Monday, 1 July 2013

Speculative Selling in the USD Continues

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 25 June, published 28 June 2013, Technical Analysis. Speculative selling in the USD continued in the most recent period, taking the total USD long position down to 223K from last week's 255K.  Since the last report in May when the total USD positions were at a record high of 540K, selling in the USD has been consistent.

The biggest position change since the May 28th report has been in the euro.  There, the total spec position went from a short of 109.2k to the current position, long 17.2K.  Position swings of this size are unusual and are even more unusual when, for the month of May, the euro was lower. 

Other big position changes for the month were in the SF. down from a short (long USD position) of 44.1K to a small long of 1.2K, the British pound down from a short of 109.2K to a short of 22.3K and the yen from a short of 136.2K to 88.3K.

The specs were consistently short the A$ from 64.4K at the beginning of the period, to the current record short of 89.7K.  For the first time in over a year, specs are now short the NZ$.
  • US Dollar Index: Specs continue to hold a long in the DI, but it has been reduced to only 17,492 contracts.  Small specs are a 3 ratio long but they do not own a large share of the market.  The large spec, perhaps funds, hold 69% of the long side and 46% of the shorts.
  • Euro (EUR/USD): Buying by the specs in the euro continues, taking their holdings up to 17.2K.  We note spreading, which is mostly option trade, is quite large - 16.5% of the entire market, or 44.8K contracts.  Small specs are short the euro and the large specs are long.  Market action since the end of the period has favored the shorts.
  • British Pound Sterling (GBP/USD): In recent weeks there has been a large reduction in the pound trade.  In this week's report the total open interest was down to 140K, which compares with 244K in the last report in May.  During this period the spec short position has been reduced to 22.4K from over 100K earlier.  I suspect the flow of funds in the pound has been out of the specs accounts.
  • Japanese Yen (JPY/USD): The total OI in the yen remains large as specs hold their shorts.  The large spec is a 3.6 to 1 short and the small spec is a 2.5 ratio short  The total short positions has gone down to 88.2K contracts.  The option trade is quite large, 14.1% of the total OI.  Since the end of the report the shorts have been big winners in the yen.
  • Swiss Franc (CHF/USD): The OI in the SF continued to contract, and is down to 34.7K.  The small spec is short the SF and the lare spec is long.  This setup is identical to that in the euro.
  • Canadian Dollar (CAD/USD): The OI took a dive as the commercials liquidated both their long and short positions, taking the total OI down to only 129K.  Both size specs are short the C$ but the short has been reduced to 20.2K.  There was sizable weakness in the C$ toward the end of the reporting period.
  • New Zealand Dollar (NZD/USD): The NZ$ has become a very small market with the total OI only 11.6K.  Large specs have flipped to the short side of the kiwi, and specs are now short 3.3K, first time on the short side since June 19, 2012.
  • Australian Dollar (AUD/USD): The Aussie has the second largest OI of the currencies in our review, and, by a slim margin, has more spec shorts than even the yen.  Small specs are a 2.3 ratio short and the large specs are a 4.5-to-1 short.  The spreading category, which includes actual spreading of futures and the options trade, is up to 23.5K contract in the futures and options combined report.  Spreading is only .8K in the futures-only report.  This means that the option trade in the A$ has become very active.  The A$ closed quite poorly on Friday but it was the end of the quarter.  With funds now short a record number if futures contracts, selling at the quarter's end should have been expected.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through June 25, 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: 53,496 36,878 24,645 7,688 2,429 5,475 22,967
Change: 2,115 459 2,788 449 90 -13 -1,983
 % Open Interest: 68.9 46.1 14.4 4.5 10.2 42.9
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 270,757 87,283 68,235 53,775 55,553 84,930 102,200
Change: 4,611 -4,260 -4,635 -2,761 -9,081 5,002 11,697
 % Open Interest: 32.2 25.2 19.9 20.5 31.4 37.7
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 139,848 33,630 52,996 24,999 28,027 70,517 48,123
Change: -13,922 -13,083 -14,488 -334 -1,121 -3,154 -963
 % Open Interest: 24.0 37.9 17.9 20.0 50.4 34.4
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 208,609 25,073 83,835 19,957 49,538 134,167 45,824
Change: 1,934 2,133 404 2,857 -6,803 -6,390 4,998
 % Open Interest: 12.0 40.2 9.6 23.7 64.3 22.0
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 34,762 9,540 7,533 10,923 11,671 12,995 14,255
Change: -2,622 -5,118 -1,676 -912 -2,006 3,454 1,106
 % Open Interest: 27.4 21.7 31.4 33.6 37.4 41.0
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 128,693 27,144 36,477 25,570 36,444 67,428 47,220
Change: -27,044 11,985 -4,565 3,319 5,493 -36,750 -22,373
 % Open Interest: 100.0 21.1 28.3 19.9 28.3 52.4 36.7
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 11,632 5,377 6,088 1,577 4,126 4,617 1,357
Change: -110 -3,092 -255 -183 272 3,106 -186
 % Open Interest: 46.2 52.3 13.6 35.5 39.7 11.7
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 212,973 17,924 81,303 20,629 46,967 150,875 61,158
Change: 1,125 -9,113 -10,265 1,925 1,694 2,523 3,906
 % Open Interest: 8.4 38.2 9.7 22.1 70.8 28.7
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
To view the COT report data released by the CFTC please see the attached files.

For general information about the COT report please see the article The CFTC Commitments of Traders Report.
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