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CashBackForex - Often Imitated, Never Duplicated!
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Currency Specs Continue to Liquidate Long USD Positions -COT Report 11 01 2011
Submitted by Ralph Shell
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10:28 AM Nov 05 2011
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2594 Views |
0 Comments
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 (1 Votes)
Currency specs, who have big short positions in the euro and the pound, have reduced those positions. The euro short positions were reduced to 78,097 contracts down from 103, 528 in the prior week. There was also a modest reduction in the pound short positions to 53,629 contracts, down from the previous week's 59,681 contracts. Since the end of the COT report, there has been heavy liquidation of positions in the British pound. These changes have reduced USD longs.
The biggest change in the open interest (OI) was in the Japanese yen. Speculators had amassed a yen long position of 56,981 contracts. Intervention by the Bank of Japan caused those specs to lose money, as the yen lost to the USD. The yen long position was reduced to 22,264 contracts. This activity also decreased the USD short positions.
Last week the currency specs net position was a USD long of 135,412 contracts. The activity during the past week reduced this activity to 107,105 contracts. There has also been a trend for speculators to move toward the long side of commodity currencies.
The direction of the USD will probably be determined by whether the specs continue to sell out their long USD positions. Should the speculative attitude change, and the USD has appeal versus other major currencies, the recent USD liquidation makes the chance the rally could be vigorous.
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US Dollar Index: Speculators remained long the DI, but reduced the net long by 12,097 contracts. Large specs are the big players in this market, and remain a 2.7 ratio long. Small specs were more aggressive in reducing their long position.
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Euro (EUR/USD): Spec reduced their short position in the euro by over 25K contracts, however they remain short 78K contracts. Large specs remain a 3 to 1 ratio short. The total OI increased by 6.0K contracts, but the increase is spreading was up 10.4 contracts. This means there has been a pick up in option trading activity, since many option strategies involve spreading.
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British Pound Sterling (GBP/USD): There was a slight decrease in the total spec net short position from 59.7K contracts to 53.6K. Large specs remain about a 3 to 1 short, while the small spec short is quite modest. There has been active trading activity in the pound and the open interest is large. In the futures market, there was over a 15K reduction in the OI after the cut off date for this report, without significant market movement.
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Japanese Yen (JPY/USD): There was sizable liquidation, as might be expected, after the BOJ's intervention this past week. It is estimated they sold about $100B of yen and bought the USD. Large spec who had been big longs dumped 32K contracts, but remained long over 24K contracts, and a 2.27 ratio long. Small specs flipped their net position from long to a small short.
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Swiss Franc (CHF/USD): After being chased out by the SNB intervention, small specs have once again flipped to the long side of the SF. The market size of the Swissie has been reduced by about 50% since the intervention, but the small specs are now the biggest participants in this market. Spreading, which represents the option trade, is a large 11.7% of the total OI.
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Canadian Dollar (CAD/USD): The total spec net position in the C$ remains short but that short has been reduced by almost 10K contracts in the week. Small specs in the loonie are returning to the long side.
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New Zealand Dollar (NZD/USD):Large specs remain the featured players in the NZ$, and are about a 5 ratio long. The total spec long in the Kiwi is now about 11.4K contracts.
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Australian Dollar (AUD/USD): The large specs remain long and added to both their longs and shorts during the period. The total OI was up over 20K contracts. The small spec position is evenly divided between long and short. The reduction in the small spec shorts, and their increased longs caused the total spec net long in the Aussie to increase by about 5K contracts. Market action is inconclusive with an early week down followed by some recovery.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through November 1, 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
|
| Contracts: |
64,324
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37,840
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13,956
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7,449
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4,534
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17,995
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44,794
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| Change:
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-163
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-5,707
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2,571
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-2,008
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1,811
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7,339
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-4,758
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| % Open Interest:
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100.0
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58.8
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21.7
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11.6
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7.0
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28.0
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69.6
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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: |
289,306
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26,230
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80,760
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40,108
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63,675
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179,692
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101,595
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| Change:
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5,993
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4,404
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-12,353
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3,279
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-5,395
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-12,065
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13,366
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| % Open Interest:
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100.0
|
9.1
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27.9
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13.9
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22.0
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62.1
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35.1
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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
|
| Contracts: |
177,969
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24,326
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70,889
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18,126
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25,192
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130,973
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77,344
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| Change:
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-1,527
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5,326
|
1,778
|
962
|
-1,541
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-8,894
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-2,842
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| % Open Interest:
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100.0
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13.7
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39.8
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10.2
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14.2
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73.6
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43.5
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
155,283
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43,506
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19,063
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26,153
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28,332
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77,266
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99,530
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| Change:
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-24,063
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-32,046
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-2,265
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-8,646
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-3,710
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14,994
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-19,723
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| % Open Interest:
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100.0
|
28.0
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12.3
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16.8
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18.2
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49.8
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64.1
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
29,839
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3,091
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5,014
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11,947
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11,013
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11,323
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10,334
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| Change:
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-4,275
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-1,738
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-1,153
|
157
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-3,886
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-2,341
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1,117
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| % Open Interest:
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100.0
|
10.4
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16.8
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40.0
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36.9
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37.9
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34.6
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
133,935
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27,303
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39,528
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30,611
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23,183
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69,379
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64,581
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| Change:
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681
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1,852
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-1,167
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2,053
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-4,599
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-4,096
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5,575
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| % Open Interest:
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100.0
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20.4
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29.5
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22.9
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17.3
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51.8
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48.2
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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
|
| Contracts: |
24,021
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13,394
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2,739
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2,310
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1,600
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8,317
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19,682
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| Change:
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-654
|
96
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-1,340
|
376
|
204
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-1,126
|
482
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| % Open Interest:
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100.0
|
55.8
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11.4
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9.6
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6.7
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34.6
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81.9
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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: |
159,897
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58,348
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34,250
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22,629
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22,649
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69,449
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93,527
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| Change:
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20,370
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12,338
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13,693
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2,274
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-4,289
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3,249
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8,457
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| % Open Interest:
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100.0
|
36.5
|
21.4
|
14.2
|
14.2
|
43.4
|
58.5
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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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