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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Undecided Which Way for the USD-COT 09 04 2012
Submitted by Ralph Shell
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7:28 九月 10 2012
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3196 Views |
0 Comments
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 (4 Votes)
The speculator composite net position in the USD is now about even. Usually when specs flip from one side of the market to the other, this trend stays with the market for a lengthy period. Specs did flip to the short side of the USD last week by 14,396 contracts, but they reduced that net position to only 453 contracts.
There may be additional volatility in the currency positions because of the expiration of the September futures and options positions. On Friday, the currency option positions were reduced by 273,757 contracts, and the September futures will expire the third Wednesday of the month, or the 19th in this September.
Specs remain big shorts in the euro versus the USD, and are also short the SF versus the USD as it is pegged to the euro. There were only minor reductions in those positions during the period.
Buying the commodity currencies and selling the USD have been quite popular and the specs have built big long positions in the Australian and Canadian Dollar. They did reduce their A$ long by 20K but the C$ long increased to 86,554 contracts. We suspect part of the C$ build has been buying in anticipation of pricing of export trades at the end of the September contract.
In the BP trade, the specs have changed their mind, moving from a small long to a small short.
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US Dollar Index: There was a minor reduction in the long DI spec positions to 37.3K. Large specs remain a 4.6 ratio long, while the small spec is basically not involved in this market.
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Euro (EUR/USD): Large specs made a small increase in their short positions, while the small short reduced his net short. The result was a net reduction in the net short euro position of about 2K. Since the report cut-off date, the euro has gone up to 1.28, and probably chased in more shorts. Spreading most of which is option trade now represents a large 10.4% of the total OI.
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British Pound Sterling (GBP/USD): The OI increased over 10% and there has been some position changes in the pound. Large specs who had been a very small long, flipped to the short side. This resulted in the commercial becoming a very small long. Small specs remain on the long side of the pound, increasing their position by almost 4K contracts.
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Japanese Yen (JPY/USD): The large spec made a modest increase in his long position, and the small spec, who is short the yen, made a reduction of about 5K contracts in his net position. The large spec long is approaching a 2 ratio net long position.
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Swiss Franc (CHF/USD): There were minor adjustments in positions. The small spec reduced his net short by about 2.7K contracts, while the large spec increased his net short by 1.6K contracts. Large specs are a 2.4 ratio short. The sharp euro gain on the SF started after the last date of this report.
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Canadian Dollar (CAD/USD): Large specs continue to buy the loonie, and added over 5K contracts to their net position. They are now better than a 4 ratio long. Small traders are long also but by less than a 2 to 1 margin. If the OI goes down in a big way with the expiration of the September contract, this would imply that much of the recent increase in trade has been commercial pricing activity.
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New Zealand Dollar (NZD/USD): Both size specs reduced their net long in the Kiwi during the period. The total reduction was roughly 3.6K. Large specs remain a 4.3 ratio long.
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Australian Dollar (AUD/USD): The OI did climb by 5.1K but the total spec long fell by 20.8K contracts. Much of the increase in the A$ came from option activity that shows as spreading. The large spec remains long by a 2.2 ratio, but the small spec is about even. Trading the A$ is quite popular with the total OI over 212K.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through September 4, 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: |
65,796
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45,079
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9,792
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5,041
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3,026
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12,791
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50,093
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| Change:
|
158
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-1,243
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-386
|
560
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1,065
|
492
|
-870
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| % Open Interest:
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68.5
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14.9
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7.7
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4.6
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19.4
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76.1
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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: |
369,054
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43,142
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148,575
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43,547
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69,680
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244,816
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113,250
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| Change:
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4,541
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-529
|
927
|
623
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-2,885
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2,062
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4,115
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| % Open Interest:
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|
11.7
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40.3
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11.8
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18.9
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66.3
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30.7
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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
|
| Contracts: |
142,125
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41,216
|
48,537
|
35,784
|
28,662
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61,392
|
61,193
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| Change:
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17,661
|
-269
|
8,476
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6,391
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2,409
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11,899
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7,136
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| % Open Interest:
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|
29.0
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34.2
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25.2
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20.2
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43.2
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43.1
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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: |
163,686
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55,245
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28,607
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26,181
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34,778
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76,782
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94,823
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| Change:
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3,005
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1,635
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-1,317
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2,174
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-2,956
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-773
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7,308
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| % Open Interest:
|
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33.8
|
17.5
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16.0
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21.2
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46.9
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57.9
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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: |
57,337
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9,013
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22,125
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14,481
|
16,091
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33,830
|
19,108
|
| Change:
|
606
|
-1,671
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-20
|
1,821
|
-979
|
456
|
1,605
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| % Open Interest:
|
|
15.7
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38.6
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25.3
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28.1
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59.0
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33.3
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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: |
188,681
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88,867
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21,684
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46,430
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27,060
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45,219
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131,773
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| Change:
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8,429
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2,513
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-2,667
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-354
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2,239
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5,872
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8,460
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| % Open Interest:
|
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47.1
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11.5
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24.6
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14.3
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24.0
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69.8
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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: |
25,393
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14,815
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3,414
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3,179
|
2,015
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7,271
|
19,836
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| Change:
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-5,981
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-3,400
|
-572
|
-560
|
267
|
-2,023
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-5,678
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| % Open Interest:
|
|
58.3
|
13.4
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12.5
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7.9
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28.6
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78.1
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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: |
212,259
|
112,640
|
50,738
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30,833
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25,652
|
57,727
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124,809
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| Change:
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5,147
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-11,598
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4,865
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-1,190
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3,105
|
13,967
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-6,791
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| % Open Interest:
|
|
53.1
|
23.9
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14.5
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12.1
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27.2
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58.8
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To view the COT 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 Traders 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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