Latest Commitment of Traders positions (Equities and Bonds) as at April 5th, 2016

CFTC commitment of traders report was released on Friday (8th April) and cover positions up to Tuesday (5th April). COT report is not a complete presenter of entire market positions, however it represents a good chunk of institutional traders, to feel what’s going on in capital markets and how big traders are aligned.

Kindly note in some cases numbers are rounded to nearest decimal.

• 2 year U.S. Treasury –

Net short position decreased by 16226 contracts to -97.4K contracts. This implies that speculators are expecting bond price to go down and yields to go up, but not as much as previous week.

• 5 year U.S. Treasury –

Speculators increased net short position by 78,053 contracts to -241.2K contracts.

• 10 year U.S. Treasury –

Big shift happened in long term treasuries as speculators increased net short position by 100,442 contracts to -117.3K contracts. Last week, position shifted to net short and further increased today, probably indicating that yield squeeze may have reached limit.

• S&P 500 (E-mini) –

Net short position got reduced by 17887 contracts to -104.2K contracts, indicating speculators are still betting S&P 500 will falter but that bet is being reduced.

• Russell 2000 –

Similar S&P 500 Russell 2000, also saw net decrease in short position, by 297 contracts to -63.4K contracts. Indicating that downside is still open and large.

• MSCI Emerging Markets Mini Index –

Speculators are long over emerging markets and this week further increased their bullish bets. Net long positions saw increase of 10907 contracts to +78.6K contracts.