10Y euro FX oil

Everything You Need To Know From A Very Interesting CFTC Report

The latest CFTC data is out and this week’s release is notable for a number of reasons.

It’s current through Tuesday, which means that unlike last week’s release, it captures the flash crash in oil. Recall that specs were already seen trimming their longs as of two Tuesday’s ago…


… and then, a couple of days later, we got this:


So it’s not surprising that hedge funds cut their longs for a third consecutive week through this Tuesday, which was amusingly just in time for Wednesday’s bullish EIA data:


Also of note, specs bought 49K contracts in TY taking their net longs to 229K contracts. That’s the most long since January of 2008:


Again, that’s current through Tuesday, which means it doesn’t capture Wednesday’s horrific 10Y auction. Again: amusing.

It’s also worth mentioning that the spec short position in the long-end is now the most short since November:


As Deutsche Bank notes, “the contrast in spec positioning in TY and WN looks to be reaching an extreme and is reminiscent of last September.”

Meanwhile, euro positioning flipped net long for the first time since May 6, 2014:



That comes as equity flows into Europe hit a record…


…and EURUSD vol dropped precipitously…



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