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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Remain Long USD-COT Report Data 02 21 2012 Shows
Submitted by Ralph Shell
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8:30 AM Feb 27 2012
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3350 Views |
0 Comments
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 (19 Votes)
Speculators remained a very big short in the euro futures. Since this contract is traded and settled in USD's, they are by default long the USD. Their short did go down to 168,709, from 173,093, not liquidation of significant size. The daily CME trade report shows, on the days following the cut off for this report, there was liquidation of 10K in the futures only, less than we expected. The large spec is the euro short and we are curious why he carries on with what is now a losing position.
The Australian Dollar remains one of the specs favored longs, about 86K. The NZ$ is also popular with the big spec, probably funds.
The biggest position shift for the week was in the yen. Safe haven yen buyers found Japan was not the ideal safe haven, as negative Japanese economic information combined with the Bank of Japan's desire to weaken the yen gave those bullish on the yen a bad couple weeks. Commercials flipped to the long side of the yen.
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US Dollar Index: Both size specs remain long the DI, the large spec by a 4.4 ratio, and the small spec by a 4.0 ratio. There was little change in the positions during the period. Large specs dominate this market.
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Euro (EUR/USD): Specs, who have been short the euro, made minor reductions in this position. There short position is down to 168,709 contracts, from the previous week's 173,090 contracts. Most of the spec euro short is held by the large specs who are a 5.7 ratio long. Spreading, mostly option activity is now 10.1% of the total market.
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British Pound Sterling (GBP/USD): The large pound open interest 191K was reduced by 5.3K during the period. This reduced the total spec short in the pound to 37.8K. Most of the pound short is held by the large spec, probably hedge funds.
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Japanese Yen (JPY/USD): Trade in the yen has been perplexing. For months the large spec has been long and wrong in the yen. Small specs, normally expected to be losers, have been winning on the short side of the yen. Large specs remain long, but reduced their net long by about 12K. Small specs remained short the yen but the commercial flipped their position to the long side.
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Swiss Franc (CHF/USD):The OI in the Swissie grows, this week because the large spec was increasing his short. He is up to a 3.5 to 1 short. Small specs are a very modest short.
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Canadian Dollar (CAD/USD): Specs added to their long positions in the loonie by about 7.6K in the period. The total spec long is only 32.9K less than during previous build of long C$ positions. Spreading is 4.7% of the OI.
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New Zealand Dollar (NZD/USD): The NZ$ remains a small market, but one in which the large funds are keenly interested, Large funds are a 5.6 ratio long, and are long 79.8% of the total market.
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Australian Dollar (AUD/USD): There was very little change in A$ positions during the period. The total spec long was about 86K, the same as last week. Large specs are a 5.3 ratio long. The A$ has been losing a bit to the USD so the longs may be feeling some discomfort.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through February 21, 2012 |
| 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: |
51,145
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37,618
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8,517
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8,899
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2,215
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3,561
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39,347
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| Change:
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-1,331
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-716
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-1,898
|
62
|
499
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-589
|
157
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| % Open Interest:
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|
73.6
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16.7
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17.4
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4.3
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7.0
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76.9
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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: |
332,546
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29,117
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166,596
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37,635
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68,866
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232,062
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63,353
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| Change:
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-1,923
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2,140
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-4,691
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1,164
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3,612
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-6,079
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-1,697
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| % Open Interest:
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8.8
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50.1
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11.3
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20.7
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69.8
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19.1
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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: |
191,544
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27,584
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58,612
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20,918
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27,744
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141,049
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103,195
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| Change:
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-5,319
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-1,596
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-10,943
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1,127
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-510
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-4,862
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6,123
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| % Open Interest:
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14.4
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30.6
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10.9
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14.5
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73.6
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53.9
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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: |
168,760
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62,177
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45,041
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19,733
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44,267
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80,094
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72,697
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| Change:
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2,405
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-1,952
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10,237
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-3,330
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4,882
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5,035
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-15,367
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| % Open Interest:
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36.8
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26.7
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11.7
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26.2
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47.5
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43.1
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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: |
53,334
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7,794
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27,464
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12,646
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15,877
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31,853
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8,951
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| Change:
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3,058
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-658
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3,284
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2,280
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48
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1,714
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3
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| % Open Interest:
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14.6
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51.5
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23.7
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29.8
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59.7
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16.8
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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: |
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47,776
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33,586
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38,893
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20,131
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43,746
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76,699
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| Change:
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6,489
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9,232
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4,702
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1,431
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-1,760
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-4,819
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2,902
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| % Open Interest:
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34.9
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24.6
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28.4
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14.7
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32.0
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56.1
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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: |
36,889
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29,422
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5,211
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4,337
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1,683
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2,712
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29,577
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| Change:
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185
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220
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-121
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25
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4
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-57
|
305
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| % Open Interest:
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79.8
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14.1
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11.8
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4.6
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7.4
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80.2
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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: |
160,100
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92,178
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17,259
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36,428
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24,722
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25,192
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111,817
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| Change:
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-629
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-1,587
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-2,409
|
857
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1,779
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-529
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-629
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| % Open Interest:
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57.6
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10.8
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22.8
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15.4
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15.7
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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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