Tuesday, 14 May 2013

Speculators Increase USD Longs

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 07 May, published 10 May 2013 - Technical Analysis.  In the most recent COT reporting period, the specs have increased their net USD spec long position from 292.3K to 316.7K.  Spec short positions were increased in the pound, euro, and yen.  The biggest increase of short sellers was in the pound, and unusual because the economic fundamentals in the UK are better than those in Europe.

There were also big shifts in the C$ and the A$ which affected the change in the USD long position.  In the C$, the specs had been big short the Canadian, by default long the USD.  This short was reduced from 76.5K to 52.3K.  After the cut-off on Tuesday May 7th, the C$ strengthened toward parity chasing out more shorts.

In the A$, the situation was different.  Specs had accumulated a massive A$ long which was not performing.  From the top side of 1.05 the A$ has plunged to under parity to the USD.  In the latest period, the A$ long was almost entirely liquidated, down to 5.2K.  Small specs have actually flipped to the short side of the A$.

Only in the yen was there a significant increase in the open interest for the period.  Since the specs are heavy shorts in the yen, they added to their shorts.  This means that new money is flowing into the yen on the short side.  Usually the money flow determines the directional trend of the market.
  • US Dollar Index: Speculators have reduced some of their long USDs, but the large spec remains a 3 ratio long, and the small spec is over a 7 to one ratio long.  The total spec long has been reduced from 42.3K to 39.5K.
  • Euro (EUR/USD): There was a reduction in the OI during the period as both the large and small specs were reducing positions.  The total spec euro short went up to 47.3K, from 39.4 a week ago.  Spreading, most of which is option trade, was 12.8% of the total market.  When I checked late last week there was 46,206 calls open and 72,901 puts in the June contract.
  • British Pound Sterling (GBP/USD): The total spec position in the pound increased to 86k, from 76.6K in the previous period.  The big specs are a 3-to-1 short and the small specs are a 2.2-to-1 short.  After the end of the period, the pound sold off, benefiting the shorts.
  • Japanese Yen (JPY/USD): Specs have been consistent shorts in the yen, and increased their position to 115.7 from 110.5 last week.  Small specs are a 2.7 ratio short and the large specs are a 3.4-to-1 short.  Spreading represents  9.4% of the total OI.  There were 40K calls and 43.5K puts open in the June contract.  The yen broke to the downside late in the week.
  • Swiss Franc (CHF/USD): There was practically no change in this small market.  Specs remain committed to the short side of this market.  There was a sharp break in the SF price after the cut off for this report.
  • Canadian Dollar (CAD/USD): Large spec continue with a large short position 52.3, but this has been reduced from 76.5 in the previous week.  Small specs actually flipped to a very tiny long position.  The market worked against the C$ shorts for most of this period, but did turn in their favor after the period's end.
  • New Zealand Dollar (NZD/USD): The dominant player in this contract is the large spec who is a 4 to 1 long.  Small specs are also long by a slim margin.  The kiwi turned lower after the end of this period when the Central Bank announced they had intervened to try to move the kiwi lower.
  • Australian Dollar (AUD/USD): For the third week in a row, the fickle small short flipped positions, this time by a very small margin, back to the short side.  Large specs are still long, 5.2K contracts, down from 91.8K four weeks ago.  The A$ continued a sharp sell-off after the end of the period.  Spreading is up to 7% of the total OI.  In the June contract, there are twice as many puts and calls open.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through May 7, 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: 69,432 47,524 15,468 8,585 1,166 11,293 50,768
Change: -1,804 -3,010 143 -134 -501 1,323 -1,464
 % Open Interest: 68.4 22.3 12.4 1.7 16.3 73.1
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 260,689 52,925 86,126 45,722 59,836 128,663 81,348
Change: -17,120 -4,904 -2,099 -5,696 -563 -2,379 -10,317
 % Open Interest: 20.3 33.0 17.5 23.0 49.4 31.2
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 204,503 31,092 93,479 19,848 43,260 143,656 57,858
Change: -3,721 1,137 3,848 -2,655 3,615 91 -8,891
 % Open Interest: 15.2 45.7 9.7 21.2 70.2 28.3
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 252,111 30,834 105,888 23,452 64,112 174,210 58,496
Change: 2,885 5,102 11,729 1,941 459 3,684 -1,462
 % Open Interest: 12.2 42.0 9.3 25.4 69.1 23.2
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 51,056 6,984 13,526 10,164 14,840 33,175 21,957
Change: -2,553 -432 -2,870 -1,159 1,047 -533 -300
 % Open Interest: 13.7 26.5 19.9 29.1 65.0 43.0
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 156,734 25,356 77,793 31,371 31,204 96,004 43,734
Change: -15,874 3,474 -13,993 2,574 -4,223 -20,668 3,596
 % Open Interest: 16.2 49.6 20.0 19.9 61.3 27.9
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 46,005 37,775 9,239 5,032 3,567 3,069 33,070
Change: -566 -409 105 -483 647 326 -1,318
 % Open Interest: 82.1 20.1 10.9 7.8 6.7 71.9
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 176,254 61,253 54,330 29,973 31,699 72,675 77,872
Change: 51 -19,642 4,114 1,275 5,406 18,124 -9,763
 % Open Interest: 34.8 30.8 17.0 18.0 41.2 44.2
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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