Wednesday, 3 September 2014

Specs Sell the Yen and the Euro Versus the USD

It sounds like a broken record as the specs continue to extend their short position in the yen and the euro.  The total euro spec short positions, which includes both the large and the small shorts and the delta adjusted positions in options, is up to 198K in the euro, and 154K in the yen.  The total positions of all the currencies we cover is 419.3K of longs and 89.3K of shorts.  This is the largest net long in the USD since the report of August 6th 2013.  The recent record total USD long was in May of 2013 when it topped 540K.

The biggest short position in the USD is against a long in the A$.  Large specs continue to but the Aussie and their long is now up to 43.2K.  Aside from the interest rate advantage in the A$, market action in the A$ versus the USD has been neutral.  The total commodity currency long is now up to 60.5K, despite liquidation by the specs of their long Canadian Dollars.

Expiration of the September contracts means there will be big changes in the OI numbers as the commercials and specs decide which positions they want to carry forward.  Currency trends usually do not end when a contract expires, so we can look forward to some volatile markets.

      –  US Dollar Index: The OI continues to grow in the DI and is now up to almost 92K, a recent record.  Small specs made small additions to their long positions and are now a 6.3 ratio long.  The large specs remain the big players in this market.  The total spec long is up to 37K.

      –  Euro (EUR/USD):  Like the DI, the OI in the euro continues to climb, and it is now almost 500K.  Large specs were the buyers, adding to their shorts and are now a 3.7 ratio long.  Small specs are a 1.9 ratio long but made reductions in their position.  The total spec short in the euro is not 198K, and the spreading option category is  10.3% of the total open.  This might imply some of the specs are hedging their positions with options.

      –  British Pound Sterling (GBP/USD):  The spec crowd is tilted toward the long side of the pound, and made a modest addition to 28.9K in the latest period.  After a seven week sell off in the pound, the market now seems to favor the bulls.  The OI is large, 276K, as we head to expiration in the September contracts.

      –  Japanese Yen (JPY/USD):  The yen remains weak and the total short spec position keeps growing.  This always begs the question is the market weak because of the big spec selling, or is it bearish fundamentals that is attracting the selling.  The total spec short position climbed to 154.5K from 130.6K last week.  Large specs are a 6.4K ratio short.

      –  Swiss Franc (CHF/USD):  Specs remain short the SF, in line with their positioning in the euro.  The small specs are a 2.7 ratio short and the large specs a 3.2 to 1 short.  The total short did come down to 29.8K from 31.5K last week. 

      –  Canadian Dollar (CAD/USD):  C$ specs seem undecided on the next move.  The small specs are short a minor amount and the large specs are long.  The total spec position is a long of 4.7K contracts.  Total OI in the C$ is small, only 127K contracts which probably reflects the specs indecision.

      –  New Zealand Dollar (NZD/USD):  Trade in the kiwi remains lackluster.  The OI is small, only 24K, and most of the futures trade is dominated by the large specs.  They are long by a 3.5 ratio.  Despite recent weakness in the NZ$ they continue to hold these positions.

      –  Australian Dollar (AUD/USD):  Large specs remain committed to the long side of the Aussie and added to their position during the period.  They are now a 2.3 ratio long.  The total long position increased to 43.2K from 37.5K last week.   There has been a slight increase in the total OI as the specs buy positions.  Total OI is approaching that in the C$.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 26, 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: 91,611 72,696 43,931 9,807 1,573 6,079 43,078
Change: 1,592 2,249 637 283 -676 -1,302 1,269
 % Open Interest:
79.4 48.0 10.7 1.7 6.6 47.0
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 494,900 55,226 208,876 48,342 92,698 340,460 142,453
Change: 30,792 -846 10,046 6,635 -845 13,973 10,561
 % Open Interest:
11.2 42.2 9.8 18.7 68.8 28.8
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 275,682 74,015 49,676 33,546 28,979 142,300 171,205
Change: 353 -959 -4,253 -650 -172 -1,098 1,718
 % Open Interest:
26.8 18.0 12.2 10.5 51.6 62.1
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 259,155 19,835 127,449 16,235 63,164 201,404 46,862
Change: 24,327 2,949 20,598 589 6,878 16,828 -7,109
 % Open Interest:
7.7 49.2 6.3 24.4 77.7 18.1
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 57,224 7,480 20,505 7,715 24,487 36,927 7,130
Change: 3,828 1,322 -1,161 -487 336 -1,190 470
 % Open Interest:
13.1 35.8 13.5 42.8 64.5 12.5
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 126,778 37,663 31,349 30,410 32,006 48,245 52,964
Change: -5,567 -4,059 -1,656 -1,219 -2,392 -345 -1,575
 % Open Interest:
29.7 24.7 24.0 25.2 38.1 41.8
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 23,714 16,353 4,607 3,597 2,806 3,483 16,020
Change: -376 -426 -182 114 -225 -117 -22
 % Open Interest:
69.0 19.4 15.2 11.8 14.7 67.6
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 121,761 71,339 30,660 26,841 24,311 16,805 60,015
Change: 4,433 6,104 517 -1,197 -1,340 -283 5,447
 % Open Interest:
58.6 25.2 22.0 20.0 13.8 49.3

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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