Tuesday, 23 April 2013

CFTC COT Report 16 April 2013 | Speculative Buying in the Euro

CFTC Commitments of Traders (COT) Report 16 April, published 19 April 2013 - Technical Analysis.  There was aggressive buying in the euro during the latest period.  We suspected the run up to the 1.32 level on the 16th of April was short-covering, and the market has subsequently reversed.  The total euro short came down to 48.2 from 73.1k last week.  The SF, pegged to the euro, can be partially viewed as a proxy for the Euro.  There was also a 16.1K liquidation in the short position of the SF, a large number in a small market.  We are beginning the week with fresh selling in the Euro.

Excel Markets ECN Forex Broker Demo Account Trading Contest - $10,000 Cash Prizes! - April 2013The total spec long in the USD was reduced to 300.2K, down from 316.2K last week.  The spec short-covering in the euro and the SF would have taken this number lower except there was heavy selling Australian Dollars and buying the USD.  Since the end of the period, the selling has continued in the A$. 

The report of futures market activity from Friday the 19th of April shows the total open interest in the Australian Dollar is now less than the OI in the Canadian.  Only ten days prior it was 40K bigger than the C$.  The sell-off in the A$ is approaching the end.

Trade in the pound is interesting.  Since March 12th, when the GBPUSD made a low of 1.4832, the pound has been quietly gaining on the USD, working up to a high of 1.54 and small change.  According to the report on the 12th of March, specs were then short 79.4K; they are now short 87.4K.  While there may be exceptions, most of the shorts in the pound probably have losing positions.  We are inclined to be contrarians and look for a spot to buy or an event that will prompt some short covering.         
  • US Dollar Index:  Large specs reduced their USD long in the DI by about 10.5K during the period.  This was mostly responsible for the 9.7K reduction of the OI.  Small specs are not big players in this contract, but are a 4.8 ratio long and added to their  position during the period.
  • Euro (EUR/USD): The total OI remained about unchanged but the total speculative short position was reduced from 73.1 to 48.2.  Though specs still remain short, this was a good size reduction in a single period.  Spreading was up 3,020 contracts and is now 33.9K and 12.8% of the euro trade; this represents mostly a trade in options.
  • British Pound Sterling (GBP/USD):  Spec remain big shorts in the pound though they did make small reductions in their positions.  Small specs remain a 2.4 ratio short and the large specs are a 2.8-to-1 short.  Market action hurt the specs during most of the period, but has gone in the specs favor after the cut off date.
  • Japanese Yen (JPY/USD):  There was an increase in the net spec short yen position to 125.8K from 113.4 in the prior week.  This change in the net short position was not caused by additional selling, but rather by a reduction in long positions, 14.6K by the large specs and 7K by the small specs.  The JPY/USD is flirting with 100 yen to the USD, so the spec positions have been profitable.
  • Swiss Franc (CHF/USD):  Specs were big buyers of the SF during the period.  This took their short position in the SF down to 2.2K from 18.2 in the previous week.  Small specs actually slipped to the long side of the SF.  Since the SF is pegged to the euro, this short covering could be related to the short covering in the euro.
  • Canadian Dollar (CAD/USD):  The spec short position in the loonie continues to grow.  Both size specs are short but the largest percentage of the spec short is held by the large specs.  The total spec short is 85.5K with the large spec a 4 ratio short.  To date the spec shorts have not been rewarded in the market.
  • New Zealand Dollar (NZD/USD):  Large specs, probably finds, continue to be big sponsors in the long side of the kiwi.  They are now a 4.3 ratio long, and are long 85.7% of the total market.  This small market is growing with the total OI up to almost 47K.
  • Australian Dollar (AUD/USD):  It was a big week for spec liquidation in the A$ as the total spec long went down to 60.9K from 91.8 in the prior period.  It seems the biggest catalyst for the sell-off was weaker economic data from China.  This caught the market too long, and down we went.  The large spec is still a 2 ratio long so it looks like there has been more selling after the end of the period.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through April 16, 2013
US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 78,181 60,224 21,866 7,870 1,664 8,188 52,752
Change: -9,715 -9,760 1,310 492 34 -133 -10,745
 % Open Interest: 77.0 28.0 10.1 2.1 10.5 67.5
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 264,248 49,332 79,588 43,522 61,488 137,440 89,219
Change: 267 14,212 -7,835 1,416 -1,424 -18,381 6,506
 % Open Interest: 18.7 30.1 16.5 23.3 52.0 33.8
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 216,975 33,703 95,627 17,731 43,235 154,994 67,565
Change: -3,813 6,960 -1,114 -682 -1,096 -10,132 -1,643
 % Open Interest: 15.5 44.1 8.2 19.9 71.4 31.1
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 264,842 27,508 118,109 19,403 65,613 188,151 51,341
Change: -6,422 -14,636 2,168 -6,969 -356 12,029 -11,388
 % Open Interest: 10.4 44.6 7.3 24.8 71.0 19.4
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 56,599 14,020 18,210 14,290 12,254 26,864 24,710
Change: 11,460 8,361 1,626 4,699 -4,648 -1,750 14,331
 % Open Interest: 24.8 32.2 25.2 21.7 47.5 43.7
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 181,658 24,919 101,929 27,883 36,356 123,284 37,802
Change: 9,930 1,469 6,439 -504 1,039 8,027 1,514
 % Open Interest: 13.7 56.1 15.3 20.0 67.9 20.8
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 46,640 39,986 9,178 4,503 2,780 2,030 34,561
Change: 4,091 4,628 -1,030 -344 -527 -204 5,637
 % Open Interest: 85.7 19.7 9.7 6.0 4.4 74.1
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 184,437 98,473 46,080 33,743 25,213 43,989 104,913
Change: -14,968 -18,973 6,755 -6,879 -1,645 9,211 -21,752
 % Open Interest: 53.4 25.0 18.3 13.7 23.9 56.9


To view COT report data released by the CFTC, please see the attached files:
BUTTER (CASH SETTLED) - CHICAGO MERCANTILE EXCHANGE
COTTON NO. 2 - ICE FUTURES U.S.

For general information about the COT report, please see the article The CFTC Commitments of Traders Report
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