Monday, 23 June 2014

Speculators Reduce USD Long Positions

There were some shifting positions during the week resulting in a reduction of the USD long to 114,201 contracts.  This is down from 140,495 contracts in the last period.   The British Pound in now the favorite of the spec crowd with the long position going up to 71.3K, from 52.5K last week.

The biggest short position is in the yen, 96.1K.  In the prior week the short position was 114.8K, so this resulted in USD selling as the short yen was covered.

Commodity currencies include the Canadian, New Zealand and Australian Dollar.  During the past week the total net commodity long increased to 33.7K contracts.  Within in this gross total were contrasting position changes.  There was a sharp reduction in the C$ short, and a reduction in the NZ$ long.  Specs added to their A$ long taking it up to 36.4K.

We had two position flips in the week.  The small specs in the C$ moved from the short to the long side of the loonie.  In the SF, the large specs flipped to the long side.

      –  US Dollar Index: Traditionally large spec dominate this market but until this week they had been practically even but did have about 2/3 of the
market.  This past week they moved decisively to the long side.  The total spec long in the DI went up to almost 27K from 5.8K last week. This is the largest spec long in the DI in over six months.

      –  Euro (EUR/USD):  Expiration of the June contract resulted in the liquidation of 43.3K contracts down to 335K contracts now open.  Large specs
added to their short positions.  The total net spec short is now up to 93.4K with the large specs now a 2 to 1 short. Since the cut off for this report, the market has moved higher, hurting the shorts.

      –  British Pound Sterling (GBP/USD):  Expiration of the June contracts resulted in liquidation of only 12K contracts.  The OI remains high at 273K contracts.  The
pound traded at the highest level since 2008, and the longs added to their positions.  The total spec long is up to 71.3K from 52.4K last week.

      –  Japanese Yen (JPY/USD):  The total OI in the yen is now about only half of that in the euro, 172K versus 335K.  Despite the smaller marker the liquidation during the week was bigger 46.6K, in the yen.  This indicates, the specs who have been big shorts for months are now throwing inthe towel.  Despite this the specs remain short 96.1K.  The large spec remains a 5 to 1 short.  Could the big yen short be against the large foreign ownership of Japanese equities?

      –  Swiss Franc (CHF/USD):  There was big liquidation in the SF taking the OI down to only 35K.  In the process the large spec flipped to the long side of
the Swissie.  Small specs remain short and their short position exceed the large spec long.  Consequently spec remain short the SF, but only by 2.7K.

      –  Canadian Dollar (CAD/USD):  It is strange to see the OI in the C$ when up when all other currency futures went down.  Small specs did flip to the long side
of the loonie, but large specs remained short.  The net spec position is now a very small 7.7K short.

      –  New Zealand Dollar (NZD/USD):  The liquidation on the June contract also saw heavy selling of spec long positions.  Last week the net spec long was 18K, and it is now down to about 5K. Last week the b5.7 ratio long and this week they are practically even.  A position shift of this size without some currency volatility is peculiar.

      –  Australian Dollar (AUD/USD):  Liquidation in the A$, 27.6K,  was large for the size of the market.  Still, the longs increased their position to 36.4K from
32.9K.  The A$ has rallied to a resistance level at around the 94 handle.  Will there be sufficient money flow to take the A$ through this resistance?

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through June 17, 2014
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: 55,781 43,057 21,443 6,825 1,481 3,878 30,836
Change: 1,357 6,687 -14,863 -958 -528 -695 20,424
 % Open Interest: 77.2 38.4 12.2 2.7 7.0 55.3
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 335,094 51,553 112,814 39,178 71,327 215,115 121,705
Change: -43,389 8,067 12,928 -6,882 -6,998 -27,428 -32,174
 % Open Interest: 15.4 33.7 11.7 21.3 64.2 36.3
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 272,707 99,739 48,120 42,535 22,851 118,736 190,040
Change: -11,966 14,192 -864 4,341 580 -13,014 5,803
 % Open Interest: 36.6 17.6 15.6 8.4 43.5 69.7
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 172,304 17,809 85,641 17,384 45,661 126,666 30,558
Change: -46,641 5,949 -8,309 -966 -5,410 -40,468 -21,766
 % Open Interest: 10.3 49.7 10.1 26.5 73.5 17.7
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 35,354 15,258 11,726 10,656 16,892 8,880 6,176
Change: -19,686 5,617 -847 -1,693 -475 -18,854 -13,607
 % Open Interest: 43.2 33.2 30.1 47.8 25.1 17.5
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 142,886 34,805 55,475 45,219 32,297 51,878 44,130
Change: 7,534 3,922 1,263 13,890 -2,401 -13,501 5,449
 % Open Interest: 24.4 38.8 31.6 22.6 36.3 30.9
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 28,477 21,671 17,938 3,794 2,538 2,667 7,656
Change: -4,469 1,270 14,392 -150 -178 -2,752 -15,846
 % Open Interest: 76.1 63.0 13.3 8.9 9.4 26.9
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 111,662 60,697 33,961 33,352 23,654 11,545 47,979
Change: -27,671 -1,354 164 979 -4,075 -23,843 -20,307
 % Open Interest: 54.4 30.4 29.9 21.2 10.3 43.0

To view the COT report data released by the U.S. Commodities Futures Trading Commission (CFTC), please see these data files:
  1. Cotton No. 2 Ice Futures US
  2. BUTTER (Cash Settled) CME
For general information about the COT report please see the article The CFTC Commitments of Traders Report.
Ralph Shell, Excel Analyst
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