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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Liquidate Long USD Positions-COT Report Data 06 19 2102-Reveals
Submitted by Ralph Shell
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6:48 AM Jun 25 2012
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5320 Views |
1 Comments
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 (3 Votes)
The latest week was marked by liquidation of futures as the June contract expired. The total reduction in the futures and delta-adjusted option positions was almost 350K contracts. In the process, the long USD position was reduced to 285K contracts; this reduction takes the USD long to the smallest since the report of May 22.
The largest currency futures market is the Euro and that is where there was the largest reduction in the OI. The spec short position was reduced to 176K, from the previous week's 235K. It is interesting to note that part of the net short reduction was caused by the purchases on 15.2K of new longs by the large specs. Large specs remain a 3.5 to 1 short in the euro versus the USD.
There was a sizable drop in the short positions in the SF, down to 22.3K from the previous week's 53K. Could this activity be in any way related to the SNB peg with the Euro?
Looking at the COT long form of futures and options in the Japanese yen, we find the commercial is less than 150 contracts from being even. There is a major disagreement, however, among the specs. The small spec has a 16K short and the larg spec, about a 16K yen long. Last week the small spec was right but today, the large spec is a winner.
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US Dollar Index: Liquidation of the June contract did little to change the composition of the market. The large trader dominates this market and is a 7.5 ratio long. Small specs have only a minor involvement in th DI market and are a 4.8 to 1 long.
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Euro (EUR/USD): Speculators reduced their short positions in the euro by about 49K contracts. Most of the position change involved the large spec who was a buyer of 14.8K contracts. and reduced his short by 40.5K contracts. He remains a 4.5 ratio short. There was a 34K reduction in hedging which is mostly the expiration of option contracts. The open interest, though reduced because on contract expiration remains quite large at 361K contracts.
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British Pound Sterling (GBP/USD): Speculators reduced some of their positions but remain very modest shorts in the pound. The total short position is less than 29K.
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Japanese Yen (JPY/USD): Commercials are practically even with their yen positions. This means that the large specs, who are long the yen, and the small specs, have short positions that nearly off set the large trader longs. Until today recent market action had favored those short the yen.
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Swiss Franc (CHF/USD): There was a very large 36.1K reduction in the SF OI. This was mostly the result of the commercials reducing their long by 36.3K and their short by 5.5K, and by a 18.4 reduction in SF spreading. Small spec held most of their short Francs and remain about a 3 to 1 short.
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Canadian Dollar (CAD/USD): Despite expiration of the June contract, there was very little change in the composition of the CAD. Both spec groups are token longs in the C$ and the total long changed very little in the last period.
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New Zealand Dollar (NZD/USD): Over 50% of the total OI was liquidated with the expiration of the June contract. The amount remaining open is very small, only 12.6K, and there seems to be little consensus of the next move.
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Australian Dollar (AUD/USD): The big short interest in the A$ was liquidated taking the total short down to 12.2K from 59.8 in the previous period. As we mentioned the strong rally was likely to result in a short covering rally. Although the total OI remains large, there is little consensus about the market's direction. Specs are cautiously short small amounts of the A$.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through June 19, 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: |
70,563
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58,597
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7,847
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5,761
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1,220
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5,368
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60,660
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| Change:
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-11,195
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-8,089
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-6,017
|
-701
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-239
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-1,994
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-4,527
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| % Open Interest:
|
|
83.0
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11.1
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8.2
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1.7
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7.6
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86.0
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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: |
361,083
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56,047
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195,686
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36,381
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72,663
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234,982
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59,061
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| Change:
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-115,377
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14,826
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-40,586
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-568
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-4,160
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-95,274
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-36,270
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| % Open Interest:
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15.5
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54.2
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10.1
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20.1
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65.1
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16.4
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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: |
128,788
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32,567
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49,003
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18,128
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30,322
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74,001
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45,370
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| Change:
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-57,477
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4,287
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-2,090
|
542
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-2,517
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-60,649
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-51,213
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| % Open Interest:
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25.3
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38.0
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14.1
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23.5
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57.5
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35.2
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
133,033
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44,809
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28,936
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19,196
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35,212
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65,127
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64,984
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| Change:
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-49,784
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6,771
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3,683
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-408
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-2,482
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-51,645
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-46,482
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| % Open Interest:
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33.7
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21.8
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14.4
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26.5
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49.0
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48.8
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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: |
56,853
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24,108
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31,115
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8,168
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23,468
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24,576
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2,270
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| Change:
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-36,174
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18,888
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-7,334
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-230
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-4,762
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-36,336
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-5,583
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| % Open Interest:
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42.4
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54.7
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14.4
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41.3
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43.2
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4.0
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
143,823
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26,831
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17,743
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31,620
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28,275
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72,507
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84,940
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| Change:
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-2,600
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-3,893
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-2,433
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-1,327
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-2,366
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2,265
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1,844
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| % Open Interest:
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18.7
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12.3
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22.0
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19.7
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50.4
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59.1
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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: |
12,612
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3,564
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5,777
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2,312
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2,441
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6,587
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4,245
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| Change:
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-14,873
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-3,076
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-4,748
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490
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-1,027
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-11,808
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-8,619
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| % Open Interest:
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28.3
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45.8
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18.3
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19.4
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52.2
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33.7
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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: |
142,279
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41,751
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43,816
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16,759
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26,966
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78,979
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66,708
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| Change:
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-63,363
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20,639
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-22,545
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1,073
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-3,301
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-72,518
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-24,961
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| % Open Interest:
|
|
29.3
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30.8
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11.8
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19.0
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55.5
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46.9
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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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