Massive Treasury Short Now At 4 Standard Deviations

If there’s one thing leveraged funds are damn sure of, it’s that short Treasurys is the way to go in the new year.

Although, as noted earlier this morning, hope may not float if Trump continues to skimp on the details with regard to fiscal stimulus plans, the latest CFTC data shows there’s been no let up in one of 2017’s most crowded trades.

Below, find the latest data.

Via Deutsche Bank:

Speculators increased their net shorts by $7.7 billion – in ten-year cash equivalents – to $99.4 billion, a third successive week of record low positions. The net positions are at nearly four standard deviations short even after adjusting for open interest. TY and FV net spec shorts reached new record highs of 395K (+50K) contracts and 437K (+27K) contracts, respectively. An exception was in TU futures where specs pared 35K contracts from their net shorts. Spec net short in Eurodollars also increased to a new record high of 2,442K (+326K) contracts.

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Via Bloomberg:

  • Speculator Shorts Extend to Record Highs in 5Y, 10Y: CFTC
  • Speculators again increased shorts in 5Y and 10Y futures to new record highs
  • 5Y shorts extended by 26k contracts
  • 10Y by 50k, a combined total of $5.7M/DV01 in week ended Jan, 10, CFTC’s Commitments of Traders report shows.

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(Charts: Deutsche Bank, CFTC)

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One thought on “Massive Treasury Short Now At 4 Standard Deviations

  1. Well, I don’t have the money nor the patience to follow these guys, but that sure looks like an good contrarian bet to me for the short term.

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