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The latest Commitments of Traders report was released, covering positions through Tuesday

Jason Goepfert
2022-01-07

The 3-Year Min/Max Screen shows that "smart money" commercial hedgers established only one new multi-year extreme this week, adding to a significant net long position in 5-year Treasury notes. Their only larger position in the 5-year was during mid-2018 before a big rally in the note. It's not a precise timing mechanism, though. The Backtest Engine shows that over the past 20 years, the 5-year note rallied only 36% of the time in the few months following any week when hedgers held more than 17.5% of open interest net long. Hedgers have started to increase their position in the VIX. When coming from a relatively low exposure level, that has tended to precede a lower VIX (lower volatility) in the weeks and months ahead. They continue to hold near-record long positions in the "p" metals, platinum and palladium. That's generally a good sign for their prospects in the months ahead.

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