The Massive Spec Treasury Short Is Still… Well… Pretty Massive

As you’re surely aware, keeping up with the CFTC positioning data is mandatory these days.

It’s kind of like Trump’s Twitter feed. You don’t want to watch it, but you have to if you hope to have a clue about what’s going on.

Last month we saw the massive spec Treasury short hit 4 standard deviations – so, a multi-sigma event. And speaking of “deviations,” we saw a massive discrepancy between specs and real money in 5Y futs. “The real money always prevails,” they’ll tell you.

Well the latest data is out (as usual, up to date through Tuesday) and guess what? The Treasury short is still way on out there at 3 standard deviations despite a trimming of 5Y short positions.

always key: "Speculators reduced short positions in 5Y Treasury futures while adding to short positions in 10Y, 30Y"

— Heisenberg Report (@heisenbergrpt) February 3, 2017

Here’s Deutsche Bank:

Speculators eased their short positions in Treasury futures for the third straight week by $1.1 billion to $79.1 billion in ten-year cash equivalents. Having said that, spec positioning is still heavy at -8% of the duration-adjusted open interest and at 3 standard deviations of the range in last three years. Specs cut 38K contracts and 34K contracts from their net shorts in FV and TU futures, respectively, and also bought back 10K contracts in WN futures. However, they sold 56K contracts in TY futures over the week and net shorts remained close to its recent historic high.

For those interested, here’s the more granular breakdown:

(Charts: Deutsche Bank)

On the FX side of things, the breakdown is as follows (via Bloomberg):

Leveraged funds adjusted net positions as follows:
- Reduced net JPY short by 13,995 contracts to 33,376
- Reduced net EUR short by 14,907 contracts to 76,559
- Lowered net GBP short by 10,557 contracts to 50,420
- Increased net AUD long by 13,336 contracts to 24,941
- Boosted net NZD long by 4,863 contracts to 21,473
- Added to net CAD long by 3,457 contracts to 9,612
- Reduced net CHF short by 1,565 contracts to 11,283
- Raised net MXN short by 1,293 contracts to 66,225
- Cut net RUB long by 525 contracts to 13,001

Asset managers changed net positions as follows:
- Raised net JPY short by 2,464 contracts to 31,748
- Reduced net EUR long by 7,749 contracts to 53,549
- Raised net GBP short by 2,309 contracts to 62,633
- Cut net AUD long by 3,955 contracts to 1,472
- Trimmed net NZD short by 6,743 contracts to 16,409
- Added to net CAD long by 1,252 contracts to 23,289
- Added to net CHF long by 16 contracts to 76
- Raised net MXN long by 4,541 contracts to 59,425
- Increased net RUB long by 100 contracts to 6,749

Or, in simpler terms via Goldman: “Other than CHF, USD net longs decreased against every currency in this report, and the $0.9bn drops in both EUR and JPY net shorts were the largest moves this week.”