CME glitch; U.S. dollar on pace for weekly fall; Tokyo CPI - what’s moving markets
Investing.com - JPMorgan reported significant futures market activity last week, with large net selling in KOSPI 200, TAIEX, and US Treasury 2-year futures, while S&P TSX 60, Bovespa, and Gasoil futures experienced substantial net buying.
Market liquidity has deteriorated during the recent equity market decline, with US equity futures recording historically low market depth, measuring approximately -1.5 to -2 standard deviations below normal levels, according to JPMorgan’s analysis.
Commodity Trading Advisors (CTAs) entered the market weakness with near-maximum long equity positions and have reduced their holdings, including further selling last week, though they likely maintain moderately above-average long equity exposure, the report indicates.
JPMorgan notes that flow risks are currently two-way, with key momentum signals on US equities within 2% both to the upside and downside, while CTAs likely sold energy week-over-week and maintain long positions in US rates but are biased short in EMEA and APAC rates.
The Commodity Futures Trading Commission (CFTC) has resumed operations and is releasing Commitments of Traders (COT) reports in chronological order, with the latest available data as of October 7th, JPMorgan added.
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