Monday, July 14, 2014

Record Short Eurodollar for CFTC 'Non-Commercial'

Eurodollar futures are slightly lower in early trade with the yield curve modestly steeper throughout the first 3 years.  Volume overnight as on Friday was light.  Open interest declined by 13k on Friday across the curve.  The CFTC ‘Commitment of Trader’ data indicated that ‘non-commercial’ accounts are at new record net short levels in Eurodollar (futures and options) as of the week ending last Tuesday (July 8).  Further, ‘leveraged funds’ neared again their record (1280k) net short from early June (1304k).

Until last month, ‘non-commercial’ accounts had been striking toward record net short positions at a well defined pace.  That channel was broken briefly in mid-June, leaving some to speculate that leveraged accounts would capitulate on a short they had been growing for over a year. 

Price action last week was indecisive and an attempted bullish break-out on Thursday did not amount to much.  EDZ6 holds slightly above a downward sloping trend line from late-May that intersects trade today at 97.965.     


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