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Currency Futures Speculators Now Long the U. S. Dollar, First Time Since July 2010
Submitted by Ralph Shell
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9:39 AM Sep 18 2011
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2254 Views |
0 Comments
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 (3 Votes)
Currency speculators, collectively, have flipped to the long side of the USD. This was revealed in the latest data weekly COT report released Friday afternoon. (We use the long form so the delta adjusted options positions are included.) This change from short to long is significant, since it is the first time specs have been long the USD since the COT report from July 6th, 2010. The total USD long was 17,646 contracts.
Specs were busy increasing their short positions in the euro, to 79,610, the pound, 32,371, and increased their long position in the Dollar Index to 16,781. Specs remained short the USD versus currencies from Australia, Japan, New Zealand, China, and Switzerland.
The Swiss Franc is not a big contract in terms of the open interest (OI) but the recent intervention by the Swiss National Bank makes examination of the COT report interesting. Specs had been large longs in the SF, and they remain long, unable to make a quick exit and avoid nasty losses from the intervention. Large specs remain a 2 to 1 long.
The total futures OI increased by 73,656 contracts, mostly in the euro, pound, and the yen. Part of the OI surge is probably position squaring ahead of expiration of the September contract.
Often currencies are trending market, when responding to the changing fundamental events. It will be interesting to see if the specs continue to buy the USD. They remain short the USD and are long the commodity currencies. Negative economic numbers might cause specs to flee these market also.
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US Dollar Index: Large specs, the biggest participants in this market flipped from the short to the long side of the DI. They joined, the small specs who were already long. Small specs are almost a 3 to 1 long.
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Euro (EUR/USD): The OI grew over 10% as the speculators continued to aggressively sell the euro. Large specs are now approaching a 3 to 1 ratio long. Between the large and small specs they now have a short position of 79,610 contracts. Spreading, most like delta adjusted option trade, declined 11.6K contracts, but still remains a large 10.7% of the total OI.
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British Pound Sterling (GBP/USD): There was a large 19% increase in the OI, position squaring before Sept contract expiration. Small specs joined the large specs flipping to the short side of the pound. This week can be characterized by commercial buying and spec selling.
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Japanese Yen (JPY/USD): Large specs, who are almost a 3 to 1 long, added to both their longs and shorts during the period. Small specs who are merely token shorts, reduced their positions. It looks like the large spec is betting there will not be BOJ intervention to weaken the yen.
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Swiss Franc (CHF/USD): Despite the sharp sell off in the SF, caused by SNB intervention, the specs remain long the SF. There are starting to peel out of some longs but the large spec remains almost a 2 to 1 long. Small specs are long 27.9%, a very large percentage of the OI. Spreading does represent 11.8% of the total market, and has perhaps used by the trapped longs to hedge their positions. Spec longs have lost lots of money here, and it is curious they remain long.
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Canadian Dollar (CAD/USD): Large specs changed their mind about the C$, and flipped to the short side of the C$. The addition to the net short of the big spec was almost 8K. Small specs remain long about 15K contracts. Late week market action, after the close of this reporting period, favors the C$ bulls.
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New Zealand Dollar (NZD/USD): The increase in the OI was from commercials adding to both longs and shorts, as they prepare for expiration of the Sept contract. Large specs remain an unbalanced long by a 12 ration. Small specs are also a 2 to1 long.
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Australian Dollar (AUD/USD):Both the large and small specs reduced their long positions in the A$, but did not flip. The large spec remains long by a 4 to 1 ratio. The A$ remains the favorite spec long with a total of 42.5K contracts. Spec liquidation is prompted by fear the global slowdown will cause a reduction in the high 4.75% bank rate in Australia.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through September 13, 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: |
63,303
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37,298
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25,514
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7,770
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2,772
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16,018
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32,799
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| Change:
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12,104
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11,132
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-2,512
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1,356
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-242
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1,003
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16,245
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| % Open Interest:
|
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58.9
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40.3
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12.3
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4.4
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25.3
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51.8
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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: |
311,668
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26,827
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79,090
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46,745
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74,092
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204,673
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125,063
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| Change:
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39,196
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-6,802
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12,913
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-4,537
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11,266
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62,118
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26,599
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| % Open Interest:
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8.6
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25.4
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15.0
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23.8
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65.7
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40.1
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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: |
147,961
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34,586
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60,379
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25,183
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31,762
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85,293
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52,922
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| Change:
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29,462
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4,315
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16,296
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-714
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7,429
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26,307
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6,183
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| % Open Interest:
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23.4
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40.8
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17.0
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21.5
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57.6
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35.8
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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: |
161,513
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53,441
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18,997
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29,196
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33,487
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74,313
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104,466
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| Change:
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23,557
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5,582
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3,995
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-127
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-1,311
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21,306
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24,078
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| % Open Interest:
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33.1
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11.8
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18.1
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20.7
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46.0
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64.7
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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: |
53,011
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9,484
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5,189
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14,790
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10,781
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22,462
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30,766
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| Change:
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-8,969
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-2,158
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-774
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-6,321
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-3,246
|
855
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-3,604
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| % Open Interest:
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17.9
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9.8
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27.9
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20.3
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42.4
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58.0
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
125,550
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17,443
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22,855
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42,852
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27,633
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58,492
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68,298
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| Change:
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1,197
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-798
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7,168
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-2,480
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1,065
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4,735
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-6,776
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| % Open Interest:
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13.9
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18.2
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34.1
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22.0
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46.6
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54.4
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| New Zealand Dollar (NZD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
34,664
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19,303
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1,639
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4,806
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2,135
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10,392
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30,727
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| Change:
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6,725
|
88
|
94
|
186
|
70
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6,302
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6,412
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| % Open Interest:
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55.7
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4.7
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13.9
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6.2
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30.0
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88.6
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| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
131,747
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50,155
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12,473
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28,861
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24,023
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49,394
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91,912
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| Change:
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-8,416
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-11,673
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-1,403
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-1,187
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4,043
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10,061
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-5,439
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| % Open Interest:
|
|
38.1
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9.5
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21.9
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18.2
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37.5
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69.8
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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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