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Latest COT Currency Report Data 06 14 2011

Typically the expiration of a futures contract results in a large contraction in the open interest (NYSE:OI), and this period was no exception.  T he biggest decrease was in the euro, 101,249 contracts, followed by the A$, 29,856, and the pound, 22,668.  Only the C$ had an increase in the OI, 12,960, but the OI in the C$ always liquidates a day late at the end of a contract.  The total OI reduction was 187,288 contracts.

It is informative to look at the size of the OI, the day following contract expiration.  This give us an idea of the speculator interest in the different currencies at different time frames.  The following table looks at the size of the OI,  futures only contracts, for the last three contract expirations.  The numbers have been rounded off to the nearest thousand contracts.

               12-2010       03-2011            05-2011


A$              116                 99                      99
BP                70                 96                      93
C$              107               123                      94
SF                44                  60                     53
Euro           153                185                   182
JPY               91                114                     96

The trading interest in the euro, pound and the SF has increased.  The yen and the C$ had a big increase in March and then back down in June.  Interest in the A$ is less in June than it was in December.

This past week, a volatile one in the currencies, felt like there may have been some liquidation in the big USD short.  Such was not the case.  The spec USD bears continued to add to their position, increasing their total short by 39,200 contracts, to a total USD short of 274,764 contracts.  The biggest long other currencies versus the USD is in the A$, 83,010, euro, 64,905, and the C$, 49,175.  Their was a notable increase in BP longs by 11,637 contracts in a medium sized market.

Small specs had the biggest long percentage of the market in the  SF 47.7%, the C$, 33.1%, the pound, 30.4%, and the yen, 29.2%.  Small specs were most active on the short side of the pound, 22.6%, the SF, 21.7%, and the euro 21.2%.

The large specs biggest long positions aside from the NZ$ and the DI, are in the A$ 66.6%,  the SF, 45.6%, the yen and the pound, both 37.9%, and the euro 37.4%.  On the short side the biggest positions were in the pound 26.6, and the SF 22.2%

  • US Dollar Index:  The OI was down about 17% due primarily to commercials reducing both their longs and their shorts.  Large specs were buyers increasing longs by almost 3K contracts and reduced shorts by .8K.  Small specs do not actively participate in the DI but do have almost a 2 to 1 long.
  • Euro (EUR/USD):Liquidation in the euro because of expiration of the June contract was a massive101K contracts.  Large specs increased their long percentage of the market and are now a 2.6 to 1 long.  Despite the liquidation, the absolute net speculators euro long increased by over 7K contracts, a week when the yen traded lower much of the week. 
  • British Pound Sterling (GBP/USD):The big change in the composition of the pound during the period was the large spec flipping to the long side of the pound.  This was accomplished primarily with liquidation of 9.9K shorts but also with the addition of 3.1K of longs.  The increase in the spec long pound position increased to 18.4K from the previous periods 6.8K.
  • Japanese Yen (JPY/USD):  Most of  the decrease in the OI was a reduction of commercial longs and shorts.  The large spec remains long the yen and the small spec is short.  The increased net long position in the large spec positions took him to 2.6 to 1 long.  The total net spec long in the yen increased by over 7K in the period.
  • Swiss Franc (CHF/USD):The 20K reduction in the OI was mostly caused by the specs reducing both long and short positions.  Large and small specs are long 93.3% of the total SF futures market.  There was a 1.7K reduction in the spec long, a small portion of the 20.1K total SF reduction.
  • Canadian Dollar (CAD/USD):  Unlike the other markets, the C$ did not have a reduction in the OI, probably because the cash pricing of commercial contracts washes out on a different time.  Both the large and small specs increased their longs and decreased shorts.  Large specs are a 2 to 1 long and the small specs are approaching a 3 to 1 long.
  • New Zealand Dollar (NZD/USD): There a decrease of both longs and shorts by all participants across the board.  Large specs remain dominate in this market,, long 74.8%, and short only 13.7%.  Small specs are also long by a 4 to 1 margin.
  • Australian Dollar (AUD/USD):  The smaller OI was primarily because the commercial reduced both longs and shorts.  The large spec is the feature, over a 6 to one long in the Aussie, while the small spec is a mere 2 to 1 long.  Total spec Aussie longs, and by default short the USD is 83K contracts.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through June 14, 2011
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: 54,172 36,993 31,087 7,191 4,044 8,678 17,730
Change: -9,030 2,977 -838 36 -115 -9,952 -5,986
 % Open Interest: 100.0 68.3 57.4 13.3 7.5 16.0 32.7
Euro (EUR/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 224,792 84,144 32,271 60,591 47,560 57,536 122,441
Change: -101,249 -11,581 -10,832 -7,473 -15,393 -84,957 -77,787
 % Open Interest: 100.0 37.4 14.4 27.0 21.2 25.6 54.5
British Pound Sterling (GBP/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 96,320 36,521 25,604 29,271 21,727 27,259 45,721
Change: -22,668 3,155 -9,946 217 1,681 -26,457 -14,820
 % Open Interest: 100.0 37.9 26.6 30.4 22.6 28.3 47.5
Japanese Yen (JPY/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 102,138 38,686 14,670 29,839 35,831 30,844 48,868
Change: -11,550 2,648 -4,921 -1,296 -1,192 -13,543 -6,080
 % Open Interest: 100.0 37.9 14.4 29.2 35.1 30.2 47.8
Swiss Franc (CHF/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 56,001 25,539 12,414 26,703 12,131 3,594 31,290
Change: -20,100 -749 2,776 -354 -2,267 -18,211 -19,822
 % Open Interest: 100.0 45.6 22.2 47.7 21.7 6.4 55.9
Canadian Dollar (CAD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 148,819 33,308 15,121 49,285 18,298 57,295 106,470
Change: 12,960 1,026 -4,054 2,784 -3,211 3,389 14,464
 % Open Interest: 100.0 22.4 10.2 33.1 12.3 38.5 71.5
New Zealand Dollar (NZD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 31,432 23,520 4,302 4,405 1,079 3,507 26,051
Change: -5,795 -53 -3,267 -530 -327 -5,066 -2,055
 % Open Interest: 100.0 74.8 13.7 14.0 3.4 11.2 82.9
Australian Dollar (AUD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 120,184 80,078 12,487 32,054 16,636 6,320 89,330
Change: -29,856 946 -1,459 -2,850 -3,863 -27,925 -24,507
 % Open Interest: 100.0 66.6 10.4 26.7 13.8 5.3 74.3

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 Commitment of Trader Report