no way to know what happens overnight but it looks like by tomorrow morning bank stocks and long bonds will both be ~flat YoY and will have round-tripped essentially their entire pandemic shock.pic.twitter.com/rrostOxQBM
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you can actually build a CoT curve that matches the key durations tracked by futures. thats what i use. anything shorter than 5s doesnt matter for CTAs though because end users are different, even 5s and 10s have residuals from mortgage hedging that make it noisy so br careful
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Even better - build your own model of CTA positioning based on recent trend and carry (fit it to past CoT data, can easily get ~80% R2) and then you have a three-day lead on the CoT publication dates.
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How do you define carry?
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for purposes of this exercise is fine to use the definition in Koijen et al i.e. expected return assuming the spot does not change https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2298565 …
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