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CashBackForex - Often Imitated, Never Duplicated!
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Specs Increase Short USD Position in Latest COT Report
Submitted by Ralph Shell
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10:21 AM Jul 23 2011
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1975 Views |
0 Comments
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 (2 Votes)
Speculators were busy buying other currencies versus the USD during the period. As a consequence, the total USD short ended the period up 56,533 contracts to a total of 225,618. The biggest increase in the net short USD position occurred in the yen. There the small spec flipped tp the long side of the yen, joining the large spec who was already long, increasing the total net yen long to 45,706 contracts, up from 27,092 in the last period. There was also large buying by the specs in the A$ and the C$.
Over the past month there were sizable spec positions, long the euro, and short the pound. The long pound position reach a pinnacle in the 07 05 report, 56,296 contracts. This has been reduced to 4,915 long euros, as the small spec flipped to the short side. The short pound position was reduced sharply during the past period, down to 12,542 contracts from the high last week of 35,838 contracts.
There was an increase in the open interest during the week, but only by 15.9K contracts. The biggest shift was a reduction of 22.8K in the pound as the shorts got out. There were significant increases in the C$, 15.2K, the yen 14.9K, and the A$, up 8K.
Largest long percentage of the market held by the small specs was in the SF, 48.4%. This was followed by a 36.9% held by the specs in the C$, and a 25.6% share of the long side of both the A$ and the yen. Small specs biggest share of the short side of the market was in the SF 25.1, the pound 24.7, and the euro 23.5%.
The large specs had their biggest long share of the market in the NZ$, 75.2, the A$, 65.7%, the DI 65.7, and the yen, 45.9%. On the short side of the market, the large specs had their biggest share of the market in the DI, and the pound, 31.9%.
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US Dollar Index: Although the total reduction in the OI was only 3K contracts, all classes of market participants with the exception of the small spec shorts reduced their positions. Large and small specs remain long. The large spec increased their net long position by covering some of their shorts. Small specs are small participants in this market but remain long the DI by over a 2 to 1 margin.
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Euro (EUR/USD):There was a small decrease in the OI mostly caused by small specs who reduced 9.7K of longs and 2.7K of shorts. Small specs have flipped
- to the short side of the euro, however large specs remain modest longs. It is interesting to note that spreading increased by 2.2K contracts and represents 12.5% of the total OI. This implies a very large option trade. Commercial were buyers of 7.9K contracts, but remain a small short.
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British Pound Sterling (GBP/USD): The reduction in the OI was over 20% of the total. The primary change was a 20K reduction of shorts held by the large spec. Commercials were on the other side of the trade, reducing their long. Specs, who were big shorts have reduced the bulk of their positions, but remain short 12.5K contracts.
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Japanese Yen (JPY/USD):Specs were buyers of the yen, increasing their longs to a total of 45.7K. Small specs flipped their positions from a short to a long. The large specs expanded their net long position by 13.5K, and are now a 3 to 1 long.
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Swiss Franc (CHF/USD): There was an 8,7% increase in the OI as large specs added to their long. Both the large and small specs are long about a 2 to 1 ratio. Together the specs are long 86.1% of the market.
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Canadian Dollar (CAD/USD): Large specs were buyers of the C$ increasing their long to a 2 to 1 ratio. The total OI went up about 11.0%. Small specs did reduce their net long by about 3.0K but remain better than a 2 to 1 long. After the close of the COT reporting period until the end of the calendar week, the OI in futures only increased by almost 10K.
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New Zealand Dollar (NZD/USD):Specs continue to extend their ownership in the Kiwi. The large specs are long by a 12 to 1 ratio, while the small spec is a mere 3 to 1 long. Specs are long 88.1% of the total OI.
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Australian Dollar (AUD/USD): Large specs again bought the Aussie extending their long to a 7.1 to 1 long. Small specs are likewise long but only a 2 to 1 long, but reduced both longs and shorts in the period. The total spec long in the A$ is now 95.8K.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through July 19, 2011 |
| US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK) |
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(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
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Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
47,389
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31,129
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21,893
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7,234
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3,216
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7,428
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20,681
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| Change:
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-3,053
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-810
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-2,451
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-1,065
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560
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-991
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-974
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| % Open Interest:
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65.7
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46.2
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15.3
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6.8
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15.7
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43.6
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
222,163
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57,700
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48,744
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48,192
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52,233
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88,479
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93,394
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| Change:
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-2,620
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-3,066
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-414
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-9,712
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-2,676
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7,927
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-1,761
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| % Open Interest:
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26.0
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21.9
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21.7
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23.5
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39.8
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42.0
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| British Pound Sterling (GBP/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
103,413
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25,910
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32,989
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20,073
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25,537
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55,435
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42,893
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| Change:
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-22,807
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-2,079
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-20,041
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-231
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-5,564
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-20,729
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2,567
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| % Open Interest:
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25.1
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31.9
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19.4
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24.7
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53.6
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41.5
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
138,631
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63,584
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21,404
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35,539
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32,013
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35,337
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81,043
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| Change:
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14,908
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10,868
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-2,761
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2,108
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-2,876
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775
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19,389
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| % Open Interest:
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45.9
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15.4
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25.6
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23.1
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25.5
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58.5
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
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Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
55,886
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21,073
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9,733
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27,073
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14,024
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6,427
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30,815
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| Change:
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4,898
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2,965
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-292
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333
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683
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1,091
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3,997
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| % Open Interest:
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100.0
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37.7
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17.4
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48.4
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25.1
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11.5
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55.1
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| Canadian Dollar (CAD/USD) |
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|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
135,766
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52,496
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25,539
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50,041
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21,082
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29,825
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85,741
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| Change:
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15,242
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13,234
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1,407
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-941
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2,188
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2,314
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11,012
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| % Open Interest:
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38.7
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18.8
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36.9
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15.5
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22.0
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63.2
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| New Zealand Dollar (NZD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
31,072
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23,364
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1,926
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4,849
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1,656
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2,745
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27,376
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| Change:
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1,327
|
677
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-1,177
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629
|
431
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-93
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1,959
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| % Open Interest:
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75.2
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6.2
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15.6
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5.3
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8.8
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88.1
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| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
133,796
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90,366
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12,571
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34,252
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16,188
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7,401
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103,261
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| Change:
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8,046
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8,945
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-1,569
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-305
|
-483
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-668
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10,023
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| % Open Interest:
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67.5
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9.4
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25.6
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12.1
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5.5
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77.2
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To view the COT report released by the CFTC please see the attached file.
For general information about the COT report please see the article The CFTC Commitment of Trader Report
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Comments
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Shortcuts and Syndication
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Author Bios
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Ralph Shell: Ralph did his graduate studies in economics and history at Duke University. He has ten years experience trading cash commodities in domestic and export markets and is a former commodity analyst with Merrill Lynch in Chicago. He was a member of and floor trader at the Chicago Board of Trade for 18 years.
Forex Captain: The Forex Captain has been a strategy developer and forex trader since 1998. From 2002 till 2009 he ran a successful managed account based on his tradestation coded strategies at FXCM. In 2007 his managed fund was ranked in BarclayHedge Rankings as one of the Top 10 Currency Traders managing less than $10M & more than $1M. Since 2009 he has been developing Expert Advisors in MQL4 for private trading, and from June 2010 he has joined the Project Triumph team as a currency analyst and project manager.
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