Monday, 15 July 2013

COT Report 09 July 2013 - Buying in the USD Continues

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 09 July, published 12 July 2013, Technical Analysis. Buying in the USD continued in a big way in the latest COT week.  The total USD long versus a short in other currencies soared to 412,239 contracts as opposed to 326,327 the previous week; this is still less than the USD long reported in the May 28 report, 540,478, but it is a big number - a very big weekly increase.

Short positions in all of the currencies increased except those positions in the A$ and the NZ$.  The long in the DI, a long USD position, was also increased. 

There was a big rally in the euro after the cut-off for this report.  With this run-up, there was no doubt pressure on the new euro shorts.  Market action since the end of the report, harming the shorts, was much the same in the pound. Likewise in the yen, there was some strength after the cut off for the report but the yen has again weakened today.

The market action in the A$ was of little concern for the big shorts there, though they did make a minor reduction of their short positions.  We note the weekly RSI is under 22.  This market has been going down for a long time.
  • US Dollar Index: There was an increase in the DI open interest to 70K as both size specs bought the DI.  Small specs are now a 5 ratio long, and the large spec is a 2 ratio long.  Total spec long is up to 36.5K from 21.5K.

  • Euro (EUR/USD): Specs were busy selling the euro during the period, as the OI climbed to 286.3K.  The total short position in the euro is rising, now up to 62.1K, but neither spec groups is yet to reach a 2 ratio short.  Spreading which included the option trade is now quite large, 15.7% of the total OI.

  • British Pound Sterling (GBP/USD): Like the euro, specs are short the pound, and increased their position.  The total OI was up 10% primarily the result of commercial buying and selling and the small spec selling in the pound. The option trade has become lively, up to 8.2% of the total OI.

  • Japanese Yen (JPY/USD): The yen remains a favorite spec short.  In the last period the short was increased from 103.6K to 116K.  This is not a record short but the small spec a 3.0short, and the large spec a 4.2%.  The option trade is flourishing with the total options and spread trade a 10.7 of the big OI or 22.5K.

  • Swiss Franc (CHF/USD):  The OI is starting to increase again in the SF after dropping to the smallest amount in weeks.  Specs are short the SF, and the small spec has, collectively a bigger position than the large specs.   Still the total spec short position is only 9.5K.

  • Canadian Dollar (CAD/USD):  The popularity of the USD may be putting some pressure on the C$.  The spec C$ short position went up to 40.4K, from 29.9K in the prior period.  The OI is up to 153, but the amount of spreading or option trade is only 4.2% of the total Open.

  • New Zealand Dollar (NZD/USD):  The OI in the VZ$ remains small, only 12.5K. Both spec groups are short the kiwi, but the small spec with a 2.2 ration short, is more aggressive.

  • Australian Dollar (AUD/USD): The big open interest in the Aussie did decline this week to under 200K contracts.  Despite the 23.7K reduction the large spec short position only decreased from a record 95.3K to 90K.  The small spec remains a 2.4 ratio short and the large spec is a 4.2-to-1 short.  There has been little market incentive for the specs to cover their shorts.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through July 9, 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: 70,538 53,945 24,821 9,229 1,824 5,555 42,084
Change: 14,148 13,994 474 1,189 -340 154 15,203
 % Open Interest: 76.5 35.2 13.1 2.6 7.9 59.7
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 286,356 53,322 93,372 48,325 70,417 139,821 77,679
Change: 24,637 -6,728 21,099 -704 10,594 35,416 -3,708
 % Open Interest: 18.6 32.6 16.9 24.6 48.8 27.1
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 169,066 31,834 65,479 19,519 39,936 103,852 49,789
Change: 17,558 -249 2,384 191 5,601 15,777 7,734
 % Open Interest: 18.8 38.7 11.5 23.6 61.4 29.4
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 223,112 24,562 104,057 18,201 54,750 157,821 41,777
Change: -7,914 -2,906 7,922 -1,656 -70 6,634 -5,779
 % Open Interest: 11.0 46.6 8.2 24.5 70.7 18.7
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 41,852 12,019 14,083 8,348 15,801 20,560 11,042
Change: 6,880 3,654 5,021 -1,622 3,248 5,311 -926
 % Open Interest: 28.7 33.6 19.9 37.8 49.1 26.4
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 153,434 36,952 60,625 24,084 40,815 85,935 45,531
Change: 6,758 1,525 10,549 59 1,493 8,800 -1,658
 % Open Interest: 24.1 39.5 15.7 26.6 56.0 29.7
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 12,512 5,390 6,398 2,091 4,592 5,003 1,494
Change: 128 102 -64 196 201 -148 13
 % Open Interest: 43.1 51.1 16.7 36.7 40.0 11.9
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 199,402 19,994 83,853 18,381 44,552 149,587 59,557
Change: -23,718 2,998 -4,970 -2,899 -186 -8,370 -3,116
 % Open Interest: 10.0 42.1 9.2 22.3 75.0 29.9

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.
Facebook Excel Markets Tweet Excel Markets Reddit Excel Markets Digg Excel Markets

No comments:

Post a Comment