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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Continue to Sell US Dollars-COT Report Data 08 07 2012
Submitted by Ralph Shell
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7:39 AM Aug 13 2012
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3209 Views |
0 Comments
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 (4 Votes)
Speculators continued to be sellers of the USD during the latest reporting period. Their net position is still long versus the currencies analyzed in this report, but the net USD long has been reduced from 309,663 contracts to just 133,074 contracts in the last three weeks.
There does remain a very large euro and SF short versus a long USD position, and there has been a small reduction in the euro short during the past four weeks. The short has diminished to 167.4K down from a high of 256K on the report of June the 5th. Considering the rally in the euro, it is surprising to note that there has not been more short covering.
The spec position in the Australian Dollar has moved from a short in early June to a good size spec long today. On the same June 5th report the spec short in the A$ was 64,870 contracts. At that time, the A$ was a little less than parity with the USD. Now, with the price of the A$ about 1.06, specs have aggressively purchased and are now long almost 61K contracts.
The money has flowed into the A$, taking the pair close to some support on the weekly charts, the 1.06/08 area. Unless we get more buying, the pair may stall in the current area.
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US Dollar Index: There was a small movement by both the large and the small specs to reduce their long position. Small specs are about a 4 ratio long, still, and the large specs are close to a 5 ratio long,
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Euro (EUR/USD): The large net spec euro short was reduced by about 10.3K contracts during the period. Small specs remained a 2 ratio short, and the large spec almost a 4 to 1 short. The reduction in spreading open interest (options) was 10.1K, less than the total OI reduction of 8K. It is surprising to us that, with the strength of the euro in this period, there was not a bigger reduction in the OI, which would indicate shorts are covering.
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British Pound Sterling (GBP/USD): The total net spec short in the pound increased by 7.6K during the period. Most of the change came because large specs reduced 5.2K long contracts, and increased shorts by 1.3K. Both spec groups have very modest short positions.
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Japanese Yen (JPY/USD): Large and small specs in the yen continue to disagree on the market direction. Large specs are long the yen by a 2 to 1 margin while the small specs are short the yen. Japan has been claimed to be a safe haven destination, but this theory has not been embraced by the small yen traders.
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Swiss Franc (CHF/USD): Specs continue to reduce their net short position in the SF. Large specs are now down to less than a 4 ratio short and the small traders are about a 2 to 1 short. With the SNB peg of the franc to the euro, the position in the franc reflects the specs attitude with the euro.
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Canadian Dollar (CAD/USD): Despite a reduction in the spreading OI of 2,870 contracts, the OI increased by 5,412 contracts. Most of the increase came from the large specs who bought 13.6K contracts and sold 6.1K. Small specs are also long and increased their net long by about 2.9K contracts. Specs are currently favoring the long side of the 'commodity' contracts.
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New Zealand Dollar (NZD/USD): Specs continue to buy the Kiwi, increasing their long by 4.7K contracts during the period. Large specs are now long by a 5.5 ratio while the small specs are a e.5 to 1 long.
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Australian Dollar (AUD/USD): Speculator aggressive bought the A$ during the period, increasing their net long to 60, 885 contracts, up from 41,902 in the previous period. With the big buying it is curious the market could not have a bigger run up. This makes the rally suspect. Again, it appears specs have turned bullish on the commodity currencies.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 7, 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
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| Contracts: |
66,461
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49,130
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9,869
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5,651
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1,451
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9,747
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53,208
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| Change:
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-346
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-189
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2,664
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-379
|
237
|
141
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-3,328
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| % Open Interest:
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73.9
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14.8
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8.5
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2.2
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14.7
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80.1
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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: |
363,073
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44,923
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178,098
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39,104
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73,325
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250,554
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83,158
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| Change:
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-8,093
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4,682
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-4,780
|
267
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-597
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-2,877
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7,449
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| % Open Interest:
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12.4
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49.1
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10.8
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20.2
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69.0
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22.9
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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: |
119,743
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25,374
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33,970
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18,289
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30,268
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72,512
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51,937
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| Change:
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2,488
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-5,221
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1,322
|
332
|
1,530
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8,190
|
449
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| % Open Interest:
|
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21.2
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28.4
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15.3
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25.3
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60.6
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43.4
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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: |
157,396
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55,953
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27,494
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25,669
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37,791
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71,891
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88,228
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| Change:
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2,798
|
898
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5,181
|
350
|
613
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2,473
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-2,074
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| % Open Interest:
|
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35.5
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17.5
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16.3
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24.0
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45.7
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56.1
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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: |
57,491
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6,771
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24,686
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10,067
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20,599
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40,652
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12,205
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| Change:
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-3,310
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1,342
|
576
|
1,144
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-3,894
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-5,419
|
385
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| % Open Interest:
|
|
11.8
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42.9
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17.5
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35.8
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70.7
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21.2
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
120,420
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43,040
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23,447
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36,354
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23,616
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36,874
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69,205
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| Change:
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5,412
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13,638
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6,165
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1,540
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-1,397
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-6,896
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3,514
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| % Open Interest:
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35.7
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19.5
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30.2
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19.6
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30.6
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57.5
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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
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| Contracts: |
28,945
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17,808
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3,220
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4,375
|
1,711
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6,619
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23,871
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| Change:
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3,978
|
4,149
|
-92
|
404
|
-74
|
-532
|
4,187
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| % Open Interest:
|
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61.5
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11.1
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15.1
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5.9
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22.9
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82.5
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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: |
173,763
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94,457
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41,751
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32,968
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24,819
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42,447
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103,302
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| Change:
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12,179
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15,263
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-129
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4,269
|
708
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-2,568
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16,386
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| % Open Interest:
|
|
54.4
|
24.0
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19.0
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14.3
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24.4
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59.5
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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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