Tuesday, 9 July 2013

Big Demand For The USD

CFTC Commitments of Traders (COT) Report 02 July, published 08 July 2013, Technical Analysis. There was aggressive demand for the USD revealed in the latest COT report. The total USD long versus short another currency increased from 222.9K to 326.3K in just a week. While this is a large weekly increase, the total falls far short of the record USD long of 540.4K the last week in May.

The biggest re-positioning came in the euro. Specs had gotten long the euro, and that trade did not work out. They promptly flipped from their long of 17.3K to a short euro position of 23K. Recent market action has favored the shorts.

The other large short positions are in the yen and the A$. The yen short is back up over 100K and the A$ short is a new record at 95.3K. When do these positions become over crowded?
  • US Dollar Index: Both the small and large specs added to their long positions last week. The total spec long is up to 21.5K from 17.5 in the previous week. The small spec is a 3.7 ratio long, though he has little size in the DI market.

  • Euro (EUR/USD): Large specs moved to the short side of the euro, flipping their position by big numbers during the period. The large spec is now 22.4K contracts short, compared to a long position of 17.2K last week. Small specs remained short the euro and increased their position by almost 9K contracts. Market action favored the euro shorts and continued to do so after the cut off for this report. Spreading is a very large 18.4% of the OI, mostly options.

  • British Pound Sterling (GBP/USD): The spec short position in the pound went from 22.3K to 46K in one week. Both size specs are now approaching a 2-to-1 ratio short. Market action since the trading cut off for the report helped the spec position until today.

  • Japanese Yen (JPY/USD): Specs increased their short yen position to 103.6K, from 88.3K in the prior week. Large specs are now a 3.5 ratio short and the small spec is a 2.7. The OI was up 22.4K for the week on a down market. Spreading, likely options, is a large 14.1% of the total market. Market action has continued to favor the yen bears.

  • Swiss Franc (CHF/USD):  Like the NZ$, trade in the SF has contracted. Both size specs are nominal short in the SF.

  • Canadian Dollar (CAD/USD): The OI in the C$ has been increasing, going from 129K to 147K in the most recent report. In that process both big and small specs have increased their short C$ position which is now up to almost 30K.Both size specs added to their short positions in the C$.  The total spec short has increased from 20.2K to 30K.  Neither size spec has an out of balance position.  The total OI grew by almost 18K.

  • New Zealand Dollar (NZD/USD): This market has become tiny. Small specs are now a 2.3 ratio short. Large specs are likewise short and the total spec short position has grown to 3.6K.

  • Australian Dollar (AUD/USD): The record short in the A$ continues to grow, taking the total short up to a new record of 95.3K. Small specs made a small reduction in their shorts but the big spec continued to pile on. Small specs are a 2.1 ratio short while the big spec is a 5.2 ratio short. The short side is probably getting very crowded. Spreading is now 12.1% of a very large OI, 233.1K.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through July 2, 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: 56,391 39,952 24,348 8,040 2,164 5,401 26,881
Change: 2,895 3,074 -297 352 -265 -74 3,914
 % Open Interest: 70.8 43.2 14.3 3.8 9.6 47.7
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 261,718 60,050 72,273 49,028 59,822 104,405 81,388
Change: -9,038 -27,233 4,038 -4,746 4,270 19,475 -20,812
 % Open Interest: 22.9 27.6 18.7 22.9 39.9 31.1
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 151,507 32,083 63,094 19,327 34,335 88,074 42,056
Change: 11,660 -1,547 10,098 -5,671 6,307 17,557 -6,067
 % Open Interest: 21.2 41.6 12.8 22.7 58.1 27.8
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 231,026 27,467 96,135 19,856 54,820 151,187 47,556
Change: 22,416 2,394 12,300 -101 5,282 17,021 1,732
 % Open Interest: 11.9 41.6 8.6 23.7 65.4 20.6
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 34,972 8,365 9,062 9,969 12,553 15,249 11,969
Change: 210 -1,175 1,530 -954 882 2,255 -2,286
 % Open Interest: 23.9 25.9 28.5 35.9 43.6 34.2
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 146,676 35,427 50,076 24,025 39,322 77,135 47,189
Change: 17,983 8,283 13,599 -1,545 2,878 9,708 -31
 % Open Interest: 24.2 34.1 16.4 26.8 52.6 32.2
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 12,384 5,288 6,462 1,895 4,391 5,151 1,481
Change: 752 -89 374 318 265 534 124
 % Open Interest: 42.7 52.2 15.3 35.5 41.6 12.0
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 223,120 16,995 88,823 21,281 44,737 157,958 62,673
Change: 10,147 -929 7,520 651 -2,230 7,083 1,515
 % Open Interest: 7.6 39.8 9.5 20.1 70.8 28.1
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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