How Hedge Funds Are Positioned - Commitment Of Traders Update

Following futures positions of non-commercials are as of October 13, 2020.

10-year note: Currently net long 75.3k, up 5.7k.

After taking a one-month pause through early July, the Federal Reserve once again is accumulating assets. In the week to Wednesday, they jumped $76.8 billion week-over-week to $7.15 trillion. This is just $17.5 billion from the record $7.17 trillion posted in the week to June 10. After that high, the balance sheet shrank to $6.92 trillion in the next four weeks. From that low, it has now gone up $230.7 billion.

It is worth noting that the central bank’s holdings of Treasury notes and bonds have persistently risen, to this week’s $3.81 trillion. Among others, this continues to act as a roadblock for bond bears (on price). With the US economy as leveraged as it is, the Fed cannot allow interest rates to sustainably rally. The 10-year yield has not been above one percent since March 20th. Rates’ latest attempt to rally stopped at 0.8 percent last Friday, with this week ending at 0.74 percent.

30-year bond: Currently net short 221.1k, down 9.2k.

Major economic releases next week are as follows.

The NAHB housing market index (October) is due out Monday. Homebuilder sentiment shot up five points month-over-month in August to 83 – a new record. Data goes back to January 1985.

Tuesday brings housing starts (September). In August, starts dropped 5.1 percent m/m to a seasonally adjusted annual rate of 1.42 million units. April’s 934,000 was the lowest since February 2015.

Existing home sales (September) are due out Thursday. Sales rose 2.4 percent m/m in August to six million units (SAAR). This is the third m/m increase since bottoming at 3.91 million in May. The median price rose 1.7 percent m/m in August to $310,600 – a new record.

WTI crude oil: Currently net long 528.1k, down 6.1k.

WTI ($41.12/barrel) began the week with Monday’s 2.9-percent drop which stopped right at the 200-day ($38.63); the average is now slightly dropping. This was then followed by the recapturing of the 50-day ($40.74) in subsequent sessions. The 10- and 20-day (respectively at $40.47 and $40.02) lie in between. All these averages lie in so close proximity that the price has been unable to deviate too far away for too long.

For over three months now, rally attempts have been bound by $41-$42, although the crude rose as high as $43.78 intraday on August 28. Bulls would have raised their odds should this level fall.

Thursday, they liked what they saw in the EIA report for the week to October 9 and rallied the crude 0.5 percent, reversing early weakness. US crude production dropped 500,000 barrels per day to 10.5 million b/d. As did crude imports, which fell 446,000 b/d to 5.3 mb/d. Stocks of crude, gasoline and distillates all decreased – down 3.8 million barrels, 1.6 million barrels and 7.2 million barrels respectively at 489.1 million barrels, 225.1 million barrels and 164.6 million barrels. Refinery utilization declined two percentage points to 75.1 percent.

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Disclaimer: This article is not intended to be, nor shall it be construed as, investment advice. Neither the information nor any opinion expressed here constitutes an offer to buy or sell any ...

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