Monday, 8 April 2013

CFTC COT Report 02 April 2013 - Speculators Buy More Dollars

CFTC Commitments of Traders (COT) Report 02 April, published 05 April 2013 - Technical Analysis.  Speculators increased their aggregate net position in the USD to 338,399 contracts, up from 322,132 in the previous week.  Almost all of the increase was caused by additional short selling in the euro, as well as a very minor amount of pound selling. 

The largest speculator position remains a short 120,687 contracts in the yen.  This represents a small reduction - 9331 contracts - from the last report.  The next largest position is a A$ long of 96,324.  As noted below, there has been a lot of A$ buying with only little gratification.

We have been watching the C$ with interest.  For several weeks this currency has had the large specs selling short.  We had been curious of the trade, as it seemed the short side of the C$ was the right side for a number of reasons.  The employment news in Canada was weak, briefly taking the USDCAD past the 102 handle.  We suspect the pair will revisit that level.
  • US Dollar Index: The OI grew by 7.7% of the total but there was very little change in position.  The total spec long is 59,495 contracts compared to 59, 405 in the previous week.  Small specs are a 4.7 ratio long, and the large specs are 3.7-to 1 long.
  • Euro (EUR/USD): The OI climbed by almost 12% as the large specs extended their long in the euro to 63,390.  The small spec short position was also up to 18.9K.  The option trade is high, amounting to 15.1% of the total OI.
  • British Pound Sterling (GBP/USD): There was a very slight decline in the IO of the pound; however, the speculative short remains quite high.  The total spec short is 95.2K.  Small specs are a 2.7 ratio short and the large specs are a 3-to-1 short.  The pound rally late last week hurt the specs short positions.
  • Japanese Yen (JPY/USD): The short yen position has been the favorite short of the specs, and they have been right with the trade.  They did reduce their net short in the period to 120.7K from 1.30 in the prior week, but the small spec is a 3.3 ratio short and the large spec is 3.3-to-1 short.
  • Swiss Franc (CHF/USD): Both spec groups added to their short position in the SF, and the total short is up to 26.4K contracts - not bad for a contract that has but an open interest of only 54K contracts.  Since the second week in May, the SF has been losing to the euro.
  • Canadian Dollar (CAD/USD): There has been only minor changes in the C$ position.  The large spec is  a 3.6-to-1 ratio , while the short spec has an a very minor short position.  The spec short in the C$ is a major position, over 71K contracts.  It is perplexing the position is this large when it has been losing money.  You would expect there to be some liquidation.
  • New Zealand Dollar (NZD/USD): Although the NZ$ is still a small market, the total OI has been growing.  At 39K total, this is about a 100% increase in the last 3 1/2 years.  The spec position increased in the latest period  by over 10%.  The small spec is now a 2 ratio long, and the large spec is a 2.4 ratio long.
  • Australian Dollar (AUD/USD): The speculative buying in the A$ diminished during the latest week, and the price also relaxed.  The total spec long remains quite large 96.3K, a very minor reduction from the previous week's 97.5K.  This is still a very large position.  We wonder how much additional buying need to take place to take the market back up to the tweezers top of 1.0597.  Some dynamic news is needed to take the pair back to the top side of this high.  If the AUDUSD merely plods higher with the specs acquiring an ever bigger position, we think this may not end well.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through April 2, 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: 90,621 73,807 19,608 6,786 1,490 7,473 66,968
Change: 7,091 5,810 5,953 502 269 569 659
 % Open Interest: 81.4 21.6 7.5 1.6 8.2 73.9
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 302,966 45,910 109,300 44,791 63,690 166,581 84,292
Change: 36,277 3,166 19,177 -1,944 4,418 33,034 10,661
 % Open Interest: 15.2 36.1 14.8 21.0 55.0 27.8
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 233,251 31,479 94,158 19,313 51,809 168,000 72,826
Change: -3,555 -5,964 -8,191 1,313 4,758 423 -795
 % Open Interest: 13.5 40.4 8.3 22.2 72.0 31.2
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 259,068 47,018 125,930 17,885 59,621 171,183 50,536
Change: -5,555 -1,211 -9,779 -2,131 -2,934 -2,397 6,975
 % Open Interest: 18.1 48.6 6.9 23.0 66.1 19.5
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 54,123 8,912 21,813 7,789 21,356 35,903 9,435
Change: 2,311 852 1,013 -415 846 1,602 181
 % Open Interest: 16.5 40.3 14.4 39.5 66.3 17.4
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 174,530 25,324 90,795 30,335 36,348 110,393 38,908
Change: 2,649 -688 1,898 112 -1,826 1,078 431
 % Open Interest: 14.5 52.0 17.4 20.8 63.3 22.3
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 39,229 31,358 12,971 4,876 2,488 2,885 23,660
Change: 4,307 3,412 1,941 -47 190 942 2,176
 % Open Interest: 79.9 33.1 12.4 6.3 7.4 60.3
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 213,284 135,457 50,580 37,746 26,299 31,720 128,044
Change: -5,908 -5,102 -2,744 1,641 475 -1,081 -2,273
 % Open Interest: 63.5 23.7 17.7 12.3 14.9 60.0


To view the COT report data released by the Commodity Futures Trading Commission (CFTC), please see:
1. ICE Futures U.S.
2. BUTTER Chicago Mercantile Exchange

For general information about the COT report please see the article The CFTC Commitments of Traders (COT) Report.
Facebook Excel Markets Tweet Excel Markets Reddit Excel Markets Digg Excel Markets

1 comment: