Monday, 11 November 2013

Speculators Heavy USD Buyers - COT Report 05 November 2013

CFTC Commitments of Traders (COT) Report 05 November 2013, published 08 October 2013, Technical Analysis.  For the first time in nine weeks, spec long positions in the USD has increased.  The total USD long is now up to 93,646 contracts, compared to only 12,746 contracts last week.  Shorts reduced their short position in the Euro and the SF.  The biggest reduction in short positions was in both the euro, and the SF.

There was an increase in the DI long, up to 10.8K contracts, the Japanese interest short, back up above 100K again.

There was selling of both the Canadian and the Australian Dollar, as the commodity currencies lose their appeal.
  • US Dollar Index: The OI fell about 18% caused primarily by the large specs reducing their short USD position.  In this process the large specs added to their long position taking it up to 31.5k versus only 24.4K on the short side.  Small specs remain better than a 2 ratio long.
  • Euro (EUR/USD): The OI tumbled from 381 to 355 contracts in the week.  Most of the reduction came large specs selling almost 30K long contracts.  Commercials reduced their shorts.  The s[ecs remain long almost 37K contracts. down from a long last week of 64.2K contracts.  Spreading, mostly option trade, remains a very large 20.3% of the total market.  Recently, the long euro has been a loser.
  • British Pound Sterling (GBP/USD):There was a slight decrease in the OI as the large specs flipped to the short side of the pound.  The large spec is now short and the small spec is long sterling.  It looks like the large specs are trying to call a high on the pound versus the USD.
  • Japanese Yen (JPY/USD): The yen bears have returned, taking the OI up about 22K.  This week the spec short was up to 108.4K from 91.9K in the previous week.  The yen has weakened versus the USD after the cut off for this report.
  • Swiss Franc (CHF/USD): As was the case with the euro, the spec long in the SF has been reduced to 20K in the last report.  Small specs remain a 2.4 ratio long.  Since the SF is pegged to the euro they travel together.
  • Canadian Dollar (CAD/USD):Both size specs added to their modest C$ shorts though neither size is out of balance short.  The total C$ spec short is up to 23.9 from 19.7 last week.  Price action has been favoring the short.
  • New Zealand Dollar (NZD/USD):There were merely small adjustments in kiwi positions during the week.  Specs remain long the kiwi but by about 1500 fewer contracts than last week.
  • Australian Dollar (AUD/USD):The small spec flipped to the short side of the A$, joining the large spec who has been short the Aussie for months.  The total spec Aussie short is 27.4K, up from 19.9 last week.  With the recent spec short liquidation, the total A$ open interest has dropped to where it is again less than the yen, the pound, as well as the euro.  It looks like the rally is over in the A$ and a new down-trend has begun.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through November 5, 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: 45,541 31,542 24,399 6,277 2,594 4,654 15,480
Change: -7,565 -4,523 -10,581 -933 -594 -2,588 3,132
 % Open Interest: 69.3 53.6 13.8 5.7 10.2 34.0
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 354,559 103,889 63,901 55,919 57,941 122,724 160,690
Change: -26,712 -29,816 -1,647 -2,551 -6,518 4,635 -19,567
 % Open Interest: 29.3 18.0 15.8 16.3 34.6 45.3
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 195,800 49,923 52,360 37,750 27,587 94,191 101,918
Change: -4,841 -6,884 4,949 -494 579 2,689 -10,217
 % Open Interest: 25.5 26.7 19.3 14.1 48.1 52.1
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 201,506 18,679 90,692 16,149 52,533 148,714 40,317
Change: 21,892 893 10,953 -1,646 4,825 20,400 3,869
 % Open Interest: 9.3 45.0 8.0 26.1 73.8 20.0
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 55,641 20,486 12,229 19,805 7,971 14,490 34,581
Change: -1,764 -2,241 1,110 -3,471 -622 4,086 -2,114
 % Open Interest: 36.8 22.0 35.6 14.3 26.0 62.1
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 130,799 26,230 44,487 26,855 32,537 70,631 46,692
Change: 876 -605 2,605 -153 894 1,860 -2,398
 % Open Interest: 20.1 34.0 20.5 24.9 54.0 35.7
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 22,367 16,937 7,229 3,824 2,403 1,603 12,732
Change: -1,197 -768 149 -68 474 -361 -1,820
 % Open Interest: 75.7 32.3 17.1 10.7 7.2 56.9
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 153,163 21,728 45,638 26,516 30,004 93,408 66,011
Change: 3,064 -2,742 -888 -2,747 2,926 7,978 451
 % Open Interest: 14.2 29.8 17.3 19.6 61.0 43.1

To view the COT report released by the CFTC please see the attached file.
  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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