Dramatic Spot Currency Moves, Little Change In Speculative Positioning In The Futures Market

| About: CurrencyShares Euro (FXE)

Summary

Speculative gross positioning in the currency futures did not change much.

Speculators mostly lightly covered some short currency futures positions.

The bulls tried picking a bottom in the 10-year Treasury futures, which continued to sell-off after the reporting period ended.

What is most noticeable about the CFTC Commitment of Traders report for the reporting week ending November 15 is what is not there: Activity. With the Australian dollar being the sole exception, we are struck by the apparent fact that dramatic spot price action and what seemed like an impulsive trend move seemed not to be reflected in the futures position adjustments by speculators.

Given the strength of the US dollar after the election, which this report covers, it is not surprising that among the eight currency futures we follow, there was some light profit-taking by speculators in six of the gross short currency futures. The exceptions were the Japanese yen and the Mexican peso, where gross short positions were extended.

The speculators cut exposure in the Australian dollar. The bulls, caught wrong-footed, liquidated 14.7k contracts, leaving them with gross long 77.8k contracts, the second largest gross long position behind the euro, where speculators have a gross long position of 121.6k contracts. The bears covered a third of their gross short position or 15.1k contracts. The gross short speculative position stood at 36.3k contracts as of the end of business on November 15. This results in a net long position of 41.5k contracts, the largest speculative long position among the currency futures.

In addition to the Australian dollar, speculators have a net long position in the New Zealand dollar (2k contracts) and the Japanese yen (20.7k contracts). The net long speculative yen position is the smallest in six months. The net long position has fallen as the gross longs were reduced to the recent peak of 102k to 67.1k contracts, a 35k contract liquidation since early-October. The gross shorts nearly doubled to 46.4k contracts from 26.3k where it bottomed in late-September. The gross short yen position is the largest since January.

In the 10-year Treasury note futures, speculators tried picking a bottom (top in yields) with a significant move. They added 143.3k contracts to its gross long position, lifting it to 695.5k contracts. It is the third largest gross long position of the year. The record speculative gross long position was set in August 2007 with 954k contracts. The bears took profits on about 10% of their gross short position of 65.8k contracts. This reduced the gross short position to 559.1k contracts. Owing to these gross position changes, the net position swung from short 71.6k contracts to long 137.4k. The December note futures continued to sell-off after the end of the reporting period. We suspect some of the late longs are in weak hands.

In the light sweet crude oil futures, the speculative position adjustment was much more balanced than in the T-Note futures. The bulls added 20.6k contracts to the gross long position. It stood at 581.4k contracts. The bears added 21.8k contracts to the gross short position, raising it to 305.1k contracts. The net long position slipped 1.2k contracts to 276.3k.

15-Nov

Commitment of Traders

Net

Prior

Gross Long

Change

Gross Short

Change

Euro

-119.2

-129.3

121.6

2.7

240.8

-7.5

Yen

20.9

32.0

67.1

-5.5

46.4

5.7

Sterling

-80.3

-89.8

54.2

1.0

134.6

-8.5

Swiss Franc

-22.2

-23.3

7.0

0.2

29.2

-0.9

C$

-18.6

-21.3

34.3

1.4

52.9

-1.3

A$

41.5

41.1

77.8

-14.7

36.3

-15.1

NZ$

2.0

2.5

33.5

-2.6

31.5

-2.1

Mexican Peso

-45.2

-33.0

22.1

-3.2

62.3

9.0

(CFTC, Bloomberg) Speculative positions in 000's of contracts

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Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it. I have no business relationship with any company whose stock is mentioned in this article.