Monday, 15 April 2013

CFTC COT Report 9 April 2013 - Speculators Reduce USD Long

Excel Markets ECN Forex Broker Demo Account Trading Contest - $10,000 Cash Prizes! - April 2013CFTC Commitments of Traders (COT) Report 09 April, published 13 April 2013 - Technical Analysis.  When all the numbers are tallied, the spec, in the major currencies covered, reduced his USD long position by some 22K contracts.  Considering the total amount of trade in the currency market, this is a minor reduction in the USD long.  The biggest reduction of the USD long came the covering of shorts in the SF, the euro and the yen.

It can be argued that this aggregate total is not a good measurement of the USD strength, but merely a tally of what specs consider the less preferred.  That is certainly correct, but we think it is wrong to summarily dismiss the importance of this tally.  Losers in a beauty pageant can get a lot of second place votes, and thus the winner is elected. 
The yen is now the currency contract with the biggest open interest.  Large specs did decrease their positions, both longs and shorts, but small specs and commercials added to theirs.

There remains a large group of dedicated bears in the pound.  We cannot identity the age of these short positions, but the specs have been short the pound for quite a few weeks.  The pound might be a candidate for a short squeeze.   
  • US Dollar Index:  Both size specs are committed longs in the DI but they did reduce the total by over 4K during the period.  Actually, the large specs reduced their longs but the small specs increased theirs.  Small specs play a very small role in the DI market.
  • Euro (EUR/USD):  Large specs were active in the period, reducing their longs by 10.8K and their shorts by 21.9K.  There was also a 14.7K reduction in spreading which would imply that arbitrage players (probably in the big spec category) were reducing their covered puts and calls.  Large specs remain a 2.4 ratio short.  The total euro spec short came down to 73.1K from 82.3K.
  • British Pound Sterling (GBP/USD):  The specs continue to embrace a big spec short, 95.9K contracts which is not working for them.  This big spec short is practically unchanged from last week.  The small spec is a 2.4 ratio short and the large spec a 3.1 ratio short.  We would guess that there was short covering after the cut-off date for this report; however, this is a very big short position and might be the fuel for a further rally.
  • Japanese Yen (JPY/USD):  The total OI in the yen contract has expanded to where the yen is a bigger contract than the euro.  Big markets attract big participation.  What is interesting about this week's OI change is the fact that it was the small specs and the commercials who were increasing positions.  Large specs, though remaining a 2.7 ratio short, did take some money off the table.
  • Swiss Franc (CHF/USD):  There was a big reduction of the spec short Swissie position to 18.2K from 26.3K last week.  Since the SF is pegged to the euro, this can be equated to specs reducing their short euro position.  This notwithstanding, the large specs remain a 3-to-1 ratio short.  The small spec is a big participant in the SF, and often he is quicker to flip his position than is the big trader.
  • Canadian Dollar (CAD/USD):  The C$ continues to work against the spec who is now short almost 80K contracts.  Most of the short position is held by the large specs who are a 4 -to-1 short.  While the strong C$ may be hindering the Canadian economy, central banks are showing interest to own the loonie as a reserve currency.
  • New Zealand Dollar (NZD/USD):  The large spec continues to buy the kiwi, expanding the OI to 42.5K, a large OI in the NZ$.  Small specs are less enthusiastic.  When the market ran above 86.70 on Thursday, the big specs for the moment were right.
  • Australian Dollar (AUD/USD):  There was a slight reduction in the OI as the large specs were reducing both their long and short position.  The total spec long in the A$ is down from 96.3 to 91.9.  The large spec remains a three ratio long.  The A$ has traded higher since the cut-off date for the end of this report, and the OI in the futures is up over 20K.  The longs are adding to positions.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through April 9, 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: 87,897 69,985 20,556 7,379 1,630 8,321 63,497
Change: -2,725 -3,822 948 593 141 847 -3,471
 % Open Interest: 79.6 23.4 8.4 1.9 9.5 72.2
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 263,981 35,121 87,423 42,106 62,912 155,822 82,713
Change: -38,985 -10,790 -21,877 -2,686 -778 -10,759 -1,579
 % Open Interest: 13.3 33.1 16.0 23.8 59.0 31.3
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 220,788 26,742 96,741 18,413 44,332 165,125 69,208
Change: -12,463 -4,737 2,584 -899 -7,477 -2,875 -3,618
 % Open Interest: 12.1 43.8 8.3 20.1 74.8 31.3
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 271,263 42,144 115,941 26,372 65,969 176,122 62,729
Change: 12,195 -4,874 -9,988 8,487 6,348 4,939 12,192
 % Open Interest: 15.5 42.7 9.7 24.3 64.9 23.1
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 45,140 5,659 16,584 9,591 16,902 28,614 10,379
Change: -8,983 -3,253 -5,229 1,803 -4,455 -7,289 944
 % Open Interest: 12.5 36.7 21.2 37.4 63.4 23.0
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 171,728 23,451 95,490 28,387 35,317 115,257 36,288
Change: -2,802 -1,873 4,695 -1,948 -1,032 4,864 -2,620
 % Open Interest: 13.7 55.6 16.5 20.6 67.1 21.1
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 42,549 35,358 10,208 4,847 3,307 2,234 28,924
Change: 3,320 4,000 -2,763 -29 819 -651 5,264
 % Open Interest: 83.1 24.0 11.4 7.8 5.3 68.0
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 199,405 117,446 39,324 40,623 26,857 34,778 126,665
Change: -13,879 -18,011 -11,256 2,877 558 3,058 -1,379
 % Open Interest: 58.9 19.7 20.4 13.5 17.4 63.5

To view the COT report data released by the Commodity Futures Trading Commission (CFTC), please see the attached files.

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