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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Reduce Their USD Currency Shorts-COT Report 10 09 2012
Submitted by Ralph Shell
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7:45 10 15 2012
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2669 Views |
0 Comments
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 (7 Votes)
During the latest COT reporting period, currency speculators, in the aggregate, reduced their USD short position by over 107K contracts. From the peak USD short position of 267,878 contracts on September 25th, that position has been reduced to 146,620 contracts.
The biggest reductions of the USD shorts was against the commodity currencies. Specs had bought heavily in commodities and commodity currencies following the announcement of QE3, expecting this cash injection to cause instant inflation. Buying was exceptionally heavy in the Australian and Canadian Dollars. Parts of those positions have been sold.
Selling in the Australian Dollar has been heavy. The market remains long, but the specs have sold almost 60K contracts in the past two weeks. The other big commodity long is in the Canadian Dollar, and for the most part the position remains. For the report of September 25th, the specs held longs in the C$ of almost 138K contracts. This has been reduced marginally to 122.6K contracts.
For weeks the specs had been short the euro versus the USD, and continued to liquidate in an orderly fashion. Last week, the big spec stopped the euro buying and went the other way selling about 19K contracts of the euro.
There was a shift in the Japanese yen. For weeks, the small spec has been short and the large spec long the yen. The large spec remains a much smaller long as he reduced his longs and increased his shorts. With the small spec remaining short, this has resulted in the combined net spec short flipping to the short side of the yen by 1.7K contracts.
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US Dollar Index: This is a small market dominated by large specs. Large specs are net short the DI and increased their net short modestly, liquidating 2.6K contracts of their longs. They also liquidated 1.2K of their shorts. There is no strong commitment in this market.
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Euro (EUR/USD): Large specs for the first time in weeks stopped the liquidation of their short position in the euro. Instead, the large spec reduced his longs and increased his shorts. The result was an increase in the large spec net short position of 19.7K. Option expiration resulted in the total OI going down 5.5K, and the spreading (mostly options trade) was down to 9.2% of the total open interest.
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British Pound Sterling (GBP/USD): There was sizable long liquidation by both the large and the small shorts in the pound. Large specs reduced their longs by about 7.5K, and the small specs by 5.7K. The total OI at over 160K remains large for this currency. Market action has probably taken out more longs since the end of this report.
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Japanese Yen (JPY/USD): For weeks, large and small spec in the yen have been on different sides of the market. The large spec has been long the yen and the small spec short. In this period the large spec reduced his long by 12.2K contracts and increased his short by 5.2K. Small specs also reduced their longs 6.2K contracts. As a consequence of this activity, the total spec position flipped to a net short yen position.
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Swiss Franc (CHF/USD): The total spec long position in the SF was reduced to only 1.7K contracts. This long is held by the small specs. Large specs are very nominal shorts. The OI in the Swissie is quite small.
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Canadian Dollar (CAD/USD): The OI is large in the C$ with specs heavy on the long side. The large specs are a 11.3 ratio long, and the small specs are a 2 to 1 long. The total spec long was reduced a minor amount by remains at 122.6K. The long in the C$ is the currency specs biggest play.
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New Zealand Dollar (NZD/USD): Specs remain bullish on the NZ$, but they did make a small reduction in those longs. The large spec is a 4.8 ratio long and the small spec is a 2.9 ratio long.
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Australian Dollar (AUD/USD): There was a very big reduction of spec longs in the A$. Total net reduction in the spec net long amounted to a hefty 31.3K. Large specs remain about a 2 to 1 long but the small spec position is now only 3.2K long. Despite the heavy spec selling the OI did not go down significantly as the commercial was there buying what the spec was selling.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through October 9, 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: |
43,194
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25,444
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31,540
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3,433
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2,634
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12,172
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6,876
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| Change:
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-2,841
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-2,592
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-1,255
|
591
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119
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-437
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-1,302
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| % Open Interest:
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58.9
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73.0
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7.9
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6.1
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28.2
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15.9
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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: |
267,868
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39,941
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115,446
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46,063
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57,068
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157,201
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70,690
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| Change:
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-5,535
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-6,162
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13,511
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-1,186
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-2,347
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9,299
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-9,211
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| % Open Interest:
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14.9
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43.1
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17.2
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21.3
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58.7
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26.4
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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
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| Contracts: |
170,252
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55,446
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31,742
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38,771
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19,539
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72,368
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115,304
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| Change:
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-18,803
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-8,933
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-2,366
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-5,820
|
138
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-2,216
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-14,740
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| % Open Interest:
|
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32.6
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18.6
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22.8
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11.5
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42.5
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67.7
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
137,490
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40,613
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27,116
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22,020
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37,293
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70,399
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68,623
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| Change:
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-16,129
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-12,156
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5,198
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-6,228
|
840
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3,242
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-21,180
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| % Open Interest:
|
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29.5
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19.7
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16.0
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27.1
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51.2
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49.9
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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: |
36,266
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11,676
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11,982
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14,878
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12,884
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9,709
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11,397
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| Change:
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-2,548
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-965
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-1,568
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-1,701
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2,182
|
363
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-2,918
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| % Open Interest:
|
|
32.2
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33.0
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41.0
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35.5
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26.8
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31.4
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
204,215
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106,227
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9,346
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46,738
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20,945
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45,361
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168,035
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| Change:
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-6,958
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-6,684
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-501
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-471
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1,628
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470
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-7,812
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| % Open Interest:
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52.0
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4.6
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22.9
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10.3
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22.2
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82.3
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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
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| Contracts: |
30,498
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21,075
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4,365
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5,429
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1,873
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3,857
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24,123
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| Change:
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-3,673
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-4,223
|
448
|
238
|
-35
|
401
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-3,997
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| % Open Interest:
|
|
69.1
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14.3
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17.8
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6.1
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12.6
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79.1
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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: |
177,270
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78,525
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39,675
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30,147
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26,952
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61,520
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103,566
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| Change:
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-4,268
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-20,073
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3,420
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-3,352
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4,429
|
21,604
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-9,671
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| % Open Interest:
|
|
44.3
|
22.4
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17.0
|
15.2
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34.7
|
58.4
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To view the Commitment of Traders (COT) data 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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