Thursday, 4 April 2013

CFTC Commitments of Traders (COT) Report: Big Spec Buying in Australian Dollar

CFTC Commitments of Traders (COT) Report, 29 March 2013 - Technical Analysis. There was big buying in the Australian Dollar in relationship to the USD that reduced the total USD long during the period.  The net USD long position dropped from 344K to 322K during the week.  There was also buying in the New Zealand Dollar.

Speculators hold large short positions in the yen, the pound, the Canadian Dollar against the USD.  They did increase their short in the euro versus the USD but that position is only about 60K contracts.

There was very large liquidation in the open interest in the Canadian Dollar, 149.6K.  Commercial were on both sides of the liquidation, reducing their long positions by 130K and their short positions by 127K.  This is likely to be either pricing of trade between the US and Canada and or Canadian bank position which had been held open.  Between the February 19th report and this one there was sufficient selling in the C$ to take the net position from a long of 23.2 to a short C$ position of 70.8K.  Recent market action has been working against this position.  Should they buy the C$ and sell the USD, taking the pair close to 1.01, we want to try selling the C$ around that level.        
  • US Dollar Index: There was little movement of positions during the period.  Both the small and the large specs are about a 5 ratio short in the DI.  The total spec long is 59.4K contracts,  down 277 contracts from a recent contract high.
  • Euro (EUR/USD): Speculators kept their shorts in the euro during the period with little movement, remaining a 2-to-1 short the euro.  There was a a 15.5K increase in the OI.  Most of the increase in the OI was an increase in options, and an increase in commercials of both sides or the market.
  • British Pound Sterling (GBP/USD): There were no significant position changes during the period.  Long specs are a 2.7 ratio short and the small specs are a 2.6 to 1 short.  The total spec short was up about 2.K to 93.9K.
  • Japanese Yen (JPY/USD): The spec short in the yen increased by 12.5K to 130K, as the specs are ready for the new governor of the Bank of Japan.  They expect him to rapidly increase the supply of yen which would be bearish on the yen.
  • Swiss Franc (CHF/USD): The SF remains a popular short with both large and small specs.  Both size specs have total positions that are about alike, with the total net spec short position now up to 25K, quite large for a small market.
  • Canadian Dollar (CAD/USD): The reduction in the open interest after the end of trading in the March futures contract was huge, down 149.6K contracts.  This is a typical pattern in the C$, indicating big commercial pricing of business or banking transactions.  If the pattern repeats spec buying can be anticipated.
  • New Zealand Dollar (NZD/USD): Little time was taken after expiration of the March for to specs to buy back their futures longs.  The total spec long is now 19.5 contracts but specs can easily another 8K contracts to replace that which was previously owned.  Small specs are a 2 ratio long, and the large specs are a 2.5 ratio long.
  • Australian Dollar (AUD/USD): For the second consecutive week there was very heavy big spec buying in the A$.  The 46.4K increase in the OI took the total OI up to 219K, and the total spec long is now 97.5K  Large specs are now a 2.6 ratio long.
For general information about the COT report please see the article The CFTC Commitments of Traders (COT) Report.
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