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CashBackForex - Often Imitated, Never Duplicated!
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Currency Speculators are now Short 285,064 USD Contracts COT Report Reveals
Submitted by Ralph Shell
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11:53 AM Jul 30 2011
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2499 Views |
0 Comments
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 (6 Votes)
The USD doubters increased their aggregate short to 285,964 contracts, the largest short position since the COT report of May 10, 2011. The DI is the only contract reporting specs long the USD, and that position was decreased during the week. All other contract held long positions versus a short USD. Speculators increased their USD shorts versus long other currencies in all contracts except the SF. In the SF specs took some profits and sold a small portion of their long Swissie.
The longest spec positions were in the A$, the C$ and the yen. In the pound, both the small and the large specs flipped to the short the long side of the the pound.
For the period all of the eight contracts reviewed, had an increase in the OI. The biggest increases were in the DI, peculiar since it is one of the smaller contracts, and the yen. The OI in the yen has been growing because the large spec has been extending their longs.
Small specs had the biggest long percentage of the SF 45.7%, C$, 36.5%, and the pound and the A$, 26%. On the short side, small specs were short 24.2% of the SF, 23.2%, of the yen, and 23.0% of the pound.
Large specs had the biggest ownership of the long side of the NZ$, 77.0%, the A$, 65.0%, the DI, 64.1% and the yen, 47.5%. Their biggest short were in the DI, 59.9%, the pound 31.2%, and the SF 22.6%. The large spec net longs (Long position minus the short position) is exceptionally large in the Aussie and New Zealand Dollar.
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US Dollar Index:There was a 23% increase in the OI during the period. Large specs, the biggest participants in the DI increased their longs by 8.5K and their shorts by 15.1K. They remain very small longs. Small specs had been better than a 2 to 1 long, scaled back that long, selling 1.9K contracts, now only 2.4K long.
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Euro (EUR/USD):There was only a minor increase in the OI, but their was a bigger shift to the long side of the euro (short USD) by the specs. The total spec shift to the long side of the euro was 16.4K contracts. Spreading which probably represents option activity increased again and is now 12.5% of the total market.
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British Pound Sterling (GBP/USD):While the OI was little changed during the period, both size specs flipped from a short to a long pound position. In the last report the specs had been short 12.5K contracts, and they are now long 3.7K. Neither spec group has a large commitment to the long side so this position, going forward, may flip again.
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Japanese Yen (JPY/USD):The OI continues to build in the yen with the total OI over 151K. Noteworthy is the build in spreading to 3.9% of the OI probably indicating option activity offsetting futures positions. Most of the yen longs are held by the large specs, likely funds. Small specs, which may include small hedgers, have a very minor long.
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Swiss Franc (CHF/USD): It looks like a few of the large specs were using the past week's rally in the Swissie to take profits. Total spec longs were reduced by about 3.8K contracts. Small specs remain about a 2 to 1 long. Spreading was up over 1K contracts, and is now 4% of the total market.
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Canadian Dollar (CAD/USD):Specs continued to by the C$ and have pushed their long up to 64K contracts. Large specs are long by a 2.3 to 1 ratio and the small specs are even more aggressive with a 2.9 to1 ratio. Spreading activity has increased to 3.1% of the total. Late in the week the OI continued to grow.
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New Zealand Dollar (NZD/USD):Spec continue to add to their longs in the NZ$, with their combined long now 92.1% of the total. The big specs are a 13 to 1 long. Small specs are only a 3 to 1 long.
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Australian Dollar (AUD/USD):There was an 8.9K increase in the OI as the specs continue to buy the Aussie. The total spec long in the A$ now exceeds 101K contracts. Large specs are a 8.9 to 1 long while the small specs are a little more than a 2 to 1 long.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through July 26, 2011 |
| US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK) |
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(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
61,788
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39,625
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37,022
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7,532
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5,110
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12,687
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17,712
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| Change:
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14,399
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8,496
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15,129
|
299
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1,894
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5,259
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-2,969
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| % Open Interest:
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64.1
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59.9
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12.2
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8.3
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20.5
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28.7
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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: |
226,414
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58,732
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42,291
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54,560
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49,663
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84,886
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106,224
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| Change:
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4,250
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1,032
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-6,453
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6,368
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-2,571
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-3,593
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12,830
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| % Open Interest:
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25.9
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18.7
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24.1
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21.9
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37.5
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46.9
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| British Pound Sterling (GBP/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
103,671
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32,972
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32,323
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26,945
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23,845
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41,394
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45,142
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| Change:
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258
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7,062
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-666
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6,872
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-1,691
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-14,041
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2,250
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| % Open Interest:
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31.8
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31.2
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26.0
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23.0
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39.9
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43.5
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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: |
151,720
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72,118
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20,782
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36,079
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35,252
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37,672
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89,835
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| Change:
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13,089
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8,534
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-623
|
540
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3,239
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2,335
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8,792
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| % Open Interest:
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47.5
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13.7
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23.8
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23.2
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24.8
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59.2
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| Swiss Franc (CHF/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: |
60,087
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21,210
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13,573
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27,451
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14,512
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9,042
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29,619
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| Change:
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4,201
|
137
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3,840
|
378
|
488
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2,616
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-1,197
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| % Open Interest:
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35.3
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22.6
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45.7
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24.2
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15.0
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49.3
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| Canadian Dollar (CAD/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: |
141,479
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52,303
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17,680
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51,622
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22,173
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33,238
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97,311
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| Change:
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5,714
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-193
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-7,859
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1,581
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1,091
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3,413
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11,570
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| % Open Interest:
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37.0
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12.5
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36.5
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15.7
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23.5
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68.8
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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: |
32,793
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25,241
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1,950
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4,940
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1,618
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2,498
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29,111
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| Change:
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1,721
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1,877
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24
|
91
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-38
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-247
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1,735
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| % Open Interest:
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77.0
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5.9
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15.1
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4.9
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7.6
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88.8
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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: |
142,765
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92,866
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10,357
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37,093
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18,025
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10,094
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111,671
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| Change:
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8,969
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2,499
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-2,215
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2,841
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1,837
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2,692
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8,410
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| % Open Interest:
|
|
65.0
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7.3
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26.0
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12.6
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7.1
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78.2
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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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