Monday, 22 July 2013

Specs Remain Friendly to the USD

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 16 July, published 19 July 2013, Technical Analysis. Specs were again sellers of other currencies versus the USD. The total net USD long position has grown to 431.8K contracts, up from 412.2 contracts last week and 222.8K contracts in the last four weeks. The biggest long USD position is against a short yen, followed by short A$, and then the euro and the pound.

The Australian Dollar, the Canadian and the New Zealand Dollar are deemed commodity currencies, and supposedly trade in the same direction a good part of the time. Currently specs are short all three currencies, for a total of 137.1K contracts. This is the biggest long USD and short commodity contracts in over ten months.

Most of the commodity currency short is held by specs is in the A$. Part of the A$ short was assumed in early May when the currency was tumbling down for above 100 and by June 16th the A$ was only trading a little above 92. Most of the 90+K short was established by then. The market did trade under the 90 handled, briefly, but for the last five weeks, specs are going side ways or not making money in their position. While most specs have profits in their short positions, when will these shorts start covering?
  • US Dollar Index: There was a reduction in the long position in the DI by the small specs, but they still remain an out of balanced 5.3 ratio long.  Speculators remain long the DI contract, but did have a small reduction of the long position in the latest period

  • Euro (EUR/USD): There was little change in the euro during the poast week.  The total spec net short in the euro increased to 65.5K, up from 62.1 in the prior week.  To the extent there were any changes, we noted that the large spec reduced his new euro short and the small spec increased his short.  Neither group has an out-of-balanced short position.  Spreading represents a large 15.9% of the total OI.

  • British Pound Sterling (GBP/USD): The total net spec short in the pound increased to 61K from 54K in the prior report.  Both size specs are now about a 2.5 ratio short the pound.  The net short position was increased position was increased, primarily by selling longs.  The short position has been a losing trade during the past week.  Spreading, mostly option trade, is 8.3% of the market.

  • Japanese Yen (JPY/USD): The large spec, probably hedge funds, have a very large short bet  on the yen and there was a slight increase in the most recent period.  They are short by a 5.6 ratio.  Total short positions in both size specs is now 120.2K.  Open interest in spreading is large, over 10%.  This currency has the highest spec participation in one side of the market.

  • Swiss Franc (CHF/USD):   Large specs did increase their shorts but the OI is very small in the Swissie.   Both Spec groups are short the SF but their positions are not big.
  • Canadian Dollar (CAD/USD):  There was a small reduction in the total C$ net short to 37.1K, down from 40.4K in the previous week.  There was also a small reduction in the C$ OI.The market has been working against the shorts since the end of the report.

  • New Zealand Dollar (NZD/USD):  The OI is bigger in this small market when the specs are bullish.  This presently is not the case as both groups are short.  Small specs increased their shorts in the last week and the big shorts reduced them.  During the past week, the market has been working higher in the kiwi.

  • Australian Dollar (AUD/USD): The OI in the A$ went up as specs increased their A$ shorts.  The total spec short is back around the old high, 95.2K.  Small specs are only a 2 ratio short, but the large specs are almost a 5 to 1 short.  Spreading trade, usually options trade, has become more active and is now 6.4% of the total OI.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through July 16, 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: 65,230 50,313 20,688 7,612 1,426 5,548 41,359
Change: -5,309 -3,633 -4,134 -1,617 -398 -7 -725
 % Open Interest: 77.1 31.7 11.7 2.2 8.5 63.4
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 283,165 54,290 92,646 38,986 66,158 144,907 79,380
Change: -3,190 968 -727 -9,338 -4,258 5,086 1,700
 % Open Interest: 19.2 32.7 13.8 23.4 51.2 28.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 174,602 24,849 62,579 16,719 40,022 118,503 57,470
Change: 5,536 -6,985 -2,899 -2,800 86 14,652 7,680
 % Open Interest: 14.2 35.8 9.6 22.9 67.9 32.9
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 220,383 18,602 105,034 17,343 51,155 162,025 41,781
Change: -2,729 -5,960 977 -858 -3,595 4,204 5
 % Open Interest: 8.4 47.7 7.9 23.2 73.5 19.0
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 42,902 10,540 15,619 7,972 15,048 23,370 11,215
Change: 1,050 -1,479 1,536 -376 -753 2,810 173
 % Open Interest: 24.6 36.4 18.6 35.1 54.5 26.1
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 148,314 31,325 51,980 22,752 39,269 86,876 49,705
Change: -5,120 -5,626 -8,646 -1,332 -1,546 941 4,175
 % Open Interest: 21.1 35.0 15.3 26.5 58.6 33.5
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 12,904 4,224 6,968 2,253 4,256 6,403 1,656
Change: 392 -1,166 570 162 -336 1,400 162
 % Open Interest: 32.7 54.0 17.5 33.0 49.6 12.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 209,032 18,114 89,001 19,109 43,460 158,464 63,226
Change: 9,630 -1,880 5,148 727 -1,092 8,877 3,668
 % Open Interest: 8.7 42.6 9.1 20.8 75.8 30.2
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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