Monday, 20 May 2013

Speculators Continue Buying the USD

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 14 May, published 17 May 2013 - Technical Analysis.  There was across-the-board buying in the USD. The total net USD position increased from 316.7K to 395.9K at the end of this period. This is the largest USD position since June of 2012.

The biggest USD long is in the yen, where the spec short has grown to 130.8 The second largest short position is in the pound. Despite the open interest being much larger in the euro, the short position in the pound is more than 17K higher. If the UK economic numbers continue marginally better we think the euro would lose to the pound.

The open interest was sharply higher, up almost 145K as the specs added to their longs in most currencies. Speculators in the Australian Dollar shifted to the short AUDUSD in a decisive fashion. In the Canadian, the specs had been big shorts but have gradually reduced positions. The remaining shorts got a pay day after the cut-off date for this report.
  • US Dollar Index:  There was a 11K increase in the OI as the specs added to their long positions.  The total DI long was up to 44.5K, from 39.5 last week.  Small specs, though not big participants in the DI, are a 6.9 to one long.  Large specs are a 2.5-to-1 long. Recently, there have been many weeks when the spec long has approached 60K.
  • Euro (EUR/USD):  Both small and large specs added to their short in the euro.  The total spec short is now up to 66.7K.  At the beginning of April the spec short was above 82K, and the total OI then was up to 303K compared to 188K now.  Spreading, which is mostly option trade, is quite large, 14.3% of the total volume.
  • British Pound Sterling (GBP/USD):  There was a slight reduction of the spec short in the pound to 84K from 86K.  It is peculiar that the short interest in the pound is larger than that of the euro.  Further, the OI in the euro is much bigger.  Large specs are the big shorts, and they are a 2.8 ratio short.
  • Japanese Yen (JPY/USD):  The open interest increased by over 10%, and is now almost as large as the OI in the euro.  Specs added to their short position and are up to 131K.  This is the largest short position since the report in early March.  Large shorts are a 3.6-to-1 short and the small specs are a 2.9 ratio short.  Friday was the lowest close in the yen since October 2008, so the shorts are ahead.
  • Swiss Franc (CHF/USD):  There was a 15% increase in the OI of the SF as specs flocked to short side of the SF.  Large specs are now a 2.7 ratio short and the small specs are a 2.4 short.  This is the lowest the SF has been against the USD since August 2012.
  • Canadian Dollar (CAD/USD):  Last week the small specs flipped to the long side of the C$, and they added to this position by over 8K contracts during the period.  Large specs remain short the C$ by a hefty 2.5-to-1 ratio.  This means the total spec net position is short by 36.7K contracts.  Market action late in the week favors the shorts.
  • New Zealand Dollar (NZD/USD):  Small specs flipped tp the short side of the NZ$, while the big specs continued to carry a very large 4.2-to-1 ratio long.  Markets have harmed the equity of the NZ$ longs after the end of the period.  We guess liquidation will be reported next week.  Total OI was down but the specs are still long.
  • Australian Dollar (AUD/USD):  There was a 27% increase in the total OI.  Large specs flipped their net position and moved heavily to the short side of the Aussie.  Small specs flipped to the short side last week.  The market continued weak after the cut-off for this report, taking the Aussie to the lowest since June of 2012.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through May 14, 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: 80,455 59,637 24,617 11,127 1,598 7,888 52,437
Change: 11,023 12,113 9,150 2,542 432 -3,405 1,669
 % Open Interest:
74.1 30.6 13.8 2.0 9.8 65.2
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 288,467 52,706 98,941 46,015 66,501 148,481 81,759
Change: 27,778 -219 12,816 293 6,665 19,818 411
 % Open Interest:
18.3 34.3 16.0 23.1 51.5 28.3
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 216,088 35,696 100,718 21,725 40,764 145,695 61,634
Change: 11,585 4,604 7,239 1,876 -2,496 2,039 3,776
 % Open Interest:
16.5 46.6 10.1 18.9 67.4 28.5
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 286,644 31,876 116,409 24,445 70,715 197,332 66,529
Change: 34,532 1,043 10,521 993 6,603 23,122 8,033
 % Open Interest:
11.1 40.6 8.5 24.7 68.8 23.2
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 61,210 9,310 24,834 8,803 21,144 41,819 13,953
Change: 10,155 2,325 11,308 -1,362 6,304 8,644 -8,004
 % Open Interest:
15.2 40.6 14.4 34.5 68.3 22.8
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 153,818 28,496 72,404 37,640 30,434 83,897 47,195
Change: -2,916 3,140 -5,389 6,269 -771 -12,108 3,462
 % Open Interest:
18.5 47.1 24.5 19.8 54.5 30.7
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 37,320 30,436 7,220 3,362 3,878 3,428 26,128
Change: -8,685 -7,339 -2,019 -1,670 311 359 -6,942
 % Open Interest:
81.6 19.3 9.0 10.4 9.2 70.0
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 226,162 61,910 74,446 26,435 41,790 115,323 87,432
Change: 49,908 657 20,116 -3,537 10,091 42,648 9,560
 % Open Interest:
27.4 32.9 11.7 18.5 51.0 38.7
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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