Tuesday, 24 September 2013

Speculators Sell Out Long USD Positions

CFTC Commitments of Traders (COT) Report 17 September, published 20 September 2013, Technical Analysis.  Not since the last week in February of 2013 has the composite USD long position been this small. Last week it was 314,182 futures and delta-adjusted option contracts. This week it is down to 189, 074 contracts, and on 26 February 2013 it was 178, 781 contracts.

There are a variety of reasons for the decline in the popularity in the USD. Remember, there had been largely unprofitable positions, at least in the recent trade in the Australian Dollar and the British Pound, versus the USD. In addition, it looks like there was buying of the euro versus selling of the USD which may have pressure the USD as well as September contract liquidation.

Recently, there has been buying in the pound and the euro versus selling in the USD in the apparent initiation on new positions. Will this continue? It will be best to monitor the changes in the open interest.
  • US Dollar Index:  There was little change in the DI position change during the past week. Specs are still long better than 28K contracts, and the small specs are a 3 ratio long.

  • Euro (EUR/USD):  The Large spec made a large addition to their stake in their position of the long side of the euro causing the specs to flip to the long side. Spreading is a very large 15.7% of the total 277K OI which indicates a very busy option trade.

  • British Pound Sterling (GBP/USD):  Specs after being short the pound for a lengthy period of time have finally gotten even in the pound. There was big liquidation in the open interest with the expiration of the September contract and all positions are now nearly in balance.

  • Japanese Yen (JPY/USD):  The yen remains an immensely popular currency that the specs prefer to be short. Small specs re a 3.3 ratio short and the large specs are a 4.4 ratio short. The total short is 124K contracts.

  • Swiss Franc (CHF/USD):  Like other contracts in this weeks report, the SF has been reduced to where the OI shows there is little interest in the Swissie.

  • Canadian Dollar (CAD/USD):  There was a sizable reduction in the net spec short spec positation down to 24.2K in the latest period. Most was done by the large non commercial reporting position.

  • New Zealand Dollar (NZD/USD):  Specs have flipped back to the long side of the Kiwi in the latest period though they do not have as big of a position as they have had at time in the past. Will they continue to build this position?

  • Australian Dollar (AUD/USD):  There was large liquidation in the Aussie Dollar at the end of trading in the end of the September contract. The total OI was down about 51K contracts and is now less than the OI in the pound and the yen. No longer are the large specs 6- and 7-to-1 ratio shorts.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through September 17, 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: 68,943 45,036 23,346 8,908 2,265 12,486 40,818
Change: -2,332 1,833 1,152 -2,069 -1,437 -8 41
 % Open Interest:
65.3 33.9 12.9 3.3 18.1 59.2
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 276,717 98,991 65,708 43,774 57,366 90,443 110,133
Change: -34,970 18,781 -435 -3,190 -3,886 -48,118 -28,207
 % Open Interest:
35.8 23.7 15.8 20.7 32.7 39.8
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 161,645 43,397 49,326 37,137 30,382 69,255 70,081
Change: -39,210 10,332 -19,921 3,683 -2,283 -49,743 -13,524
 % Open Interest:
26.8 30.5 23.0 18.8 42.8 43.4
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 202,727 25,981 114,432 14,954 50,525 147,306 23,284
Change: -19,325 7,655 1,522 -4,452 -4,916 -12,937 -6,340
 % Open Interest:
12.8 56.4 7.4 24.9 72.7 11.5
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 31,286 9,978 9,354 10,421 11,296 10,066 9,815
Change: -9,537 -683 -755 -1,399 -2,830 -6,919 -5,415
 % Open Interest:
31.9 29.9 33.3 36.1 32.2 31.4
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 152,821 24,959 43,968 24,929 30,195 95,893 71,617
Change: 6,248 653 -11,163 2,274 -4,813 1,693 20,597
 % Open Interest:
16.3 28.8 16.3 19.8 62.7 46.9
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 15,842 12,463 6,806 2,461 1,989 913 7,042
Change: 745 4,395 -1,863 82 -634 -3,588 3,386
 % Open Interest:
78.7 43.0 15.5 12.6 5.8 44.5
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 146,545 29,500 55,594 18,313 30,557 89,061 50,723
Change: -51,456 21,033 -11,547 -1,194 -4,163 -60,864 -25,315
 % Open Interest:
20.1 37.9 12.5 20.9 60.8 34.6


To view 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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