Monday, 14 July 2014

Specs Continue to Sell the Euro and the Yen Against the USD

The latest COT Report dated July 8, 2014 reveals specs remain bearish in the euro and the yen.  The net short spec position in the euro is up to 101.5K contracts, the largest short position yet.

In the yen, specs had been covering their short but in the past period, they reversed this tactic.  In this period, they added about 12.5K, taking their short back up to almost 88K contracts.  The other large spec position is in the pound where they have been long.  Recently, specs have been getting out of some of their longs.

Since the middle of May 2014, specs have been getting long the so-called commodity currencies.  This position grew to a record 78.8K contracts this past week.  The big increase during the period was in the C$ which went up to 22.5K long, but the NZ$ also increased to 14.8K.  We note the OI in the NZ$ is almost the size as the venerable Swiss Dollar contract.  Only in the A$ did the specs reduce their longs.

After the end-date for the report (July 8th), there was a sharp sell-off in the C$ as it weakened past the 1.07 handle to the USD.  This move has left some of the new C$ bulls under water on their trades.  We think there will be more USD buying versus the C$ in the coming week.

      –  US Dollar Index:  Both size specs remain long the DI, though there was a small reduction in that long.  Small specs are a 3.5 ratio long and the large spec is a 2 ratio long.  The total net long is down to 25,397 contracts.

      –  Euro (EUR/USD):  Spec short positions in the euro continue to grow.  The total spec short is up to 101,470 contracts, from 97,436 last week. Both spec groups are a little over a 2 ratio short.  The spreading/option category was reduced from 9 to 8% of the 333K OI.  Recent market action has slightly favored the euro bears.

      –  British Pound Sterling (GBP/USD):  There was a small reduction, 16.5K, of the OI in the pound which took the total OI down to 274K from 291K last week.  The spec net long pound position is down to 61.3K from 63.3K last week.  Trade of the pound in a narrow range at a high level is a caution signal there may be some turbulence shortly.

      –  Japanese Yen (JPY/USD):  Yen specs never give up the idea of being short the yen.  Last week they had reduced their short to 75.4K but that position increased in this period to almost 88K.  Large specs are now back up to a 7.5-to-1 ratio short.  Since the cut-off date for this report market action hurt the shorts.

      –  Swiss Franc (CHF/USD):  Both spec groups are short the SF but their net position short has been been reduced to about 10K contracts.  The OI remains quite small, only 37K.

      –  Canadian Dollar (CAD/USD):  Speculators, after being short the loonie for over the past year flipped to the long side in the previous two weeks.  They added to this long position last week taking their total net long up to 22.5K.  This is up from 9.4K the previous week.  There was a strong bearish reversal in the C$ of Friday.  It would not be surprising to see more long selling in the C$ next week.

      –  New Zealand Dollar (NZD/USD):  The large spec increased their long position and they are now a 2.1 ratio long.  Small specs are only a token long.  OI in the period did increase by 2,681 contracts, but the increase in the spreading/option category was even larger, 3,014 contracts.  This might imply the large specs are doing some sort of covered option trade.  Trade in the NZ$ is at an all time high.

      –  Australian Dollar (AUD/USD):  There was over aa 10% reduction in the total OI taking the total open back down to 113K after  132K last week.  For one week only, the total OI in the A$ exceed that in the C$ - now it is 31K smaller.  Longs did liquidate but their position remains fairly large at 41.4K.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through July 8, 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: 54,447 38,810 19,063 7,869 2,219 5,043 30,440
Change: -4,419 -4,628 -4,178 -514 -96 385 -484
 % Open Interest:
71.3 35.0 14.5 4.1 9.3 55.9
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 333,197 50,799 112,441 37,273 77,101 218,446 116,976
Change: -5,950 -1,221 -1,439 -3,038 1,214 2,233 -1,801
 % Open Interest:
15.2 33.7 11.2 23.1 65.6 35.1
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 274,032 86,695 44,931 44,335 24,770 132,545 193,874
Change: -16,522 -9,740 -3,893 461 -3,337 -1,286 -3,336
 % Open Interest:
31.6 16.4 16.2 9.0 48.4 70.7
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 175,183 10,477 79,041 22,589 41,999 131,933 43,958
Change: -2,646 -7,286 1,122 -2,831 1,342 11,527 -1,054
 % Open Interest:
6.0 45.1 12.9 24.0 75.3 25.1
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 37,070 9,143 15,949 12,563 15,777 14,992 4,972
Change: -1,680 -588 -1,002 60 -196 -1,012 -342
 % Open Interest:
24.7 43.0 33.9 42.6 40.4 13.4
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 143,516 58,203 45,907 37,972 27,707 39,059 61,620
Change: 12,151 14,315 6,205 1,494 -3,536 -2,095 11,044
 % Open Interest:
40.6 32.0 26.5 19.3 27.2 42.9
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 36,142 26,739 12,334 4,229 3,768 1,959 16,826
Change: 2,681 176 -5,244 421 843 -931 4,067
 % Open Interest:
74.0 34.1 11.7 10.4 5.4 46.6
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 113,382 66,571 30,726 30,916 25,336 10,984 52,408
Change: -18,272 -9,355 -7,537 -3,488 -422 -3,050 -7,934
 % Open Interest:
58.7 27.1 27.3 22.3 9.7 46.2

To view the COT report data released by the U.S. Commodities Futures Trading Commission (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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