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Specs Sold US Dollars, Bought the Yen Latest COT Report Reveals
Submitted by Ralph Shell
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1:05 PM Oct 29 2011
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1966 Views |
0 Comments
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 (1 Votes)
Speculators were active sellers of the USD versus other currencies, it was revealed in the latest COT report. The total net speculative long was reduced from 211.140 contracts last week to 135,412 contracts in the latest report. Since the close for the reporting period is always a Tuesday, we expect there was further sizable liquidation through the end of the calendar week.
The largest speculative currency trade is in the euro versus the USD. This had been a favored short for speculators, reaching 106,535 net contracts short last week. Though the euro firmed smartly against the USD, the net positions were only reduced to 103,528 at the cut off date. An end of the week short squeeze, taking the market well above the 1.40 level, should show large spec covering in the next report.
Specs were more aggressive covering their short pound position, than they were in the euro.
There was a large movement to the long side of the yen by both large and small specs. The net long yen position increased to 56,981 contracts, up from 20,589 in the prior period.
Despite the buoyant commodity markets, specs were cautious about getting too aggressive with the commodity currencies. They did make modest additions to their long position in the Australian and New Zealand Dollar, and reduced their short position in the Canadian Dollar. The total spec long increase in all three of these currencies amounted to only 13,402 contracts.
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US Dollar Index: There was a modest reduction in the OI (open interest) of the DI as specs began to reduce their long USD position. The long position of the big spec was reduced by 9.6K contracts, but large specs remain a a 3.8 ratio long. Small specs are not big participants in this market but are a 3.5 to 1 long.
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Euro (EUR/USD): Despite euro strength, toward the end of the week's trade, there was little reduction in the big spec short. Cut off date for this report is the close of trading Tuesday. The euro spec short remained 103.5K. Large specs are short 71.3K, a 4.2 ratio long, and the small specs are short 32.2K. Spreading (options) is 11.6% of this market. There was reduction in the futures OI in the end of the week trade following the cut off date for the COT report. On Monday the CME futures report will like show a further OI reduction as specs liquidated Friday.
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British Pound Sterling (GBP/USD): Speculators in the pound have been large shorts and were a little more active than those in the euro, reducing their short. Short pound positions were reduced from 70.4K contracts to 59.7K. Large specs remained a 3.6 ratio short.
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Japanese Yen (JPY/USD):There was a large spec movement to the long side of the yen, as the net spec long surged to almost 57K contracts, up from 20.6K in the prior period. The small spec flipped to the long side of the market, joining the large spec who added over 27K to his net long. The total OI surged to 179K, about the same as the pound, but less than the euro at 283K.
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Swiss Franc (CHF/USD): Since the successful intervention by the SNB, trade in the Swissie has died, though their has been a pick up in option trade. Spreading (options) now accounts for 11.2% of the total in this small market. Both size spec are now small shorts in the SF.
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Canadian Dollar (CAD/USD): There was a small reduction in the C$ OI, down by 2.8K. Large specs, who have been short the C$, reduced their net sport by 7.1K contracts. There was a significant movement favoring the C$ longs during the past week, taking the C$ back to a slight premium to the USD in late week trade.
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New Zealand Dollar (NZD/USD): There was a slight movement to the long side of the Kiwi. Large specs are now a 3.1 ratio long, and the small spec flipped to the long side. Specs are long a total of 9.7K contracts in this very small market.
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Australian Dollar (AUD/USD): There continues to be a difference of opinion between the large and the small specs in the A$. Large specs are long, added to their position, and are now a 2.2 ratio long. Small specs remain a small A$ short, but did reduce their position marginally. Spreading now represents 5% of the total market.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through October 25, 2011 |
| 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
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| Contracts: |
64,488
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43,546
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11,385
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9,457
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2,723
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10,656
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49,552
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| Change:
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-4,172
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-3,790
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5,898
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-383
|
437
|
611
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-9,897
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| % Open Interest:
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100.0
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67.5
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17.7
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14.7
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4.2
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16.5
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76.8
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
283,313
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21,826
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93,113
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36,829
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69,071
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191,757
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88,229
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| Change:
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6,055
|
443
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-1,657
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1,648
|
741
|
3,986
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6,992
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| % Open Interest:
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100.0
|
7.7
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32.9
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13.0
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24.4
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67.7
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31.1
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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: |
179,496
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19,000
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69,111
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17,164
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26,733
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139,867
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80,186
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| Change:
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-3,247
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2,138
|
-849
|
3,437
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-4,299
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-9,138
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1,584
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| % Open Interest:
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100.0
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10.6
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38.5
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9.6
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14.9
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77.9
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44.7
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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: |
179,345
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75,552
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21,328
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34,799
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32,042
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62,272
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119,253
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| Change:
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15,372
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26,987
|
-676
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8,576
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-152
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-20,986
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15,405
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| % Open Interest:
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100.0
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42.1
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11.9
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19.4
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17.9
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34.7
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66.5
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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: |
34,114
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4,829
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6,167
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11,790
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14,899
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13,663
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9,217
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| Change:
|
738
|
1,259
|
507
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2,341
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1,396
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-2,270
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-572
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| % Open Interest:
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100.0
|
14.2
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18.1
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34.6
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43.7
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40.1
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27.0
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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: |
133,253
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25,451
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40,695
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28,558
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27,782
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73,475
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59,006
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| Change:
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-2,798
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2,055
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-5,054
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-79
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-696
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-4,943
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2,784
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| % Open Interest:
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100.0
|
19.1
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30.5
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21.4
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20.8
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55.1
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44.3
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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: |
24,675
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13,298
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4,079
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1,934
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1,396
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9,443
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19,200
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| Change:
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620
|
853
|
-141
|
76
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-541
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-309
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1,302
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| % Open Interest:
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100.0
|
53.9
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16.5
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7.8
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5.7
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38.3
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77.8
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| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
139,527
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46,010
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20,557
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20,354
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26,938
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66,200
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85,070
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| Change:
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6,646
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4,431
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1,546
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2,476
|
1,296
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-1,406
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2,659
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| % Open Interest:
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100.0
|
33.0
|
14.7
|
14.6
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19.3
|
47.4
|
61.0
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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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