Monday, 26 August 2013

Speculators Continue to Sell USD - COT Report 20 August 2013

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 20 August, published 23 August 2013, Technical Analysis.  From a high of 431.8K contracts on July 16th, the total USD spec long has slipped  to 238.4 in the current report.  The biggest shift during this period has been in the euro.  In the July 16th report, specs were short 65.5K.  The most recent report shows the specs have flipped their position, and are now long 28.6K.

The big short positions, versus the USD, remain in the yen and the A$.  The total yen short has been somewhat reduced to 95K, while the A$ position has been reduced to 84.7K  Should those short positions remain and the euro buying continues, we would eventually have a long euro short yen and Aussie position.

The short position in the pound remains perplexing, considering the pound's strength.  Currently, the pound short is 43.7K contracts. This is a reduction from over 68K on July 23rd - however, this is a big losing position to carry.  The shorts did get some relief late last week.
  • US Dollar Index:  Both size specs made small reductions in their long DI positions.  The large specs made this adjustment by selling over 4K contracts, and buying little.  Small specs are not active in this market but they are a 3.4 ratio short.
  • Euro (EUR/USD):  The total OI increased by 31.2K caused primarily by the large spec increasing their long position.  Total OI is now up to 321.7K as the total spec long in the euro is up to 28K.  The spreading and option trade is quite large, 16.2% of the total market.  It looks like most of the buying last week and Monday ran the market up to a new movement high, and has since stalled.
  • British Pound Sterling (GBP/USD):  Despite the strong pound price action specs contine to cling to their short pound positions.  For the entire market there was a short reduction of a shade less than 14K, but collectively the specs remain short 43.7K.  Big specs are a 2.5 ratio short.
  • Japanese Yen (JPY/USD):  The total spec short position in the yen remains large, 95K.  Large specs continue with their big bear bet in the yen, and are a 4.6 ratio short.  The option trade is also large, over 10% of the 195K open interest.  Since the end of the period, the yen has weakened, helping the shorts.
  • Swiss Franc (CHF/USD):  Small specs are the larger player in the SF.  Last period they added to their long position by 2.5K and reduced their short by .5K.  They hold 35.2% of the total market.  Large specs ate about evenly divided, long 27.6% and short  26.7%
  • Canadian Dollar (CAD/USD):  Trade in the C$ is lethargic.  Both size specs are short the C$ but have changed their position very little over the past two weeks.  Market action last week confirmed the shorts are on the right track.
  • New Zealand Dollar (NZD/USD):  Small specs are not big players in the Kiwi but they did make a minor move to the long side.  They join the large specs who are also a small long. Market action after the end of this report was harmful to the NZ$ longs.
  • Australian Dollar (AUD/USD):  Though the spec shorts have made minor reductions in their short positions, the large spec remains a short by a 6.9 ratio, and the small spec is a mere 2.2 to 1 short.  The total spec short is 84.7K.  The total OI is 209.3, second in terms of the total OI to only the euro.  The spreading and option trade is now  7.4% of the total OI. 
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 20, 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: 75,984 50,230 38,137 8,522 2,541 14,250 32,324
Change: 1,058 654 4,021 -164 94 268 -3,358
 % Open Interest: 66.1 50.2 11.2 3.3 18.8 42.5
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 321,707 112,001 74,893 57,032 65,501 100,437 129,075
Change: 33,183 23,623 1,814 7,600 -174 -3,514 26,070
 % Open Interest: 34.8 23.3 17.7 20.4 31.2 40.1
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 160,090 25,563 65,275 27,432 31,428 93,676 49,968
Change: -3,476 3,832 -2,751 5,997 -750 -15,115 -1,785
 % Open Interest: 16.0 40.8 17.1 19.6 58.5 31.2
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 195,234 19,400 90,268 20,889 45,054 135,172 40,138
Change: 4,912 2,670 -633 468 -1,995 -93 5,672
 % Open Interest: 9.9 46.2 10.7 23.1 69.2 20.6
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 43,771 12,072 11,674 15,402 12,054 15,111 18,857
Change: 3,814 1,445 3,019 2,527 -486 -491 948
 % Open Interest: 27.6 26.7 35.2 27.5 34.5 43.1
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 121,608 25,237 36,027 22,988 33,971 66,712 44,938
Change: 4,718 4,696 5,180 -623 819 267 -1,659
 % Open Interest: 20.8 29.6 18.9 27.9 54.9 37.0
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 13,500 9,760 7,370 2,389 2,233 1,066 3,612
Change: 1,524 3,128 935 -47 -518 -1,659 1,005
 % Open Interest: 72.3 54.6 17.7 16.5 7.9 26.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 209,353 11,032 76,130 17,007 36,661 165,815 81,062
Change: 709 1,161 1,673 -1,569 -2,122 476 517
 % Open Interest: 5.3 36.4 8.1 17.5 79.2 38.7


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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