Financial Source:

COT Report
W/c 2 August 2021

Analyst: Arno Venter

How To Use The COT Report? Latest CFTC Update:
The Commitment of Traders (COT) is a weekly report that is released every Friday by the Commodity Non-Commercial CFTC Futures Positioning
Futures Trading Commission (CFTC) and reflects the aggregate holdings of different participants in the JPY
-59934
U.S. futures market as of Tuesday the same week.
-39347 AUD
The report is a tool for showing us how the market is positioned for a particular currency. Knowing -5684 GBP
whether the market has an extreme long, short or neutral position on a currency is a great add-on to 1421 NZD
your analysis. 5374 CAD
8489 CHF
Apart from showing us the extreme long and short positioning, the COT data is also useful for
16541 USD
evaluating how the market increases and decreases their short and long positioning.
38126 EUR
This can give us valuable insights into the current sentiment, and possible sentiment shifts on a -110000 -90000 -70000 -50000 -30000 -10000 10000 30000 50000 70000 90000 110000
particular currency. The most important thing to remember about COT data is that it should never
replace fundamental and sentiment analysis.

This info can give us clues on how sentiment is developing and changing, but it should never be used
as a trade signal on its own and only be incorporated as an additional layer of analysis. Weekly
Currency Current Currency Change
Also keep in mind this data only applies to futures positioning and does not include the spot market.
EUR 38126 EUR -7696
USD 16541 CAD -7541
CHF 8489 JPY -4203
* All COT net positions which fall within a range of between +1000 and -1000 contracts have been CAD 5374 AUD -3657
deemed as Neutral. NZD 1421 GBP -2187
GBP -5684 NZD -1625
AUD -39347 CHF 447
This report reflects the COT data
JPY -59934 USD 4353 updated until 20 July 2021.

FINANCIAL SOURCE Week Ahead: COT Report

 USD Non-Commercial CFTC Futures Positioning 100000 EUR Non-Commercial CFTC Futures Positioning 250 000,00
200 000,00
80000
150 000,00
60000 100 000,00
40000 50 000,00
0,00
20000
-50 000,00
0 -100 000,00
-20000 -150 000,00
-200 000,00
-40000
-250 000,00

Currency Current Last Week Change Positioning Market Action Currency Current Last Week Change Positioning Market Action
USD 16541 12188 4353 Net Long Longs Increased EUR 38126 45822 -7696 Net Long Longs Trimmed

AUD Non-Commercial CFTC Futures Positioning 120000 NZD Non-Commercial CFTC Futures Positioning 40000
100000 30000
80000 20000
60000
40000 10000
20000 0
0 -10000
-20000 -20000
-40000
-60000 -30000
-80000 -40000
-100000 -50000

Currency Current Last Week Change Positioning Market Action Currency Current Last Week Change Positioning Market Action
AUD -39347 -35690 -3657 Net Short Shorts Increased 1421 1421 3046 -1625 Net Long Longs Trimmed

FINANCIAL SOURCE Week Ahead: COT Report

 CAD Non-Commercial CFTC Futures Positioning GBP Non-Commercial CFTC Futures Positioning 80000
150000
60000
100000 40000
20000
50000 0
-20000
0
-40000
-50000 -60000
-80000
-100000
-100000

-150000 -120000

Currency Current Last Week Change Positioning Market Action Currency Current Last Week Change Positioning Market Action
CAD 5374 12915 -7541 Net Long Longs Trimmed GBP -5684 -3497 -2187 Net Short Shorts Increased

JPY Non-Commercial CFTC Futures Positioning CHF Non-Commercial CFTC Futures Positioning 40000
100000
30000
50000 20000

0 10000
0
-50000 -10000
-20000
-100000
-30000
-150000 -40000
-50000
-200000
-60000

Currency Current Last Week Change Positioning Market Action Currency Current Last Week Change Positioning Market Action
JPY -59934 -55731 -4203 Net Short Shorts Increased CHF 8489 8042 447 Net Long Longs Increased

FINANCIAL SOURCE Week Ahead: COT Report

CFTC Analysis
AUD, NZD & CAD:
The fact that the AUD is now the second largest net-short position among the majors does not really
surprise given the recent string of negative factors such as the virus situation, slowing economic data
in China and falling Iron Ore prices. This week we have the RBA policy decision coming up and markets
want to know how stressed the bank has become given the recent challenges.
It seems that consensus is expecting the bank to cancel their planned tapering that would have started
in September, with more aggressive bets forecasting the bank to announce a higher pace of QE at this
week’s meeting. Either way it will be an important one to watch for the AUD.
For the NZD and CAD continued to move closer to neutral positioning. For the CAD this was hardly a
surprise given the stretched positioning to begin with, but the NZD was a surprise with the currency not
being able to take meaningful advantage of the most hawkish central bank among the majors.
This week the quarterly employment data from New Zealand will be crucially important as it will be the
last big ticket data points before the August RBNZ policy decision and could either seal the deal for a
hike or could push back some of those expectations in the event of a very big miss.
JPY, CHF & USD:
The JPY remains the biggest net short among the majors, and surprisingly has failed to take any real
advantage of the drop lower in US10Y. Given the wash out in treasury positions and the move towards
1.14% in US10Y the JPY has not really taken the bait to appreciate as one would have thought.
Thus, even though the currency remains oversold from a positioning point of view, it does show that
there is some possible asymmetry in long USDJPY right now as a move lower in yields have not
negatively affected the pair, and at these lows the probability is skewed towards US10Y upside.
For the Dollar, it’s going to be a very data heavy week with the main event being Friday’s July jobs
report. As the Fed’s focus has shifted away from inflation and towards the labour market, the jobs data
will be watched closely as a gauge to see whether we are moving towards or away from the Fed’s goal
of ‘substantial further progress’. Make sure to also keep track of the data points feeding into Friday’s
NFP such as the two ISM PMI reports as well as the ADP National Employment data.
FINANCIAL SOURCE
GBP:
The Pound is still in a net-short positioning despite the fundamental outlook still remaining bullish for
the currency. That is a positive in our view as it shows that a lot of the frothy positioning has been
flushed out after the June FOMC meeting.
This week the main event for the GBP will be the upcoming BoE policy decision coming up on Thursday.
With hawkish comments from BoE’s Saunders, some participants have argued that we could see a
possible dissention at this week’s meeting on whether to continue with QE or whether to cut back.
For now, it seems premature for the bank to cut purchases with the furlough scheme still needing to be
unwound. The bank would arguably want to see how the labour market holds up before they commit
to normalization, and that means waiting until at least October, in which case they would only have
about 6 weeks of purchases left, which means the higher likelihood right now is that QE runs out as
expected.
EUR:
For the EUR net-long positioning has continued to fall with the data updated until 26 July. As expected,
the EUR managed to grind out some mild gains against the greenback, but unfortunately given the
choppy price action going into FOMC we weren’t able to benefit the rewards and was taken out at
break-even on our long EURUSD positions.
This week, with a light calendar for the EUR it’s going to be a very Dollar focused week for the EUR in
general. The weak bearish bias remains intact fundamentally, so any continued upside in EURUSD
into key resistance areas could set up some interesting shorting opportunities.
However, with such a busy data week ahead, it might be best to wait for data points before engaging
the market, especially as we are now officially in the thinner liquidity and lower volume month of August,
we might be in store for some choppy price action in between key data points.
Week Ahead: COT Report
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Financial Source: COT Report