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CashBackForex - Often Imitated, Never Duplicated!
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Specs Continue to Cover Short USD Positions-COT Report Nov 6 2012
Submitted by Ralph Shell
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7:40 AM Nov 12 2012
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2062 Views |
0 Comments
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 (2 Votes)
Speculators continue to cover their short USD positions, taking the net position down to only 42,006 contracts from last week's total of 75,689 contracts. When dissecting the aggregate net position, there are some interesting trends.
The short euro and yen positions versus the USD continue to grow. Euro shorts are back up to 91.5K and the yen short position is up to 84.9K. Both the DI and the SF flipped to the long side of the USD.
The commodity currencies - the Canadian, New Zealand, and Australian Dollar - are all very popular with the specs. The total long in these three currencies is 189.8 contracts. This is up from 183.3K in the previous week, but is little-changed during the past three weeks. In the COT report from October 9, 2012, the commodity currency long was 185K.
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US Dollar Index: The OI did go down more than 10% in this small market, but the big change in the DI was that all major participants flipped their positions. The large specs, the biggest players in this market, moved to the long side of the DI, and the small specs and the commercials both established very nominal shorts.
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Euro (EUR/USD): The speculative short in the euro has grown in the past few weeks. Large specs are now a 2.6ratio short. The small spec increased his net short by selling out long positions. Spreading, mostly the option trade, again increased and is now 10.8% of the total OI.
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British Pound Sterling (GBP/USD): Both size specs remained long the pound, but they both reduced the size of their modestly; together, they remain long 33.3K contracts. Market actions have favored the shorts since the end of the period. The total OI, 176K is large for the pound.
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Japanese Yen (JPY/USD): The speculative short in the yen continues to build. The total spec short is now up to almost 85K. Large specs are a 2.5 ratio short and the small specs are a 4.4 to 1 ratio short. Recent price action since the end of the report has not favored the short position. Spreading is up to 6.2% of the OI.
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Swiss Franc (CHF/USD): All three groups flipped their positions during the period. The large specs are now short, but by only 0.3K but the small specs were more aggressive, and are now 3.4K short. The peg to the weak euro seems to be the cause of the selling in the Swissie.
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Canadian Dollar (CAD/USD): There was some spec liquidation in the C$, but the long remains a hefty 82.8K. The large spec remains a 12.5 ratio long, while the little spec is less than a 2 to 1 long. The market has been putting mild pressure on the longs.
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New Zealand Dollar (NZD/USD): The OI increased by over 10% in this small market and it is now almost as big as the DI contract. The increase is the result of spec buying, with the large specs increasing their net long to 19.4K; this gives them a 4.8 ratio long. Small specs are a little less than a 3 long.
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Australian Dollar (AUD/USD): Both spec groups added to their longs, increasing their net positions by over 14K contracts. Large specs are now a 2.5 ratio long. The market action since the end of the period has favored additional buying. The total OI in the A$ is now above 191K.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through November 6, 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: |
37,968
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27,189
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25,799
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2,176
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2,684
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6,208
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7,090
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| Change:
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-4,062
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3,026
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-3,789
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-1,763
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-378
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-5,241
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189
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| % Open Interest:
|
|
71.6
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67.9
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5.7
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7.1
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16.4
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18.7
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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: |
275,317
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43,997
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114,410
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42,127
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63,219
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159,431
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67,927
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| Change:
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10,529
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6,307
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14,616
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-3,108
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-701
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3,270
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-7,446
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| % Open Interest:
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16.0
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41.6
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15.3
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23.0
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57.9
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24.7
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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
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| Contracts: |
176,257
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57,462
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36,369
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35,934
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23,746
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75,558
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108,839
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| Change:
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1,550
|
-713
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2,674
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-1,165
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1,059
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1,762
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-3,850
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| % Open Interest:
|
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32.6
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20.6
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20.4
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13.5
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42.9
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61.8
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
182,472
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25,112
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64,158
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13,279
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59,181
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132,770
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47,822
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| Change:
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17,978
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5,388
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8,167
|
-712
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4,322
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11,665
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3,851
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| % Open Interest:
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13.8
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35.2
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7.3
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32.4
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72.8
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26.2
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
41,474
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13,509
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13,812
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12,427
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15,845
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15,375
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11,653
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| Change:
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2,700
|
1,724
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4,393
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-3,974
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3,952
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4,905
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-5,689
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| % Open Interest:
|
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32.6
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33.3
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30.0
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38.2
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37.1
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28.1
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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: |
184,183
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82,818
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6,597
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37,892
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21,237
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54,200
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147,076
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| Change:
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-1,574
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-4,194
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714
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-3,810
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2,199
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7,351
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-3,566
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| % Open Interest:
|
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45.0
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3.6
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20.6
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11.5
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29.4
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79.9
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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: |
35,326
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24,440
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5,052
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5,156
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1,939
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5,508
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28,113
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| Change:
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4,303
|
3,591
|
948
|
681
|
-33
|
35
|
3,392
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| % Open Interest:
|
|
69.2
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14.3
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14.6
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5.5
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15.6
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79.6
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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: |
191,585
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97,565
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37,078
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38,318
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24,506
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49,309
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123,609
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| Change:
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2,702
|
7,046
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-1,756
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4,253
|
-988
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-8,196
|
5,846
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| % Open Interest:
|
|
50.9
|
19.4
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20.0
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12.8
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25.7
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64.5
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To view Commitments of Traders (COT) data released by the CFTC, please see the attached files.
For general information about the COT report please see the article The CFTC Commitments 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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