Tuesday, 7 May 2013

CFTC COT Report 30 April 2013 - Specs Liquidate USD Longs

Ralph Shell, Excel Analyst

CFTC Commitments of Traders (COT) Report 30 April, published 03 May 2013 - Technical Analysis.  There was near-unanimous liquidation by selling in the USD longs in all the contracts we review except the SF, and the New Zealand USD.  Selling of the USD by those previously short in the pound and the euro were the most active.  Specs, however, have more selling of the USD before they can become long the two European currencies.

The biggest short remains in the yen.  Although there was a small reduction in the yen short, it remains at 110.5.  Market action early in the period put some pressure on the shorts, but the yen weakened toward the end of the week.

Trade in the SF is baffling.  Last week were long the SF, by .6K contracts and this week they moved to  a 11.4K short.  This is a big one-week move for such a small contract.

There has been some short covering in the pound but is very orderly.  Though the pound has been working higher, there is no sign of a panicky short squeeze.
  • US Dollar Index: Specs made a small reduction in there long DI position, reducing it from 46.3K to 42.3K.  Large specs remain a 3.3 long while the small spec is even more out of balance long 5.3-to-1.
  • Euro (EUR/USD): The open interest (OI) was down very little in the period, but the total spec short in the euro was reduced from 51.2K to 39.4K.  Though the amount of spreading was down 2.2K, spreading is still large at 13.5% of the 278K open.The market action seemed to hurt the spec short so there was some spec covering, on the last trading day of the week.
  • British Pound Sterling (GBP/USD): There was short covering in the pound, primarily by the small spec who moved his net position down by 11.6K  The large spec has maintained his short, and is a 3 ratio short.  The short spec has had some pressure on him, as the market has worked higher.  Spreading or option trade now represents 5.9% of the total OI.
  • Japanese Yen (JPY/USD): Although there was a 12.6K reduction in the OI, the big spec short, 110.5K - compared to 118K last week - remains in place.  The small spec is a 2.9 ratio short and the large spec is a 3.7 short.  Spreading, mostly option trade, is quite large, 12.6% of the 249K long.
  • Swiss Franc (CHF/USD): Specs in the SF have moved back to short side.  Last weeks the specs were long .6K, but they have turned the position around and are now totally short by 11.5K contracts in this small market. The large specs shift was decisive, and they are now a 2.2 ratio short.
  • Canadian Dollar (CAD/USD): The C$ appreciated during most of this period but the specs did not cover much of their short.  The large spec remains a 4.4-to-1 short, and, totally, the specs are short 76.5K versus 82.6 in the prior week.
  • New Zealand Dollar (NZD/USD): Specs continue to buy the NZ$, taking total spec longs up to 31.6K from 29.3 in the previous period.  The large traders, probably funds are a 4.2 ratio long.  Though this is a small market, the OI has climbed to 46.6K.
  • Australian Dollar (AUD/USD): The small spec changed directions again, this time flipping back to the long side of the Aussie.  Large specs remain long and together they are long 33.K.  Perhaps the small rally toward the end of the period gave specs the courage to hold their positions.  It is interesting to note that spreading is now up to 6.8% of the total open interest of 176.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through April 30, 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: 71,236 50,534 15,324 8,719 1,667 9,970 52,232
Change: -7,414 -8,532 -5,628 -1,387 -243 2,423 -1,626
 % Open Interest: 100.0 70.9 21.5 12.2 2.3 14.0 73.3
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 277,809 57,830 88,224 51,417 60,400 131,042 91,665
Change: 346 9,749 5,802 7,385 -689 -14,605 -2,585
 % Open Interest: 100.0 20.8 31.8 18.5 21.7 47.2 33.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 208,224 29,955 89,631 22,504 39,644 143,565 66,749
Change: -8,781 -2,978 -3,688 5,623 -6,021 -12,501 -148
 % Open Interest: 100.0 14.4 43.0 10.8 19.0 68.9 32.1
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 249,227 25,732 94,158 21,510 63,653 170,527 59,958
Change: -12,637 -1,993 -8,659 -852 -1,590 -7,157 248
 % Open Interest: 100.0 10.3 37.8 8.6 25.5 68.4 24.1
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 53,608 7,417 16,396 11,323 13,793 33,707 22,257
Change: 1,131 -4,979 4,326 -1,727 1,038 7,973 -4,097
 % Open Interest: 100.0 13.8 30.6 21.1 25.7 62.9 41.5
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 172,608 21,882 91,786 28,797 35,427 116,672 40,137
Change: -10,512 -4,936 -7,768 9 -3,247 -4,930 1,158
 % Open Interest: 100.0 12.7 53.2 16.7 20.5 67.6 23.3
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 46,571 38,184 9,134 5,515 2,920 2,743 34,388
Change: 1,444 157 -1,188 907 -64 369 2,685
 % Open Interest: 100.0 82.0 19.6 11.8 6.3 5.9 73.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 176,202 80,895 50,216 28,698 26,293 54,551 87,635
Change: -5,335 -2,357 -2,155 122 -4,040 -2,873 1,087
 % Open Interest: 100.0 45.9 28.5 16.3 14.9 31.0 49.7

To view the COT report data released by the CFTC, please see the attached files:
  1. Cotton No. 2 ICE Futures US
  2. Butter (Cash Settled) - Chicago Mercantile Exchange
For general information about the COT report, please see the article The CFTC Commitments of Traders (COT) Report
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