Tuesday, 17 September 2013

Speculators Buy the Aussie, Sell the Yen

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 10 September, published 13 September 2013, Technical Analysis.  Speculators have been massive shorts in both the yen and the Australian Dollar.  During the week, the reduced the short position in the A$ to 73,887 contracts, from 90,134 in the previous period.  In the yen, they went the opposite direction, increasing their short from 109,384 to 130,619.  Speculators have been hurt in both markets if they have carried these positions through this mornings markets.

For weeks now we have warned about the possibility of a short squeeze in the pound. We wonder if Monday morning's gap above the 1.59 handle may not be a blow-off needed to give us a top. 

We note there is ambivalence in the euro, the most highly-traded contract.  There are two central bank meetings this week in Frankfurt, and Washington which may provide some direction.

  • US Dollar Index:  Specs increased their net long position in the DI by 8.5K.  Small specs are now a 3 ratio long and the large specs are a 2-to-1 long.  Positions do not seem to be changing that much in recent weeks.

  • Euro (EUR/USD):  Specs are within 221 contracts of being dead even in the euro.  the large specs and the small specs disagree, however.  Large specs are long the euro and the small specs are short.  The OI was down 12.7K with all of the reduction in spreading when the OI expired in the September options.  The total spec position has flipped to the short side of the USD for the first time in a month.

  • British Pound Sterling (GBP/USD):  The large specs remain short by a little better than a 2 to 1 margin, while the little specs has flipped to a small long position.  We remain more than a little curious just why the large specs have stayed short the pound despite the big rally in the pound, since the pound continues to take their money.

  • Japanese Yen (JPY/USD):  There is no disagreement here, as both size specs added to their shorts in the yen.  Small specs are a marginal 2.8-to-1 short while the large specs are a six ratio short.  The total spec short in the yen is up to over 130K long contracts.

  • Swiss Franc (CHF/USD):  Small specs, who actually have larger positions is the SF than the big specs, flipped to the short side of the SF.  Large specs are long the SF but the tital spec position, because of the small specs busy week, has been to flip the total spec position to the short side of the Swissie.

  • Canadian Dollar (CAD/USD):  Both size spec groups remain short the C$, the large specs by a 2 to 1 margin.  The position did go down to 43.2K from 47.9 as the total open interest in the loonie dropped about 9%.  Specs have been out of touch with the strengthening C$.

  • New Zealand Dollar (NZD/USD):  There is little going on in this very small market.  Both size specs are shaort small numbers in the Kiwi, but a small reduction from positions the previous week.

  • Australian Dollar (AUD/USD):  Some of the extreme short positions in the A$ have been tapered but shorts are still the features in this market..  Last week specs were short 90.1K, but the position has been reduced to a mere 73.9K in this report.  Total OI in the A$ was the second largest contract open but has now slipped to fourth behind the euro, yen and the pound.  Large specs remain a very much out of balance 7.6 ratio short.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through September 10, 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: 71,275 43,202 22,194 10,976 3,702 12,494 40,777
Change: 2,710 1,201 -8,030 1,175 1,892 -689 7,824
 % Open Interest:
60.6 31.1 15.4 5.2 17.5 57.2
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 311,687 80,209 66,143 46,964 61,252 138,560 138,339
Change: -12,741 -17,375 -5,878 1,334 1,234 17,616 6,219
 % Open Interest:
25.7 21.2 15.1 19.7 44.5 44.4
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 200,855 33,065 69,247 33,454 32,665 118,998 83,604
Change: 22,559 6,234 -670 7,872 502 6,943 21,218
 % Open Interest:
16.5 34.5 16.7 16.3 59.2 41.6
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 222,052 18,327 112,911 19,406 55,441 160,243 29,624
Change: 4,651 -8,664 7,344 16 5,243 11,222 -10,013
 % Open Interest:
8.3 50.8 8.7 25.0 72.2 13.3
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 40,823 10,661 10,109 11,820 14,127 16,985 15,230
Change: -2,571 -235 60 -1,440 2,642 -872 -5,249
 % Open Interest:
26.1 24.8 29.0 34.6 41.6 37.3
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 146,572 24,305 55,131 22,655 35,008 94,199 51,021
Change: -13,498 -6,154 -9,927 -3,445 -4,434 -610 4,151
 % Open Interest:
16.6 37.6 15.5 23.9 64.3 34.8
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 15,097 8,068 8,669 2,379 2,623 4,501 3,656
Change: 1,992 1,684 1,488 285 -551 -108 924
 % Open Interest:
53.4 57.4 15.8 17.4 29.8 24.2
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 198,001 8,467 67,141 19,507 34,719 149,925 76,038
Change: -18,938 -3,487 -17,524 -257 -2,471 -18,404 -2,153
 % Open Interest:
4.3 33.9 9.9 17.5 75.7 38.4

To view the COT report data released by the CFTC, please see the attached files:
For general information about the COT report please see the article The CFTC Commitments of Traders Report.
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