Monday, 12 August 2013

Australian Dollar Short Sets New Record - COT Report 06 August 2013

CFTC Commitments of Traders (COT) Report 06 August, published 09 August 2013, Technical Analysis.  Speculative selling in the Australian Dollar continued taking the short positions to a record high of 104,269 contracts.  Each contract is A$100,000.  Most of the selling was done prior to the RBA's rate cut to 2.5%.  The market staged a small rally back above .90 after the news was released.  It did not appear there was much short-covering in the A$ after the report.

The total net USD long position was again reduced to 344K from 361K in the previous week.  The largest short positions are in the yen, the Australian Dollar and the British pound.  Considering the price action in the pound, there probably was some short covering after the report's cut-off date of August 6th.

It is unusual when a speculative group flips from one side of the market to the other.  Usually there are no position changes but this week there was one. It is significant that the large specs in the euro moved to a net long position.  The total spec euro position remains short, however, as the small specs are short almost 15K contracts.  The open interest in the euro is quite large.
  • US Dollar Index:  Specs remain long the DI by 31.4K contracts, about a reduction of 1K contracts. The small spec is a 3.9 ratio long, and the large spec is only a 2.1-to-1 long.

  • Euro (EUR/USD):  The big feature for the period is the large spec flipping from a short to a long position in the euro. Their net change was 13.5K to long. Small specs remain short the euro, almost 15K. The OI went up 6.1K to a total of 303.4K. Spreading which is mostly options remains a very large 17% of the market. It will be interesting to watch to so weather the large who will be the winner, the small or the large spec.
  • British Pound Sterling (GBP/USD):  Despite the market action the reduction in the spec short position was minor. The large spec remains the big short by a ratio of 3.2. There was a slight reduction in the OI to 171.1. Spreading which includes options is 9% long for the pound trade.

  • Japanese Yen (JPY/USD):  Specs with short positions did not have a good week. The total spec position remained about the same, 110K. Large specs remain the big short by a 5.3 to 1 ratio, and increased their position by 1.6K. Spreading is large, 10.6% of the 210K total in the yen. he yen gained almost 250 pips on the USD for the week.

  • Swiss Franc (CHF/USD):  The small specs were active ttaking long positions and reducing their shorts. They do remain short the Swissie, but not by much.  Small specs are bigger players in the SF than the big specs.  Large specs are practically even in the SF.  Open interest is small.
  • Canadian Dollar (CAD/USD):  Large specs made a small decrease to their short position as did the small specs.  The total of the small spec positions is larger than the ig specs.  This is unusual for the C£.  I suspect in means the big specs do not know what to do with the loonie.  For the C$, the OI is small.

  • New Zealand Dollar (NZD/USD):  The OI in the NZ$ is so small, it is hardy worth discussing.  Both size specs are short but not by much.

  • Australian Dollar (AUD/USD):  The OI continues to up in the A$ and is now the second largest traded currency.  It has 25K more contracts open than the yen, a much bigger economy.  Large specs have continued to sell the A$ and are now short by a 6.6 to 1 margin.   Small specs are short but only by a 2.2 ratio.  The short position in the Aussie is now a record.  Since the cut-off date for this report of August 6th, there has been a small rally in the A$.  The OI at the CME did not show much reduction in the OI; this means the shorts are still there.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 6, 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: 68,302 49,810 24,736 8,528 2,155 7,792 39,239
Change: 3,763 4,155 4,146 -1,298 -257 543 -490
 % Open Interest: 72.9 36.2 12.5 3.2 11.4 57.4
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 303,367 84,051 82,075 51,489 66,369 116,276 103,372
Change: 6,108 7,543 -6,040 4,006 9 -4,096 13,484
 % Open Interest: 27.7 27.1 17.0 21.9 38.3 34.1
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 171,195 21,050 69,057 20,991 32,822 113,727 53,888
Change: -1,985 1,016 -969 2,027 -75 -4,686 -599
 % Open Interest: 12.3 40.3 12.3 19.2 66.4 31.5
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 210,065 18,619 99,075 19,216 49,529 149,494 38,726
Change: -2,716 1,455 -162 -1,639 86 -3,129 -3,238
 % Open Interest: 8.9 47.2 9.1 23.6 71.2 18.4
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 38,311 8,551 8,803 11,549 12,110 16,778 15,966
Change: 1,338 -791 -1,830 1,299 -786 487 3,611
 % Open Interest: 22.3 23.0 30.1 31.6 43.8 41.7
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 122,753 21,357 32,759 23,274 33,640 69,764 47,996
Change: -3,453 2,119 777 -209 -1,110 -4,106 -1,863
 % Open Interest: 17.4 26.7 19.0 27.4 56.8 39.1
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 11,572 4,595 6,134 2,106 3,335 4,667 1,899
Change: -581 -998 21 -355 225 751 -848
 % Open Interest: 39.7 53.0 18.2 28.8 40.3 16.4
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 235,245 14,014 93,091 20,397 45,590 181,734 77,465
Change: 7,061 -3,881 957 -1,441 2,823 10,097 994
 % Open Interest: 6.0 39.6 8.7 19.4 77.3 32.9
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.
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