Monday, 10 June 2013

CFTC COT Report 04 June 2013 - Specs Remain Massive USD Longs

There was some selling of the big USD long, primarily buying of the euro and the yen versus purchase of the USD.  The euro short was reduced by about 34.4K but remains a hefty 74.8K contracts.  Likewise, the yen short was reduced by 17K.  The total USD long and short another currency remained very large 520.2K

While specs were selling the USD against the euro and the yen, they were buying the USD against all the commodity currencies. The short position in the C$ was increased by about 9.3K and in the A$ by 18.6K.  The spec long in the NZ$ was reduced by about 9.5K.  This means specs are sport the commodity currencies buy a bog number, 132K.

There was record volume trading in the currency markets at the CME last week.  As we pointed out in our weekly review and look forward, trade in the euro one day exceeded $80B.  It remains to be determined if this is the prelude to liquidation.

  • US Dollar Index: The OI went down in the DI by 11.9K; however, there was only a nominal reduction in the  long spec position to 54.4K total.  The long specs are a 3.4 ratio long and the small spec is an 8.8 ratio long.  The USD was under pressure after the end of the report and this probably chased out more of the DI longs.
  • Euro (EUR/USD): Specs were busy reducing their short position in the euro, and this trend probably continued after the cut off for this report.  The reduction of the spec shorts was significant, about, about 34.4K, but they remained short 74.8K contracts at the end of the period.  The cut-off date for COT reports is Tuesday at the close.  On Friday there was a record trade in the euro at the CME, over $80B.  It seems there was more liquidation after the end of this report. 
  • British Pound Sterling (GBP/USD): Specs remain a very large short in the BP.  Their total short is 101.2K in a market that has only 230K for the total OI.  This compared to a total short of 74.8 in the euro where the market size of almost 307.  With the current price level - 155 - it is doubtful that there are many specs with profitable open positions.
  • Japanese Yen (JPY/USD): There was spec selling for the week in the yen but the total spec short remained large 119.1K .  The large spec remained a 5.5 ratio short.  There was a heavy trade after the end of this report, when the USD sold as low as 97.70, before turning around late Friday.  The Friday trade shows a increase in the OI by 12.5K.  This is significant, and the yen turnaround looks like the weak specs gave up taking the market lower.  Then the market turned around on heavy yen selling.
  • Swiss Franc (CHF/USD):The total OI in this market was approaching 70K.  In previous periods, it was not uncommon to have the OI around 50k contracts.  Small spec have been short the SF by a 2.6-to-1 ratio, while the large specs have large specs have been short by almost a 7-to-1 ratio.  The USD has been quite weak compared to the SF.
  • Canadian Dollar (CAD/USD): The OI in the C$ is relatively small.  The market seem like it is trying to rally. (Move back from the discount to parity with the USD).  This comes at a time when the large C$ spec is short by a 2.6 to 1 ratio.  The short position in the C$ increased to 52.7.
  • New Zealand Dollar (NZD/USD): This small market got even smaller with the OI going down by 3.8K taking the total to only 25.5.  The small spec is short and the large spec is still better than a 2-to-1 long.
  • Australian Dollar (AUD/USD): The Aussie Dollar has become very unpopular.  The total spec short is now 83K, up from 64.5K last week as the selling continue.  The total OI has climbed to 260K making the A$ the third most widely traced currency.  Going back to the April 9th report the total OI was 199K and specs were long 91.8K.  The money flow controls the price of a currency, and the money has been moving to the short side.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through June 4, 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: 81,293 62,057 18,276 12,026 1,386 5,010 59,431
Change: -11,902 -10,380 -8,739 -1,175 -274 -16 -2,559
 % Open Interest: 76.3 22.5 14.8 1.7 6.2 73.1
Euro (EUR/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 306,937 40,872 93,744 46,032 67,992 168,586 93,754
Change: -25,932 4,291 -25,567 -961 -5,529 -30,454 3,971
 % Open Interest: 13.3 30.5 15.0 22.2 54.9 30.5
British Pound Sterling (GBP/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 230,129 25,133 102,157 18,388 42,603 172,161 70,922
Change: -14,165 -9,651 -5,678 -2,498 -3,651 -856 -3,675
 % Open Interest: 10.9 44.4 8.0 18.5 74.8 30.8
Japanese Yen (JPY/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 281,395 21,739 97,905 22,398 65,368 201,139 82,004
Change: -14,846 -1,155 -18,595 -915 -556 -11,369 5,712
 % Open Interest: 7.7 34.8 8.0 23.2 71.5 29.1
Swiss Franc (CHF/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 69,313 5,258 31,502 7,885 20,225 51,422 12,839
Change: -5,207 -2,265 -5,060 -1,025 -3,832 -3,916 1,687
 % Open Interest: 7.6 45.4 11.4 29.2 74.2 18.5
Canadian Dollar (CAD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 160,408 22,488 59,701 26,753 42,294 103,443 50,689
Change: -2,466 -5,607 -31 -5,948 -2,105 9,470 52
 % Open Interest: 14.0 37.2 16.7 26.4 64.5 31.6
New Zealand Dollar (NZD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 25,530 11,700 5,687 1,905 4,160 11,883 15,641
Change: -3,847 -7,966 32 -340 285 4,476 -4,147
 % Open Interest: 45.8 22.3 7.5 16.3 46.5 61.3
Australian Dollar (AUD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 260,547 32,151 87,995 24,699 51,948 174,915 91,822
Change: 7,113 -9,543 5,787 -1,229 2,053 16,204 -2,409
 % Open Interest: 12.3 33.8 9.5 19.9 67.1 35.2

To view the COT report 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 Report.
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