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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Flip to Short Side of USD-COT Report 08 28 2012 Reveals Data
Submitted by Ralph Shell
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6:15 9 03 2012
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3426 Views |
0 Comments
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 (35 Votes)
Speculators have flipped to the short side of the USD. This is the first time specs have collectively had a net short position in the USD since they moved to the long side almost a year ago, as revealed in our COT report from September 18th, 2011. Prior to that, time specs had been short the USD going back to July 2010.
Spec behavior, having first been short the USD for over a year, and next long for almost a year, would seem to confirm the old adage that currencies are trending markets. More USD selling will be needed to confirm the trend.
The latest report continues to portray the existing dichotomy of the USD traders and their positions. They continue to own the USD versus the euro and the Swissie, a total of 149,490 contracts. Their net USD short comes from the massive buying of the commodity currencies versus the USD. This USD selling versus the C$ and the A$ may be helping to support the EURUSD.
It remains to be seen if these trends will continue. Many times when trading during a delivery period as we are now, markets liquidate and longs or shorts are not re-established. In other words, longs and shorts in the September futures contracts may take positions off and rest on the sidelines.
The behavior of the commodity currencies implies Bernanke will commence QE 3 shortly, and it will have an anticipated inflationary result. The US Fed announcement on the 13th of September will be important. Ease and we rally certain asset classes further. Should we postpone QE 3, there may be a hissing sound as air comes out of a bubble.
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US Dollar Index: This market continues to be dominated by the large specs, who are a 4.5 ratio long, and the commercials who are 4.1 ratio short. There was a small reduction in the large spec longs, as well as the small spec long in the period. Specs are now long only 38,664 contracts, down from 42,031 last week.
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Euro (EUR/USD): Large specs reduced their net short by almost 22K, but remain a 3.4 ratio short. Small specs are not heavily short but did increase their net short by 3.2K. Spreading in the euro totals 35,165 contracts of which 31,698 is the delta adjusted options trade. Total spreading is 9.6% of the total open interest.
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British Pound Sterling (GBP/USD): Small specs were on the buy side in the pound, flipping to the long side with a modest 3.1K long. Large specs who have been long, reduced their net position to only 1.4K. Traders of the pound are not decisive.
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Japanese Yen (JPY/USD): The set up in the yen is peculiar. Large specs are long and added to that net position by over 10K contracts. Small specs are short the yen but reduced their net position by almost 10K. On the other side of these trades, the commercial flipped to the short side of the yen. There was a 8.6K increase in the OI. The bottom line is the big spec got longer in the yen versus the USD, a position that has been winning.
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Swiss Franc (CHF/USD): Specs reduced their combined bet short in the SF by 9.2K, a large number for such a small market. The large spec remains about a 2 to 1 short, while the small spec short position is not quite manageable.
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Canadian Dollar (CAD/USD): The long position in the C$ continues to grow. Large specs are now a 3.5 ratio long in the C$ while the small spec is a mere 2 to 1 long. The OI went up by 15K and the total spec long in the loonie is up to almost 84K. Often there is a pattern of the spec long and the OI building as we approach the end of trading of a futures month. Then the longs get out and the OI diminishes. This may be a hint that some of the build in the OI is in anticipation of pricing of export/import contracts of physical products.
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New Zealand Dollar (NZD/USD): There was a small reduction in the spec long of the NZ$, down to 16.2K. Large specs remain a 4.6 ratio long in this very small market.
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Australian Dollar (AUD/USD): The large spec net long in the Aussie was reduced by a touch over 10K. Large specs remain a 2.7 ratio long. It remains to be seen if the big spec long will be rolled over to the Dec contract with the expiration of the Sept. Market action has not regarded the long, so far.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through August 28, 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: |
65,638
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46,322
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10,178
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4,481
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1,961
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12,299
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50,963
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| Change:
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-418
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-1,822
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93
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-1,255
|
197
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2,414
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-953
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| % Open Interest:
|
|
70.6
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15.5
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6.8
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3.0
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18.7
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77.6
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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: |
364,513
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43,671
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147,648
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42,924
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72,565
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242,754
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109,135
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| Change:
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-4,589
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-408
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-22,248
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-2,010
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1,276
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-5,046
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13,507
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| % Open Interest:
|
|
12.0
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40.5
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11.8
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19.9
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66.6
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29.9
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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: |
124,464
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41,485
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40,061
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29,393
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26,253
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49,494
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54,057
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| Change:
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-394
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-3,670
|
2,111
|
2,914
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-3,621
|
-642
|
111
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| % Open Interest:
|
|
33.3
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32.2
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23.6
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21.1
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39.8
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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: |
160,681
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53,610
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29,924
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24,007
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37,734
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77,555
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87,515
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| Change:
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8,627
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9,492
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-1,350
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3,290
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-6,541
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-4,016
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16,658
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| % Open Interest:
|
|
33.4
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18.6
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14.9
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23.5
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48.3
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54.5
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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: |
56,731
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10,684
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22,145
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12,660
|
17,070
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33,374
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17,503
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| Change:
|
901
|
4,763
|
562
|
285
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-4,756
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-3,892
|
5,349
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| % Open Interest:
|
|
18.8
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39.0
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22.3
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30.1
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58.8
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30.9
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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: |
180,252
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86,354
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24,351
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46,783
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24,821
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39,347
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123,313
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| Change:
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14,989
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10,500
|
301
|
-232
|
410
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3,893
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13,451
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| % Open Interest:
|
|
47.9
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13.5
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26.0
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13.8
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21.8
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68.4
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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: |
31,374
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18,215
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3,986
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3,739
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1,748
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9,294
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25,514
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| Change:
|
-610
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-1,620
|
523
|
-690
|
-122
|
1,698
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-1,013
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| % Open Interest:
|
|
58.1
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12.7
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11.9
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5.6
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29.6
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81.3
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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: |
207,112
|
124,238
|
45,873
|
32,022
|
22,546
|
43,759
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131,600
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| Change:
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-2,232
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-2,968
|
5,728
|
-2,577
|
-1,037
|
1,904
|
-8,334
|
| % Open Interest:
|
|
60.0
|
22.1
|
15.5
|
10.9
|
21.1
|
63.5
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To view COT report data released by the CFTC please see the attached files.
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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