Wednesday, 27 March 2013

COT Report - Big Futures Trade Ahead of March Contract Expiration

CFTC Commtiments of Traders (COT) Report 19 March, published Friday 22 March 2013 - Technical Analysis. There was a very large trade ahead of the March futures expiration but the change in the net USD position was not that big.  Last week, the net USD position was 333.1K, and it was up to 344K in the latest period.

Only the NZ$ and the Aussie $ show a short USD position.  Because there has been massive selling of the Canadian and buying the USD, the net position of the commodity currencies is net short 3.0K.  The buying in the A$ was quite large by both size specs.

As we mention below regarding the C$, the OI at expiration, 321K, was the largest of any futures contract.  We note that, on Thursday the 20th of March, there was a reduction on the OI of 142.7K contracts.

Excel Markets Trading Contest - All Cash PrizesThere was a large reduction in the OI of all of the contracts at the end of the March trade.  For an analysis of the remaining OI, please see our March quarterly review.
  • US Dollar Index:  The DI remains a favored contract of the big players who extended their long during the period.  They were significant supports of the DI buying 8.5K contracts and reducing their shorts by 13.7K.  They are now long by a 4.3 ratio, and the net long of all specs is 59.7K.  Small specs are also long but amount to less than 9% of the activity in the DI.
  • Euro (EUR/USD):  The total net short spec position during the latest period increased from 34.1K to 54.3K.  Most of the increase in short positions came from the large specs.  Spreading, most of which is option trade, increased to 15.6% of the total OI.  The short keeps growing in the euro but neither size spec has reached a 2-to-1 ratio.
  • British Pound Sterling (GBP/USD):  There was a very large 82.1K reduction in the OI, most of which was done by the commercials, who reduced their longs by 72.6, and their shorts by 85.1K.  This trade is peculiar, perhaps commercial or central bank activity.  Small specs are a 2.7 ratio short and large specs a 2.5 short.  The total spec short position in the pound is a lofty 91.9K contracts.
  • Japanese Yen (JPY/USD):  The yen remains the specs favorite short position but they did make a small reduction in their total net shorts, down to 117.5K contracts.  Large specs are now a 2.3 ratio short and the small specs are a 2.9.  The option trade in the yen remains large.  There was large liquidation of commercial longs and shorts, perhaps pricing toward the expiration of the March contract.
  • Swiss Franc (CHF/USD):  Speculators remain bearish on the SF, but did reduce their short position to 23.5K, down from  26,2K in the previous month.  This may not seem like a big position but the total OI in the SF is only 52.6K.  The small spec is a 2.7 ratio short and the large spec is a 2 ratio short.
  • Canadian Dollar (CAD/USD):  Trade in the C$ has been massive. and at the close of trading on March 19th, this was the largest OI of any currency contract.  The biggest participants are commercials on both sides of the market.  My guess is this would represent pricing of manufacturing contracts as well as some fixing of exchange rates for banking pricing.  The total spec short in the C$ was 73.8K.  This compared to a C$ long of 23.3 in the report from February 19th.
  • New Zealand Dollar (NZD/USD):  The large spec remains a dedicated long in this small market.  He did reduce the position by 6.9K contracts but he remains a little better than a 2-to-1 long.  The total spec long is down to 13.1K from 20.4K last week.
  • Australian Dollar (AUD/USD):  Speculators were quite aggressive on the buy side of the A$.  The total spec long jumped from 23.2 to 63.7K contracts in the week.  The large specs are better than a 2 ratio long, and the small specs flipped to long side, now long 9K contracts.  Specs have been on the right side of the A$ market.
For general information about the COT report please see the article The CFTC Commitment of Traders Report.
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