CFTC Commitments of Traders (COT) Report, published 22 January 2013. The latest COT report shows that the aggregate spec short position in the USD was reduced to 175K, down from 200k in the previous week. The reduction of the short USD position was made in the pound, Canadian USD, and the Swiss franc. To a degree, this was offset by an increase in the long euro short USD positions.
Commodity currencies remain popular longs versus the USD though the position was reduced by about 4.3K contracts. The reduction came in the Canadian Dollar and increases came in the NZ and A$s. The total commodity currency long is now down slightly, to 233.8K.
There were no position changes during the week as most specs held their longs and shorts. If we do observe changes, they are relatively minor.
-
US Dollar Index: There was a slight pick-up in the long position of specs in this small market. In this report, the spec long is 9.6K up from 8.7K. While the small spec is a 2 ratio long, this is a market dominated by the large specs, and their long is of a modest scale.
-
Euro (EUR/USD): The large spec increased their bet that the euro will appreciate against the USD. Only last week, the specs flipped to the long side of the euro, and while the large specs added to their positions, the small specs reduced theirs. Spreading is over 10.2% of the entire market, indicative of active option trade. Market action has favored the longs in the euro.
-
British Pound Sterling (GBP/USD): From a high of about 1.6150 three weeks ago, the pound has been a steady sell-off, and we are currently trading about 1.5730. The sell-off started when the specs were loaded up long, and the surprising thing is they remain long, although in reduced numbers, down to 24.4K contracts.
-
Japanese Yen (JPY/USD): The yen's popularity with traders has increased, and the total open interest is 255K, almost as big as the euro where the OI is 261K. The sell-off in the yen has brought out the bears. The combined speculative position in the yen is 108K, about the same as last week. Both size specs are about 3 ratio shorts. Spreading is a very substantial 11.9% of the market. The market action has rewarded the shorts.
-
Swiss Franc (CHF/USD): The recent strength in the euro has put pressure on the SF longs who were short the euro as well as the USD. The total long in the SF by specs was reduced from 21.5K in the prior week to 11.8K this week. Since the OI was down 3.5K, this implies spec liquidation.
-
Canadian Dollar (CAD/USD): Despite the poor performance of the C$, it remains extremely popular with the large specs who are long by a 7.8-to-one ratio. The total spec position was reduced by about 1k, but it remains long almost 88K contracts.
-
New Zealand Dollar (NZD/USD): Specs continue to buy and hold the Kiwi. Large specs are a 5.5 ratio long and the small specs are a 2.8 ratio long. There was a small increase in the total spec long to almost 27K contracts.
-
Australian Dollar (AUD/USD): The OI in the A$ grew to almost 221K as the specs continued to buy this commodity currency. Since the cut off date for this report, there has been some pressure on the A$, and this has continued today. The total spec long was up to almost 119K. Large specs were approaching a 3 ratio long and the small specs a 2-to-1 long. A reason for the market to liquidate might take this market lower than you might expect.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through January 22, 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: |
43,534
|
30,691
|
22,552
|
2,847
|
1,369
|
7,386
|
17,003
|
| Change:
|
-3,814
|
-844
|
-2,589
|
-1,733
|
-873
|
-1,347
|
-462
|
| % Open Interest:
|
|
70.5
|
51.8
|
6.5
|
3.1
|
17.0
|
39.1
|
| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
260,817
|
83,253
|
62,843
|
59,039
|
56,359
|
92,014
|
115,104
|
| Change:
|
5,197
|
3,464
|
-10,371
|
-1,771
|
-419
|
2,344
|
14,826
|
| % Open Interest:
|
|
31.9
|
24.1
|
22.6
|
21.6
|
35.3
|
44.1
|
| British Pound Sterling (GBP/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
175,005
|
60,310
|
42,577
|
31,641
|
24,949
|
75,343
|
99,767
|
| Change:
|
1,476
|
-3,431
|
6,434
|
-6,815
|
4,977
|
9,363
|
-12,294
|
| % Open Interest:
|
|
34.5
|
24.3
|
18.1
|
14.3
|
43.1
|
57.0
|
| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
255,098
|
41,901
|
105,253
|
23,297
|
68,297
|
159,661
|
51,309
|
| Change:
|
9,980
|
3,622
|
1,358
|
-1,530
|
1,841
|
5,672
|
4,565
|
| % Open Interest:
|
|
16.4
|
41.3
|
9.1
|
26.8
|
62.6
|
20.1
|
| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
41,213
|
15,232
|
8,853
|
17,144
|
11,682
|
7,665
|
19,506
|
| Change:
|
-3,495
|
-3,682
|
2,541
|
-1,476
|
1,997
|
1,013
|
-8,683
|
| % Open Interest:
|
|
37.0
|
21.5
|
41.6
|
28.3
|
18.6
|
47.3
|
| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
151,626
|
66,911
|
8,521
|
48,457
|
18,898
|
32,907
|
120,856
|
| Change:
|
-1,440
|
-5,991
|
4,084
|
673
|
1,609
|
3,282
|
-7,729
|
| % Open Interest:
|
|
44.1
|
5.6
|
32.0
|
12.5
|
21.7
|
79.7
|
| New Zealand Dollar (NZD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
37,180
|
28,815
|
5,283
|
5,269
|
1,867
|
2,733
|
29,667
|
| Change:
|
-1,474
|
-1,105
|
-2,375
|
99
|
74
|
-469
|
826
|
| % Open Interest:
|
|
77.5
|
14.2
|
14.2
|
5.0
|
7.4
|
79.8
|
| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
220,754
|
143,562
|
46,730
|
45,243
|
23,134
|
26,302
|
145,242
|
| Change:
|
7,481
|
6,795
|
-786
|
-1,128
|
1,070
|
17
|
5,400
|
| % Open Interest:
|
|
65.0
|
21.2
|
20.5
|
10.5
|
11.9
|
65.8
|
To view the COT report 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 (COT) Report
About Ralph Shell: Traded personal account profitably for 19 of the 20 years at the CBOT. Ranked as one of the top five Forex opinion leaders on SeekingAlpha.com. Extensive career as a commodity broker and trader, formerly a commodity broker and grain analyst for Merrill Lynch in Chicago. Member of Chicago Board Of Trade for eighteen years. Floor broker for the Sparks Division of Refco for nine of those years. Also a former member of the Kansas City Board of Trade and the Minneapolis Grain Exchange. Floor trader for over twenty years, specializing in soy beans, wheat and the grains. Ten years as grain merchandiser for Continental Grain Company. Grain trading career included five years in the export grain markets as a wheat and then a soy bean trader. Also traded barge grain out of St Louis, and was the Assistant Manager of the South West Region of the US. First foreign exchange contracts in futures and options over 30 years ago well before the days of online retail fx trading. Today, Ralph is involved exclusively with analyzing and trading the forex market.
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