Tuesday, 30 July 2013

Speculators Reduce USD Long Positions

CFTC Commitments of Traders (COT) Report 23 July, published 26 July 2013, Technical Analysis. Specs were net sellers of the USD in the period ending July 23rd.  The total spec long position in the USD was reduced to 398.1K down from 431.8K.  The reductions in the USD longs came as the USD was sold against the euro, the A$, and the C$.  The biggest change was in the euro.  Short positions were reduced to 48K, down from 65.5K

Short positions in the yen and the pound increased.  The yen short remains a very last 123.3K up from 120.3K in the previous period.  Since the cut off date for this report, the yen has gotten stronger, taking equity from the shorts.

The increase in the spec pound short, taking the total to 68.7K, up from 61.0K in the prior week.  or the total market size, 173K this is a large position.  The large spec has a 3.7 to 1 short.          
  • US Dollar Index:  There were few changes in the DI contract for the week.  Specs reduced their long in the DI from 35.8K to 33.5K contracts.  Small specs, though not big players in the DI, are a 4.2 ratio long down from a 5.3 last week.
  • Euro (EUR/USD):  Speculators were busy reducing their short in the euro during the period.  The total short was reduced from 65.5K to 48K.  Market action after the end of the period probably means the short covering continued. Neither the smallor the large specs are out of balanced shorts.  The trade in options represented in the spreading category is quite large, 16.2% of the total euro market.
  • British Pound Sterling (GBP/USD):  The speculative short position in the pound grew.  Last week the short position was 61k, and now it is up to 68.7K.  Selling was lead by the large spec who is now a 3.7 ratio short.  Specs have a larger percentage short in the pound than they do in the euro.  For the large trader, often hedge funds, a short pound position seems to be fashionable.
  • Japanese Yen (JPY/USD):  There was a small increase in the OI, corresponding to an increase in the short spec yen position.  Specs were short 123.4K, at the end of the period, up from 120.2 last period. Small specs are a 3 to 1 short and the large specs are a 5 ratio short.  Option trade represents about 9% of the total OI.  Market action did not help the shorts toward the end of the week.
  • Swiss Franc (CHF/USD):  Speculators reduced their short in the SF during the period. Spec short positions have been reduced to 9K fro 12.2K in the previous week.  The OI remains small in the Swissie.
  • Canadian Dollar (CAD/USD):  The OI in the C$ continues to shrink, down over 10% in the most recent week.  Specs have reduced their short position from 37.1K to 29.8K.  The market has strengthen, putting pressure on the C$ shorts. 
  • New Zealand Dollar (NZD/USD):  This market has, in the past been dominated by the large specs, presumed to be some sort of hedged funds.  Recently, the big funds have been missing from the market, so the volume of trade has diminished.  Small specs mow have a somewhat large share of the market and are a 2 ratio short.  NZ officials are trying to talk the Kiwi lower.
  • Australian Dollar (AUD/USD):  The OI remains large in the A$, about 209K, same as last week.  The large spec remains a massive 5 to 1 ratio short.  However, the total spec short was reduced to 81.7K from 95.2K last week.  The A$ has been going sideways for several weeks now, and the volatility is coming down
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through July 23, 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: 61,674 46,708 18,587 7,083 1,685 6,121 39,640
Change: -3,555 -3,605 -2,101 -529 259 573 -1,719
 % Open Interest:
75.7 30.1 11.5 2.7 9.9 64.3
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 285,771 62,972 94,397 45,800 62,412 130,782 82,745
Change: 2,606 8,682 1,751 6,814 -3,746 -14,125 3,366
 % Open Interest:
22.0 33.0 16.0 21.8 45.8 29.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 172,852 18,641 69,176 18,986 37,224 120,611 51,838
Change: -1,750 -6,208 6,597 2,267 -2,798 2,108 -5,632
 % Open Interest:
10.8 40.0 11.0 21.5 69.8 30.0
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 224,190 21,449 109,548 18,835 54,092 162,789 39,433
Change: 3,806 2,847 4,514 1,493 2,937 764 -2,348
 % Open Interest:
9.6 48.9 8.4 24.1 72.6 17.6
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 37,598 6,089 11,703 10,119 13,555 20,347 11,296
Change: -5,303 -4,451 -3,916 2,147 -1,492 -3,023 81
 % Open Interest:
16.2 31.1 26.9 36.1 54.1 30.0
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 134,248 21,051 38,964 24,094 36,024 81,192 51,348
Change: -14,066 -10,275 -13,015 1,342 -3,245 -5,684 1,643
 % Open Interest:
15.7 29.0 17.9 26.8 60.5 38.2
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 12,613 4,517 6,363 1,971 4,007 6,125 2,243
Change: -291 293 -605 -282 -249 -278 587
 % Open Interest:
35.8 50.4 15.6 31.8 48.6 17.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 208,923 15,604 79,506 21,718 39,546 157,571 75,840
Change: -110 -2,510 -9,494 2,610 -3,914 -893 12,615
 % Open Interest:
7.5 38.1 10.4 18.9 75.4 36.3
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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