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Speculative Selling of Commodity Currencies and the Euro Continue, COT Report of 05 08 2012 Reveals
Submitted by Ralph Shell
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8:01 五月 14 2012
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2827 Views |
0 Comments
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 (2 Votes)
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Speculative selling in the euro continued in the latest period. Spec now hold 183,685 contracts of short euro positions. ( Each contract is 125,000 euro or about $160,625. ) This is up from 143,990 in the last period.
The total USD net long in the period increased to 138,231 contracts up from 50,245 contracts in the previous period. There was sizable selling of the Australian and Canadian Dollar and buying the USD. This was liquidation of previously held long C$ and A$ positions.
The only major increase in the short USD position was in the pound, which up to over 47K contracts. There were reports in London papers over the weekend, that some British Companies with European businesses had instructions to transfer any new receipts of euros to pounds and send home every evening.
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US Dollar Index: Large specs were sellers reducing their long position to just over 10K contracts. Small specs are not big participants but remain long by better than a 3 to 1 ratio.
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Euro (EUR/USD): As the troubles in the Eurozone have expanded the trading interest in the euro has increased. The OI was up 43.3K. Most of this was the large spec selling and the commercial on the buy side. Large specs are now about a 5 ratio short. Small specs are, likewise short, but only by a 2 to 1 margin. The total spec short in the euro is now 183,685 contracts, and the total open interest is up over 30K since the report was taken.
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British Pound Sterling (GBP/USD): Europeans, fearful of the future of the euro have been moving money to Britain, and the strength has resulted in pound buying. The total spec long in the pound, despite their recession, is now 47.6K. The OI at over 204K is quite large.
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Japanese Yen (JPY/USD): There was a 15.1K reduction in the spec short in the yen in the last period, but the specs remain big shorts in the yen. So far the haven buyers have kept the yen firm and punished the spec shorts.
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Swiss Franc (CHF/USD): Large specs are better than a 4 to 1 short in the SD, and the small spec is about a 2 to 1 short. The SNB peg to the euro is taking the SF down with the euro.
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Canadian Dollar (CAD/USD): There was about a 20K reduction in the spec long s in the C$. While both size liquidated, the total long remain large, 81.7K, and the large spec is a 7 to 1 long.
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New Zealand Dollar (NZD/USD): There was little feature in this tiny market. The large spec remains a 2 to 1 long.
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Australian Dollar (AUD/USD): Small specs flipped their position in the A$ from the long to the short side. Large specs remained long but reduced their net long by almost 27K. The total reduction in spec longs for the week was over 41K.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through May 8, 2012 |
| 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: |
46,552
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32,125
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21,934
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5,715
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1,742
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7,227
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21,390
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| Change:
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490
|
748
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4,112
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-172
|
-498
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-88
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-3,126
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| % Open Interest:
|
|
69.0
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47.1
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12.3
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3.7
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15.5
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45.9
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
364,655
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35,601
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178,434
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35,419
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76,270
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262,956
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79,271
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| Change:
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43,339
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1,663
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39,813
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1,466
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3,012
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40,195
|
499
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| % Open Interest:
|
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9.8
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48.9
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9.7
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20.9
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72.1
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21.7
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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: |
204,299
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59,663
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34,573
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43,542
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21,028
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100,180
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147,784
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| Change:
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8,806
|
7,151
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-2,339
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1,011
|
165
|
2,071
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12,407
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| % Open Interest:
|
|
29.2
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16.9
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21.3
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10.3
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49.0
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72.3
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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: |
151,961
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16,429
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57,638
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16,313
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46,249
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115,485
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44,340
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| Change:
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-2,980
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3,129
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-7,298
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2,838
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-1,902
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-6,058
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9,110
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| % Open Interest:
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10.8
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37.9
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10.7
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30.4
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76.0
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29.2
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
46,490
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4,980
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21,474
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11,325
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21,566
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30,091
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3,357
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| Change:
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3,908
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-712
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1,471
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-2,595
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6,895
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7,244
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-4,430
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| % Open Interest:
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10.7
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46.2
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24.4
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46.4
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64.7
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7.2
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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: |
157,832
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69,219
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9,726
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46,177
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23,918
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38,790
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120,542
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| Change:
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-14,451
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-14,485
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-4,220
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-5,389
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4,501
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5,798
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-14,355
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| % Open Interest:
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43.9
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6.2
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29.3
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15.2
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24.6
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76.4
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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: |
17,969
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11,688
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5,464
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2,729
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2,478
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3,427
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9,902
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| Change:
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-1,846
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-467
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1,334
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-1,504
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1,100
|
125
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-4,280
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| % Open Interest:
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65.0
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30.4
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15.2
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13.8
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19.1
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55.1
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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: |
161,980
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72,067
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47,840
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24,231
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26,792
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61,361
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83,026
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| Change:
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4,178
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-16,602
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11,321
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-6,481
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6,198
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28,123
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-12,480
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| % Open Interest:
|
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44.5
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29.5
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15.0
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16.5
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37.9
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51.3
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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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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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