Monday, 9 September 2013

Currency Specs Big Buyers of the USD

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 03 September, published 06 September 2013, Technical Analysis.  For the past three weeks the currency specs had been reducing their USD longs.  This changed this past week when they increased their USD long to 304,975 contracts, up from last week's 254,645 contracts.

The biggest shift in positions was in the euro where specs reduced their euro longs from 34.6K to 11.2K.  Also, there was about a 10K increase in the yen and the C$ shorts.  The biggest open interest is now in the euro - 324K - and the yen and the A$, both at 217K.

Trade in the pound continues to be baffling.  Large specs are stubborn shorts and increased their short this week to 49.6K.  This morning the pound forged a new high, and is now trading at levels not seen since mid-June.  How much more will these specs take?
  • US Dollar Index:  The OI went down in the latest week but the total spec long in the DI went up to 19.7K.  The OI was down because the large spec reduced both his long and his short.  The total net spec long increased because the small spec increased his long positions and reduced his shorts.  The small spec is a 5.5 ratio long.

  • Euro (EUR/USD):  There is a difference of opinion between the large specs, who are long the euro, and the small specs who are short.  Both spec groups reduced their long position taking the combined net spec long in the euro down to 11.2.  Last week the long was 34.6.  Spreading remains quite large, 18.6% of the total OI of 324K.

  • British Pound Sterling (GBP/USD):  Large spec continue to carry the short pound position despite it not working.  The total spec short in the pound increased to 49.7, yp frpm 45.4.  Small spec are likewise short the pound. The pound made a three-month high earlier today.
  • Japanese Yen (JPY/USD):  Again specs increased their short position in the yen, taking the total short up to 109.4K.  Large specs are about a 3.9 ratio short, and the small specs re about a 2.4 short.  Spreading is now over 10% of the market.

  • Swiss Franc (CHF/USD):  There was little change in this small market with a skight decress in the OI, and a small decrease in the total SF long position.  Both small and large specs have nominal long SF positions.  On Friday last, the US and Canadian employment reports hurt the C$ shorts.

  • Canadian Dollar (CAD/USD):  The OI was up 10.4K as the large specs increased their C$ short.  The total spec short is now 47.9K, up from 40.5K last week.  The large spec is now better than a 2 ratio short.

  • New Zealand Dollar (NZD/USD):  Large speculators flipped to the short side of this mini market last week. They joined the small specs who had gone short the kiwi in the previous week. 

  • Australian Dollar (AUD/USD):  There has been little movement of positions in this period.  Specs remain massive shorts, 90.1K, down very little from last week.  Large specs are a 7 ratio short.  Trade after the end of the cut off date for this report has damaged the shorts equity.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through September 3, 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: 68,565 42,001 30,223 9,802 1,810 13,183 32,952
Change: -6,162 -6,877 -7,245 1,349 -594 -1,040 1,270
 % Open Interest:
61.3 44.1 14.3 2.6 19.2 48.1
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 324,428 97,585 72,021 45,630 60,018 120,945 132,121
Change: 392 -14,598 1,352 -9,429 -1,961 19,937 -3,482
 % Open Interest:
30.1 22.2 14.1 18.5 37.3 40.7
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 178,296 26,831 69,917 25,582 32,164 112,055 62,387
Change: 6,075 -2,381 1,952 -1,894 -2,020 10,527 6,319
 % Open Interest:
15.0 39.2 14.3 18.0 62.8 35.0
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 217,400 26,990 105,567 19,390 50,198 149,021 39,637
Change: 5,553 3,942 5,204 -7,303 1,288 7,936 -1,917
 % Open Interest:
12.4 48.6 8.9 23.1 68.5 18.2
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 43,394 10,896 10,049 13,260 11,485 17,857 20,479
Change: -1,315 -704 -1,039 -2,887 -277 1,837 -437
 % Open Interest:
25.1 23.2 30.6 26.5 41.2 47.2
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 160,070 30,460 65,057 26,100 39,443 94,810 46,869
Change: 10,421 -3,918 5,773 2,111 -91 11,797 4,308
 % Open Interest:
19.0 40.6 16.3 24.6 59.2 29.3
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 13,105 6,384 7,181 2,094 3,174 4,609 2,732
Change: 912 -1,079 -30 -205 823 2,517 440
 % Open Interest:
48.7 54.8 16.0 24.2 35.2 20.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 216,939 11,954 84,665 19,763 37,190 168,329 78,192
Change: 1,272 -1,157 -552 1,951 47 710 2,009
 % Open Interest:
5.5 39.0 9.1 17.1 77.6 36.0

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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