Tuesday, 12 March 2013

CFTC COT Report 05 March 2013 Speculators Keep Buying US Dollar

Ralph Shell, Excel Analyst

CFTC Commitments of Traders (COT) Report 05 March, published Friday 08 March 2013 - Technical Analysis.  For the second week in a row, there was selling of the eight currencies we cover in this report and buying of the USD.  The NZ$ is the only currency where the selling could be considered light.  Selling was heaviest in the euro, the pound, and the C$.  Considering the SF is a small market, the selling was heavy there. 

For the commodity currencies - the Canadian, Australian and New Zealand Dollar - specs shifted, collectively, to the short side by 33.4K contracts.  Within that total, however, remaining a long is still in the NZ$.  We note a Bloomberg story reporting hedge funds have reduced positions in commodity futures to the lowest levels since March of 2009.

The open interest in some of these currencies, especially the yen, pound and the Canadian Dollar, have been soaring.  It will be quite interesting to see just how much remains open after expiration of the March contract on the 20th.
  • US Dollar Index:  Specs continued to buy the DI with the net long going up to £!K from 27K in the previous week.  Small specs remain minor players in this market but they are a 4.1 ratio long.  The total OI (open interest) is a very large 79.4K contracts.
  • Euro (EUR/USD):  There was a drop in the OI, mostly caused by large and small specs reducing long positions.  Total OI is large 288.0K but less then the OI in the yen futures.  Small specs flipped to the short side of the euro.  This brought the total euro spec short up to 28.9K  from only .2K in the prior week.  Spreading which mainly includes the option trade is now 48.9K or 17% of the total OI.
  • British Pound Sterling (GBP/USD):  Specs have continued to hammer the pound.  The OI is up to 268.&K, almost as much as the OI in the euro.  Small specs are a 2.5 ratio short, and large specs are a 2 ratio short.  It is hard to measure from what level the bear market started but it has gone over 1000 points to the downside and the short have ridden it well.  Spreading represents only 7.8% of the OI.
  • Japanese Yen (JPY/USD):  With the OI in the yen delta-adjusted options and futures combined now up to 307.3, this is the contract with the highest OI.  Large specs are a 2.4 and the small specs are a 2.7 ratio short.  Specs have been short the yen every week except one since the report from November 20th 2012, and the market has rewarded them.  They added a little over 4K contracts in the latest period.
  • Swiss Franc (CHF/USD):  Small specs decisively changed their opinion of the SF and flipped to the short side.  They join the large specs who are already a 2.6 ratio short.  That makes the total short SF position by the specs 17.9K up from 5.3K in this small market.
  • Canadian Dollar (CAD/USD):  There has been a 76.6K shift in the C$ from a short position to a long position during the last four weeks.  The total OI has climbed to almost 246K.  Large specs are now a 2 ratio short.
  • New Zealand Dollar (NZD/USD):  Of the currencies we review here, the kiwi is the only currency where the specs are long, which means they are short the USD.  So far, the liquidation has been minor and the large spec remains a 5 ratio long.
  • Australian Dollar (AUD/USD):  The large specs continued to reduce their longs in the A$, however, they remain long 4.5K.  The small specs is short about 4.7K so that leaves total spec s positions about even.  Since the Feb 5th report, the long spec Aussie dollar position has gone from a 97.2long to a very small short in the A$.

To view the COT report data released by the CFTC please see the attached files:
For general information about the COT report please see the article The CFTC Commitments of Traders Report
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