Tuesday, 25 June 2013

Speculators Massive USD Sellers

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 18 June, published 21 June 2013, Technical Analysis.  Speculators continued their massive selling of the USD, as they cover their shorts in the euro, pound, SF, the DI and the yen.  Last week, the total long the USD and short another currency was 414.4K.  It was reduced to 255.2K as the the specs bought aggressively.  This is down from an all-time USD long of 540.4 back on the May 28 report.

The euro and the SF saw sufficient spec-buying that the specs flipped from a short to a small long position.  Specs who flipped to the long side of the euro made the wrong move as the euro versus the USD has gone straight down since the cut-off for the report.

It is interesting to note there was heavy liquidation in both the yen and the pound - about 75K each.  Bears held their positions in the yen but there was heavy short covering in the pound.  The pound OI went lower than the OI in the C$.  It now looks like it was short-covering that carried the pound above the 1.57 handle.  Should any bear news show in the pound, there are probably some sold-out bears who are anxious to get some of their money back in the pound.
  • US Dollar Index:  June contract expiration resulted in the OI going down by 28.1K contracts and was mostly caused by the specs who reduced their position to 19.5K.  It was 49.5 the prior week.  The small spec remains a 3 ratio long but the large spec has gotten his position closer to even.
  • Euro (EUR/USD): This was another week for buying by the big specs as they flipped from a short to a long position in the euro.  Small specs remain a small short.  Late week market action hurt the new euro bulls.  The total euro spec long was 10.6 compared to a 25.1K short in the prior week.  This week again is a very big shift.  Option trade is large, representing almost 14.3% of the total OI.
  • British Pound Sterling (GBP/USD):  It now looks like much of the run up in the pound was short-covering.  Last week, the specs were short 67.5K and this week their position is down to 24.5.  The total OI was down a hefty 75K, of which the spreading, which is mostly options was down 18K.
  • Japanese Yen (JPY/USD): Expiration of the June contract did not bring much reduction in the yen short positions by the specs.  The spec short is down under 100K for the first ime in a few weeks, but not by much at 99.7K.  Small specs are a 3.2 ratio short and the large spec is a 3.6-to-1 short.  Curious the total reduction in the OI was 74.1K.
  • Swiss Franc (CHF/USD): There was a very large drop in the total OI to 37.1K  Most of this was caused by the large spec who flipped his position from short to long in the SF.  Last week the specs were a 25.4K short and this week they are a 3.6K long.
  • Canadian Dollar (CAD/USD): Despite the June expiration the OI in the C$ went up, unlike all the other contracts.  Specs are short a modest number of Canadian contracts, 34.5K contracts and this position has proven to be correct.  The remaining OI is 155.7, bigger than the remaining OI in the pound.
  • New Zealand Dollar (NZD/USD): The reduction in the OI has taken the OI in the NZ$ to the lowest it has been in several years.  The OI is now 11.7K so small that there are no meaningful players in the NZ$.
  • Australian Dollar (AUD/USD): Open Interest in the A$ remains large.  At 211K contracts the A$ is now the second largest traded currency.  The total net short A$ position continued to grow, and is now up to 91.1K, from 87.8.  Once the most popular long, the Aussie is now the second most popular short.  Late week market action has favored the short specs.  The 91.1K is a record short in the A$.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through June 18, 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: 51,381 36,419 21,857 7,239 2,339 5,488 24,951
Change: -28,130 -21,356 7,242 -824 583 -1,899 -31,905
 % Open Interest: 70.9 42.5 14.1 4.6 10.7 48.6
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 266,146 91,543 72,870 56,536 64,634 79,928 90,502
Change: -40,648 22,834 -3,553 5,093 -4,252 -61,806 -26,074
 % Open Interest: 34.4 27.4 21.2 24.3 30.0 34.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 153,770 46,714 67,485 25,333 29,148 73,672 49,085
Change: -75,611 14,795 -18,231 3,045 -6,935 -75,229 -32,222
 % Open Interest: 30.4 43.9 16.5 19.0 47.9 31.9
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 206,675 22,940 83,431 17,100 56,341 140,557 40,826
Change: -74,178 1,462 -8,145 -3,239 -4,763 -57,979 -46,848
 % Open Interest: 11.1 40.4 8.3 27.3 68.0 19.8
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 37,384 14,658 9,209 11,835 13,677 9,541 13,148
Change: -31,157 8,555 -17,964 1,183 -1,314 -34,177 -5,161
 % Open Interest: 39.2 24.6 31.7 36.6 25.5 35.2
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 155,737 15,159 41,042 22,251 30,951 104,177 69,594
Change: 173 -2,166 -11,896 -2,632 -6,664 1,275 15,037
 % Open Interest: 9.7 26.4 14.3 19.9 66.9 44.7
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 11,742 8,469 6,343 1,760 3,854 1,511 1,543
Change: -14,551 -471 56 -209 -534 -13,828 -14,030
 % Open Interest: 72.1 54.0 15.0 32.8 12.9 13.1
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 211,848 27,037 91,568 18,704 45,273 148,352 57,252
Change: -58,687 3,316 4,828 -4,371 -2,617 -49,820 -53,085
 % Open Interest: 12.8 43.2 8.8 21.4 70.0 27.0

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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