Tuesday, 18 June 2013

CFTC COT Report 11 June 2013 - Big Buying in the Euro

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 11 June, published 14 June 2013, Technical Analysis. There was big buying in the euro which resulted in the spec euro short position being reduced to only 25.1K.  This is a big reduction from the short position of the last two weeks which was 101K and 110K.  There were also sizable reductions in the short positions in the pound and the SF. 

Consequently, the total USD long is now down to 414K, from the record high long position two weeks ago of 540K.

The biggest short position remains in the yen.  The second largest short position is in the Australian Dollar, 88K.  Finally, the short position in the pound remains large at 67K. Market action has punished the shorts but they remain short.  The setup for more short covering remains.
  • US Dollar Index: There was a small reduction in the net spec position from 54.4K to 49.4K.  The large specs, who dominate this market, remain a 3.9 ratio long and the small specs are a 4.6 ratio long.
  • Euro (EUR/USD): The large specs aggressively reduced their short position in the euro.  Just two weeks ago the total spec short euro position was 109.2K.  Now that short euro position has been reduced to 25.1K.  Both size specs are approaching the level where their positions will flip.  The option trade remains large.  Spreading, which is mostly options, is 14.6% of this large market.
  • British Pound Sterling (GBP/USD): Speculators have cut back on their short position in the pound; however, they remain short 67.5K.  This is a 2 1/2 size short, a much larger % short than in the euro.  Spreading, not the option trade, is large, which may me the big specs are rolling to short over to the next option.  Large specs do remain a 2.7 ratio short.
  • Japanese Yen (JPY/USD): Despite showing signs of strength, specs have remained committed to the short side of the yen.  That position has harmed their equity in the period after the end of the report.  Last week, the short position was 119.1K, and this short has only been reduced to 110.8K.  The total OI remained high 280.8K, and spreading represents 14.4% of that total.  By looking at the CFTC report of futures only positions we find that options is half of the 14.4% and futures spreading is the other half.
  • Swiss Franc (CHF/USD): Recently, the USD has lost to the SF and it is surprising to see the specs have not been with this move.  The total spec short in the SF is down from 38.6K but still remains large, 25.4K.
  • Canadian Dollar (CAD/USD): For forex markets the trade in the C$ has been rather tame.  Specs, primarily the large specs, are short the C$ and long the USD.  This combined net position has been reduced by about 4K to 48.3K.
  • New Zealand Dollar (NZD/USD): Speculators are about even in this very small market.  Large and small specs disagree on the market direction.  The large specs are the longs and the short specs are the shorts.  So far the little guy is the winner.
  • Australian Dollar (AUD/USD): The OI in the A$ has soared over the past month, and is now up to almost 271K - this, compared with OI in the yen of 280K and the euro of 307K.  The total spec short position is up to 87.8.  Small specs are a 2 ratio short and the large spec is a 3.6 ratio short.  This is a recent record high for a spec short position in the A$.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,            
data through June 11, 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: 79,511 57,775 14,615 8,063 1,755 7,387 56,856
Change: -1,783 -4,282 -3,661 -3,963 370 2,378 -2,575
 % Open Interest: 72.7 18.4 10.1 2.2 9.3 71.5
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 306,795 68,709 76,423 51,443 68,886 141,734 116,577
Change: -142 27,837 -17,321 5,411 894 -26,852 22,823
 % Open Interest: 22.4 24.9 16.8 22.5 46.2 38.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 229,380 31,918 85,716 22,288 36,083 148,900 81,307
Change: -749 6,785 -16,441 3,900 -6,520 -23,261 10,385
 % Open Interest: 13.9 37.4 9.7 15.7 64.9 35.4
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 280,853 21,478 91,576 20,340 61,104 198,536 87,674
Change: -543 -261 -6,329 -2,058 -4,264 -2,604 5,670
 % Open Interest: 7.6 32.6 7.2 21.8 70.7 31.2
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 68,540 6,103 27,173 10,652 14,990 43,718 18,310
Change: -773 845 -4,329 2,767 -5,234 -7,705 5,471
 % Open Interest: 8.9 39.6 15.5 21.9 63.8 26.7
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 155,564 17,325 52,938 24,883 37,616 102,902 54,557
Change: -4,845 -5,163 -6,763 -1,870 -4,679 -541 3,868
 % Open Interest: 11.1 34.0 16.0 24.2 66.1 35.1
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 26,293 8,940 6,287 1,969 4,388 15,339 15,573
Change: 763 -2,760 600 64 228 3,456 -68
 % Open Interest: 34.0 23.9 7.5 16.7 58.3 59.2
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 270,535 23,721 86,740 23,075 47,891 198,172 110,337
Change: 9,988 -8,430 -1,255 -1,624 -4,057 23,257 18,515
 % Open Interest: 8.8 32.1 8.5 17.7 73.3 40.8

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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