Tuesday, 3 September 2013

Speculators Buy the USD

CFTC Commitments of Traders (COT) Report - What Is It?CFTC Commitments of Traders (COT) Report 27 August, published 30 August 2013, Technical Analysis.  Speculators were net buyers of the USD during the period ending August 27, 2013.  Their total net USD long increased to 254,645 contracts, up from 228, 413 in the previous week.  The total USD long peaked on May 28th when it was 540,479 contracts.  More recently, the high was 431,886 on July 16th 2013.
         
Much of the USD long in the most recent week was in the so called commodity currencies.  Buying in the USD versus the C$ was especially strong, and the specs added to their short position in the A$.

We note the long euro position increased to 34.6K contracts long.  Compare this with the the British pound where the specs continue to hold a large 45.5K short in the pound. The euro has been a big loser versus the pound in the last week; this would imply specs may have been coming out of long euro and short pounds.  Is there more to come in this trade?
  • US Dollar Index:  There is very little position change from last week but the biggest change is the correction of a mistage in last week's data.  The total spec long position was reported as 28074 contracts and it should have been 18074.  This week it is down to 17,458 contracts.  The small spec is a 3.5 to 1 long.
  • Euro (EUR/USD):  Large specs increased their net euro long by covering existing shorts. Small specs remained short though by fewer contracts than last week.  The total euro spec long is up to 34,595 contracts.  Market action since the cut off for this report has gone against the longs.  Spreading which includes option trade is up to 17.2% of the total OI, a very large number.
  • British Pound Sterling (GBP/USD):   Specs extended their pound short positions to 45.5K contracts, up from 43.7 last week.  Specs have taken some punishment with their short pound position, but so far no short squeeze.
  • Japanese Yen (JPY/USD):  There was a small increase in the yen short by the large specs, taking their short ratio to 4.3.  Market actions has favored the short late in the past week.   Option trade in the yen is large.  Spreading is 9.9% of the total OI of 211.8K
  • Swiss Franc (CHF/USD):  The total spec long position in the SF was modestly increased to 4.9K, up from 3.7K in the previous week.  The OI in the SF has contracted ever since the SNB pegged to value of the Swissie to the euro. 
  • Canadian Dollar (CAD/USD):  The total OI increased in the C$ by 28K as specs extended their short position in the C$.  That total short is now 40.4k, up from 21.7 in the previous week.  So for the market action was been indifferent to the recent increase in the short position.
  • New Zealand Dollar (NZD/USD):  This has become a very tiny market qith only 12.1K open.  Large specs are nominally long the kiwi, and the small specs have flipped to a short position.
  • Australian Dollar (AUD/USD):  Specs continue to hold a very large short position in the A$, and the total short increased to 91.4K, up from 84.7 last week.  Since the cut off date for this report, the A$ has strengthened against the USD.  Total OI in the A$ climber to almost 216K, the past week, as the A$ remained the second most popular contract to trade.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 27, 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: 74,727 48,878 37,468 8,453 2,404 14,224 31,682
Change: -1,257 -1,352 -668 -69 -137 -27 -642
 % Open Interest: 65.4 50.1 11.3 3.2 19.0 42.4
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 324,037 112,183 70,669 55,059 61,979 101,008 135,603
Change: 2,329 182 -4,224 -1,972 -3,522 571 6,528
 % Open Interest: 34.6 21.8 17.0 19.1 31.2 41.8
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 172,221 29,212 67,965 27,475 34,183 101,528 56,067
Change: 12,131 3,649 2,690 43 2,755 7,852 6,100
 % Open Interest: 17.0 39.5 16.0 19.8 59.0 32.6
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 211,848 23,049 100,363 26,693 48,909 141,085 41,554
Change: 16,614 3,649 10,095 5,804 3,855 5,913 1,416
 % Open Interest: 10.9 47.4 12.6 23.1 66.6 19.6
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 44,709 11,600 11,087 16,146 11,762 16,019 20,917
Change: 938 -472 -586 744 -293 909 2,059
 % Open Interest: 25.9 24.8 36.1 26.3 35.8 46.8
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 149,650 34,378 59,284 23,989 39,534 83,013 42,561
Change: 28,042 9,141 23,257 1,001 5,562 16,301 -2,377
 % Open Interest: 23.0 39.6 16.0 26.4 55.5 28.4
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 12,193 7,463 7,211 2,299 2,351 2,092 2,292
Change: -1,307 -2,297 -159 -90 118 1,026 -1,320
 % Open Interest: 61.2 59.1 18.9 19.3 17.2 18.8
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 215,667 13,111 85,217 17,812 37,143 167,619 76,183
Change: 6,314 2,080 9,087 805 482 1,805 -4,879
 % Open Interest: 6.1 39.5 8.3 17.2 77.7 35.3
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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