ITC – CFTC Positioning (week ending Sept 18th)

CFTC COT data for the week ending Sept 18th: Data capture the continued sell-off following the strong Sept NFP/AHE data which sent long-end yields back near the highs from May. Data shows leveraged investors used the sharp sell-off in the front-end to scale back on some net short positions – buying 166k in ED$ contracts and a combined $5.3m/01 in TU & FV contracts. Further out the curve however, they continued to sell TY & WN where net shorts hit another record. Similar theme for the non-commercial category with these investors covering another 271k in ED$ contract but adding steepening exposure further out the curve with combined sales in US & WN totaling  $5m/01. AMs meanwhile, shed duration in the front-end, backing off a record high in FV contracts after selling $5.4m/01 worth. Further out the curve, net longs in WN hit another record (522k) after waving in $6m/01 worth.

Leveraged: Decent short-covering in the front-end during the recent sell-off. These investors continue to reduce shorts in ED$s by 166k with current position -1.787m off the -4.034m low from mid-April. They also bought a combined $5.3m/01 in TU & FV. Further out however, the were net sellers. Net shorts in TY hit yet another record at -1.011m after shedding $5.6m/01 last week. In the long-end, they were big buyers in classic, flipping to a net long after buying $6.5m/01 worth bit continued to ramp shorts in ultra-longs where they hit another record short at -436k.

Non-commercial: Similar themes with these investors adding steepening exposure. They reduced shorts in ED$s by another 271k contracts. Positioning in the belly was little changed while they were aggressive sellers in the back-end where they increased net shorts in US & WN by a combined $5m/01

Asst Mgrs: Opposite curve direction by AMs who were net sellers in the front-end vs adding to longs further out the curve. They sold 117k in ED$s and backed off the highs in TU contracts. They also reduced the record long in FV contracts by selling $5.3m/01. They continued to add long-end exposure where net longs in WN contracts hit another record after adding $6m/01