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CashBackForex - Often Imitated, Never Duplicated!
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Commodity Currency Longs Reduce Positions-COT Report 10 02 2012
Submitted by Ralph Shell
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7:11 十月 08 2012
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2605 Views |
0 Comments
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 (4 Votes)
Commodity currency longs reduced some of their longs versus the USD in the latest reporting period. The exception was in the NZ$, a small market where they hold about 89% of the long side. The reduction in the Canadian Dollar long was quite modest, only about 7K contracts, but the specs were much busier selling out their Australian Dollar longs. They sold about 27.6K contracts of their long A$ positions.
There is an interesting article in the Canadian Globe and Mail today about the slowing activity in the Australian mining sector. The story alerts readers Canada, which has a large mining sector, may also suffer. They add the strong Canadian Dollar may make the economic contraction more severe.
With the selling of the A$ and the C$, there was a small reduction in the total USD short position, down to 248,446, from the previous week's high of 267,878 contracts. For the first time in weeks, there was a small increase in the spec short position of the euro.
The open interest in the pound is quite large as specs have been flocking to the long side. Since the close of this report, on October 2, the pound has been costing those specs some money. It will be interest to see if there are stops below 1.60.
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US Dollar Index: The open interest has shrunk as the USD has suffered a decline in popularity. Large specs now have a small short in the DI. The small specs are small players, and a very small long.
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Euro (EUR/USD): There were no significant changes in the euro positions during the period. For the first time in weeks, there was a very small increase in the euro short (USD long) net positions. The large specs remain short the euro by better than a 2 to 1 margin. Spreading, which is mostly option trading increase to a delta adjusted 32K contracts or 11.8% of the total open trade.
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British Pound Sterling (GBP/USD): Again the specs added to their long pound net position. It is now up to a total of 55.5K. Market action since the cut off date for this reporting period has not been kind to these longs. Small specs are better than a 2 ratio long. The total OI, 189K is quite large for the pound.
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Japanese Yen (JPY/USD): Large specs added to their longs by 5.9K and decreased their short by 3K. Bottom line was an increase in their net long of 8.9K which took them up to a 2.4 ratio long. Large specs remain long the yen and the small specs are modest shorts. Versus the USD the yen remains trend less.
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Swiss Franc (CHF/USD): In this small market the small specs are bigger traders than the large specs. Small specs are long 42.7% of the OI, and short 27.6% of the total. Large specs are very small net shorts.
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Canadian Dollar (CAD/USD): There was a small reduction in the OI of the C$ as spec longs sold out a small portion of their massive longs. Large specs remain a 11.4 to 1 ratio long while the small specs are a mere 2.5 ratio long. Macro traders seemed to responded to the claim that QE 3 is bullish on commodities, and consequently bought the C$.
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New Zealand Dollar (NZD/USD): Speculators continue to buy into this small market. The large spec is now a 6.4 ratio long and the small spec is a bit shy of a 3 ratio long. Together the spec groups have 89% of the long side of the kiwi, favored as a commodity currency.
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Australian Dollar (AUD/USD): The OI was down about 13K as the large spec reduced his big net long. His total net long was reduced 27.6 K. He remains a 2.6 ratio long. It would not be surprising to see more liquidation as this market works back toward parity with the USD.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through October 2, 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: |
46,035
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28,035
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32,795
|
2,842
|
2,515
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12,609
|
8,177
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| Change:
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-2,749
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-2,605
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-2,188
|
-208
|
-400
|
-114
|
-339
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| % Open Interest:
|
|
60.9
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71.2
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6.2
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5.5
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27.4
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17.8
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
273,402
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46,103
|
101,936
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47,248
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59,416
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147,901
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79,901
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| Change:
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1,732
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-5,403
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-4,867
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-781
|
-226
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5,572
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4,480
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| % Open Interest:
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16.9
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37.3
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17.3
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21.7
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54.1
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29.2
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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: |
189,055
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64,379
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34,108
|
44,590
|
19,401
|
74,584
|
130,044
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| Change:
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5,883
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3,992
|
575
|
311
|
603
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1,445
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4,570
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| % Open Interest:
|
|
34.1
|
18.0
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23.6
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10.3
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39.5
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68.8
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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: |
153,620
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52,769
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21,918
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28,248
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36,454
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67,157
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89,803
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| Change:
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3,979
|
5,921
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-3,022
|
1,190
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-1,851
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-3,080
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8,904
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| % Open Interest:
|
|
34.4
|
14.3
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18.4
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23.7
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43.7
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58.5
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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: |
38,814
|
12,641
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13,550
|
16,579
|
10,702
|
9,346
|
14,314
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| Change:
|
33
|
-926
|
-869
|
448
|
-134
|
491
|
1,016
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| % Open Interest:
|
|
32.6
|
34.9
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42.7
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27.6
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24.1
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36.9
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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: |
211,173
|
112,911
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9,846
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47,208
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19,316
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44,891
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175,847
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| Change:
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-12,647
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-10,668
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-6,542
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-3,320
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-672
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2,155
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-4,619
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| % Open Interest:
|
|
53.5
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4.7
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22.4
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9.1
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21.3
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83.3
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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: |
34,171
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25,298
|
3,917
|
5,191
|
1,908
|
3,456
|
28,120
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| Change:
|
1,384
|
1,909
|
493
|
-104
|
186
|
-517
|
609
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| % Open Interest:
|
|
74.0
|
11.5
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15.2
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5.6
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10.1
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82.3
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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: |
181,538
|
98,598
|
36,255
|
33,499
|
22,523
|
39,916
|
113,236
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| Change:
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-12,861
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-20,008
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7,587
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-2,712
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-1,755
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8,715
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-19,837
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| % Open Interest:
|
|
54.3
|
20.0
|
18.5
|
12.4
|
22.0
|
62.4
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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 (COT) 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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