other Reportables.

Access the historical data:

In this section of the CFTC website, any entity or individual is free to download the historical data accumulated over the years of the different classified CoT reports. This site is very handy in case you want to crunch the numbers and conduct your own backtesting.