Tuesday, 1 October 2013

USD Long Falls Sharply

CFTC Commitments of Traders (COT) Report 24 September, published 27 September 2013, Technical Analysis.  Once again, and in the latest reporting period, the total USD aggregate long fell sharply to 73,006 contracts.  As is usually the case, there are some cross currents within the major trends. 

For months, one of the favored speculator shorts has been the Euro and its first cousins the Swiss Franc, but this trend began to turn several weeks ago.  Now, the Euro and the Swissie are combined - 74K longs versus the USD. 

With the pending ECB Meeting in Europe, and the budgetary crisis in Washington, this should be worth watching.

The other big positions are in the yen and the Australian Dollar, both short versus a long USD position.  In a fashion, these could be considered cross trades, short the yen and long the euro but since the trades are made in USD's that is not a good fit.

Volatility should be expected this week.
  • US Dollar Index:  Specs remain long the DI but they have cut their long position sharply to a mere 8K contracts from 28.8K in the prior reporting period.  Small specs are a 2.5 ratio long and the large specs are nearly flat.

  • Euro (EUR/USD):  Large specs continue to buy the euro and for the first time in 2013 are now long the euro versus the USD by better than a 2-to-1 margin.  During the latest period, the OI was up over 10% to 324K.

  • British Pound Sterling (GBP/USD):  At long last the large specs have joined the small specs on the long side of the pound.  Neither position is very aggressive and the total position is only a little over 10K contracts.  Better arriving late at the party than not at all.

  • Japanese Yen (JPY/USD):  The yen shorts remain committed to their cause and have even made modest increases to their shorts in the latest period.  The total is now up to almost 128K as the large shorts are a 6.2-to-1 ratio short.  Since the Tuesday cut-off date for this report, there has been pressure on the yen shorts.

  • Swiss Franc (CHF/USD):  As so often happens, the SF and the euro travel together.  Both the euro and the SF spec positions have flipped to spec long positions in those two currencies during the latest periods.  There is nothing tentative about this switch, with the total long in those two currencies about 79K contracts versus longs of only 19K in the prior period.

  • Canadian Dollar (CAD/USD):  It looks like the final September contracts were liquidated during this period.  Neither the small or the large short seems very excited about either side of the market.

  • New Zealand Dollar (NZD/USD):  Once again the Kiwi bulls have awakened, the open interest is still small but growing as the bulls mount their forces.  So far, they are only 2-to-1 ratio longs and the total OI is less than 20K.  There might be more to go.

  • Australian Dollar (AUD/USD):  The Australian bear remains stubborn, especially the big ones where they are almost a 3-to-1 short.  The OI was flat for the period, and the daily chart suggest another sell-off might be in order, now that the short covering is over with.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through September 24, 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: 53,945 37,636 33,950 7,162 2,816 7,261 15,293
Change: -14,997 -7,399 10,604 -1,746 552 -5,225 -25,525
 % Open Interest:
69.8 62.9 13.3 5.2 13.5 28.3
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 324,314 127,295 60,936 52,172 54,767 93,287 157,051
Change: 47,597 28,305 -4,772 8,398 -2,599 2,845 46,918
 % Open Interest:
39.3 18.8 16.1 16.9 28.8 48.4
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 185,459 49,141 47,303 39,650 31,040 82,355 92,802
Change: 23,813 5,745 -2,023 2,513 658 13,100 22,722
 % Open Interest:
26.5 25.5 21.4 16.7 44.4 50.0
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 201,986 17,794 110,078 14,438 50,111 154,155 26,197
Change: -742 -8,187 -4,354 -516 -414 6,848 2,914
 % Open Interest:
8.8 54.5 7.1 24.8 76.3 13.0
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 41,921 15,095 9,321 18,998 9,343 6,980 22,409
Change: 10,635 5,117 -33 8,578 -1,953 -3,087 12,594
 % Open Interest:
36.0 22.2 45.3 22.3 16.6 53.5
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 130,451 39,681 45,628 28,179 27,644 56,961 51,549
Change: -22,369 14,723 1,660 3,250 -2,552 -38,932 -20,068
 % Open Interest:
30.4 35.0 21.6 21.2 43.7 39.5
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 19,621 15,470 7,415 3,301 1,819 845 10,382
Change: 3,779 3,007 609 840 -170 -68 3,340
 % Open Interest:
78.8 37.8 16.8 9.3 4.3 52.9
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 146,506 19,423 52,780 19,706 28,024 95,400 53,725
Change: -40 -10,078 -2,814 1,393 -2,533 6,339 3,002
 % Open Interest:
13.3 36.0 13.5 19.1 65.1 36.7

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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