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CashBackForex - Often Imitated, Never Duplicated!
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USD Short Position Grows - COT Report Data Feb 05 2013
Submitted by Ralph Shell
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7:35 AM Feb 11 2013
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1032 Views |
0 Comments
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 (6 Votes)
There was a minor increase in the aggregate USD short position to 90,233 contracts from 79,353 contracts in the previous reporting period. There were a number of position shifts that resulted in the change. Spec traders in the pound shifted from a short pound position resulting in an increase in a long USD position of 12.8K.
There was an increase in euro and SF longs, meaning an increase in the USD shorts by 4.2K and 11.5K respectively. The USD short was also increased when the USD DI long and the yen short were reduced by 7.9K and 15.2 respectively.
For the past several months it has been very popular to be long commodity currencies and short the USD. Combined long positions of the Australian Canadian, and New Zealand Dollars exceeded 230K contracts in three separate periods. This position has been reduced to only 158K contracts, though almost all of the reduction has come in the Canadian Dollar. Judging from market action since the close of the report there is more C$, and probably A$ liquidation.
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US Dollar Index:This market continues to be dominated by the large spec, perhaps various types of funds. In this latest period they were active adding to their longs, 6.3K contracts and their shorts by 13.3K contracts. The small spec is not a big participant in the DI, but he did flip to the short side of the contract.
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Euro (EUR/USD): There was a 31K increase in the OI, primarily because commercials added to their longs and shorts. There was also a big increase in spreading, 11.2K contracts, showing increased option activity. The report which shows both futures and delta adjusted options shows the spec are long 29.7K contracts, however, when futures alone are considered, specs are long 42.7K. This shows the importance and magnitude of option trading which represents 14.1% of the total market. Interesting to note in the combined report the small spec has flipped to the short side of the euro, but in the futures only report, the small spec remains long.
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British Pound Sterling (GBP/USD): The small spec is now short the pound and the large spec remains long, although less than 3K contracts. The market action has favored the short. It looks like there was some distressed selling on the last day of the reporting period, which has since been followed by a minor rally.
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Japanese Yen (JPY/USD): Both speculative groups reduced their shorts and increase their longs. The result was a reduction of yen shorts by 15.2K for the period, both spec groups remain short the yen by over a 2 to 1 margin. Options are favored in the yen, and they amount to 16.7% of the total open.
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Swiss Franc (CHF/USD): Small specs have been aggressive in buying the SF and increased their positions by 11.8K in the reporting period. This is a very large amount for a market where the total OI is only 46.4K. With the small specs going so quickly to a 2.5 ratio long, we wonder if this might not have been a hedge for positions involved in long franc short euro forex positions.
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Canadian Dollar (CAD/USD): There was small decrease in the OI, during a period when the large spec was selling his longs and the commercial was buying them The large spec position has been reduced but still remains a 2.8 ratio long. Small specs are only minor loonie longs.
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New Zealand Dollar (NZD/USD): The speculators continue to by the NZ$. taking the OI a little higher. Large specs are long by better than a 7 to 1 ratio, while the small specs are approaching a 3 ratio long.
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Australian Dollar (AUD/USD):There was only a minor reduction in the speculative long in the A$. The large spec remains about a 3 ratio long and the small spec is approaching a 2 to 1 long. Market action has not favored the longs since the end of the period.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through February 5, 2013 |
| 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: |
56,206
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36,545
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34,190
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3,079
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3,348
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13,681
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15,765
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| Change:
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11,760
|
6,321
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13,301
|
-778
|
145
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5,758
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-2,145
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| % Open Interest:
|
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65.0
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60.8
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5.5
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6.0
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24.3
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28.0
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
325,352
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91,454
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60,687
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65,871
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66,954
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122,242
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151,926
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| Change:
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31,080
|
366
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-6,432
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2,517
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5,066
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16,961
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21,210
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| % Open Interest:
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|
28.1
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18.7
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20.2
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20.6
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37.6
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46.7
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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: |
186,207
|
51,795
|
48,927
|
21,571
|
37,307
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99,672
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86,804
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| Change:
|
3,024
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-6,870
|
1,882
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-2,090
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4,450
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8,830
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-6,462
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| % Open Interest:
|
|
27.8
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26.3
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11.6
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20.0
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53.5
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46.6
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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: |
301,625
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51,980
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111,064
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28,186
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70,750
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171,238
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69,589
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| Change:
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16,146
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1,808
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-6,633
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4,546
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-2,215
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-3,265
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11,937
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| % Open Interest:
|
|
17.2
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36.8
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9.3
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23.5
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56.8
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23.1
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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: |
46,405
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13,096
|
9,191
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24,360
|
9,237
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7,553
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26,581
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| Change:
|
5,915
|
1,108
|
1,345
|
9,238
|
-2,560
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-4,586
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6,975
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| % Open Interest:
|
|
28.2
|
19.8
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52.5
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19.9
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16.3
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57.3
|
| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
156,451
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44,612
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16,062
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34,748
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29,110
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71,364
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105,552
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| Change:
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-3,038
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-9,848
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-1,773
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-1,494
|
409
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9,264
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-714
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| % Open Interest:
|
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28.5
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10.3
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22.2
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18.6
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45.6
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67.5
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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: |
37,061
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26,343
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3,643
|
6,253
|
2,192
|
3,057
|
29,818
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| Change:
|
1,580
|
-487
|
-1,371
|
1,446
|
642
|
-214
|
1,474
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| % Open Interest:
|
|
71.1
|
9.8
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16.9
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5.9
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8.2
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80.5
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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: |
194,626
|
121,603
|
41,521
|
37,089
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19,998
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28,276
|
125,449
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| Change:
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-1,898
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-2,479
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2,021
|
216
|
170
|
-388
|
-4,842
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| % Open Interest:
|
|
62.5
|
21.3
|
19.1
|
10.3
|
14.5
|
64.5
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To view the COT report released by the CFTC please see the attached file.
For general information about the COT report please see the article The CFTC Commitments 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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