I've posted on ANZ and the data before.
ANZ look at the US Commodity Futures Trading Commission (CFTC) a little differently to elsewhere. In a brutally summarised description of how they use it (any errors are mine):
- There are two reports compiled by the CFTC: the Commitment of Traders (COT) and the Traders in Financial Futures (TFF)
- The TFF report provides a richer breakdown of traders into the 'sell side' and 'buy side'
- ANZ use the parts of the TFF report (combined futures and options position of Leveraged Funds) as a proxy for leveraged positioning, where available
ANZ's highlights from the data out on Friday afternoon in the US:
- Leveraged funds bought the dollar further while asset managers remained net sellers. Vaccine progress kept the DXY on the weaker side despite a potential US Fed-Treasury conflict over untapped taxpayer funds. The dollar is expected to remain broadly weak; however, occasional bouts of risk-off due to the worsening pandemic situation cannot be ruled out.
- Funds sold EUR and GBP, while asset managers bought both. EUR continues to struggle between a worsening pandemic and vaccine hopes, while the EU-UK trade deal remains in prime focus for GBP. JPY saw broad-based selling amid improved risk appetite.
- Funds bought CAD and AUD while asset managers sold respectively similar amounts in both. Their NZD positions saw minimal changes. In EMFX, funds bought MXN but sold an offsetting amount in BRL and RUB. Asset managers bought a small amount in RUB.
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ps. Something to bear in mind with this data, its for the week ended November 17. That is, data up to the close of business on Tuesday is released on Fridays.
