Tuesday, 28 May 2013

USD Buying Surges to Record High

CFTC Commitments of Traders (COT) Report, Excel Markets ECN Forex Broker There has been a surge in selling other major currencies.  As a consequence with the flip side of these trades being a long USD, the futures long in the USD has climbed to a recent record high.  That total, 520,358 total contracts, is up from about 396K last week.  The previous record high was 430K in June of 2012.

New selling by the specs was quite notable in the euro and the pound.  The biggest increase in short positions was in the euro.  Traders had been short the yen by 130.8K contracts, added to the net short, and took that position up to 135.2K.

The DI is just that, an index of the USD versus a band of currencies.  This was a small contract, but the OI has climbed to 95K contracts, probably a record.  The specs net long in this contract is 57.4K.  Small specs have a 10.5 to 1 ratio long.  It looks like news of the strong USD is common knowledge. 
  • US Dollar Index:  The OI (open interest) in the DI continues to climb, up 14.7K contracts to 95.1K.  Small specs are not big players in this market but they are a 10.5 ratio long.  Most of the build in the OI came from the large specs who added 15.9K to the long side and 5.2K to the short side.  They are a 2.5 ratio long.
  • Euro (EUR/USD):  The total OI soared to 331.1K up from 288K last week as the large specs sold the euro.  The long specs total net short went up by 33.5K in the week, taking the short ratio to 2.9.  Usually the big specs are funds who are usually not quick to exit positions.  Option trade is heavy with spreading now 14.3% of the market.  Small specs have 45.6K of open longs compared to the big specs who have only 42.2K  In other words the little spec continues to cling to some longs.
  • British Pound Sterling (GBP/USD):  Specs continue to add to their short pound position, taking it up to 102K, almost as much as the euro but in a market with much smaller OI.  Large specs are a 3.3 ratio short and the small specs are 2.3 short. At current levels most short specs probably have profits but would look for some short covering above the 153 handle.
  • Japanese Yen (JPY/USD):  There was a small increase in the total OI and the spec short.  The total spec short is now up to 135.3 from 130.8K last week.  Toward the end of the trading week the yen has gotten stronger, but so far we have not seen evidence of short covering in the yen. The large specs are a very heavy 4.7 ratio short.
  • Swiss Franc (CHF/USD):  This used to be a small market but the OI has gone up in recent years.  Large specs are a 3.4 ratio short and the small specs are a 2.8 short.  This brings to total spec long USD and short the Swissie up to 36.1K.
  • Canadian Dollar (CAD/USD):  Large specs are a 2 ratio short and the small specs are very modest shorts.  The OI in the C$, is fairly small, only 156K total.
  • New Zealand Dollar (NZD/USD):  Large specs are a 3.8 ratio long and the small specs are a 2.3 ratio short. The small spec flipped to the short side last week and kept selling.  The NZ$ remains the only currency where there is a spec long, and that is coming down.
  • Australian Dollar (AUD/USD):  The selling has continued in the A$.  The total net short position is up to 55.8K from 27.9K in the previous week.  The total A$ OI is up to 244K.  This OI is now larger that the OI in the pound, and is now 88K bigger than the OI in the C$.  Spreading represents 10.3% of the total OI, for the Aussie a big number.
To view the COT report released by the CFTC please see the attached files:
  1. Cotton No. 2 ICE Futures U.S. 
  2. Butter (Cash Settled) Chicago Mercentile Exchange
For general information about the COT report please see the article The CFTC Commitments of Traders (COT) Report.
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