There was a sizable reduction in the USD short position during the latest reporting period. The net USD short position was reduced by 81,566 contracts to 193,198 contracts. This represents substantial short USD liquidation, but there remains still, a big USD short. Notable position changes, a reduction in the euro long by about 24K contracts, sales of 28.7K of pound contracts to flip to the short side of the pound, an increase in the yen long by 12.4K, a 21K reduction in the C$ long, and a 16K reduction in the A$. The largest speculator longs remain in the A$, 66,727 contracts, and the euro 40,884 contracts. After the close of this COT reporting period, there was an OI reduction in euro futures,by over 10K contracts toward the end of the calendar week.
The open interest (OI) declined by 65,028 in the reporting week. The biggest OI decline was in the C$, 53,125 contracts representing the belated close outs of the expired June contract. The OI was down 7.2K in the DI, and 14.1K in the A$. The euro and the yen both had an increase in the OI 5.3K.
Small specs had the largest share of the OI on the long side in the C$, 48.8%, the SF, 47.4%, the yen 28.2%, and the A$, 28%. On the short side, the biggest small spec participation was in the yen, 29.6%, the pound 23.1%, and the SF 23%.
Large spec had the biggest long percentage of the market in the NZ$, 75.8%, the A$, 63.2%, the SF, 44.2%, and the yen 44.0%. We will ignore the DI, a small market dominated by large traders on both sides. On the short side, the biggest players wer short the pound, 38.4$, a new position, and 22.2% in the SF.
Dollar Index: There was a 15% drop in the OI, the result of large specs reducing both long and short positions. Large specs remain a modest long, and the small specs are about a 3 to 1 long. This market remains dominated by large specs.
- Euro (EUR/USD):Both the large and small specs reduced their euro longs and increased their shorts. In the previous week, specs had been long 64,905 contracts, and this was reduced to 40,884 long euro contracts. The down euro market washed out some of the big specs, but they remain a 1.7 to 1 long. Total OI was up a modest 5.3K contracts. Small specs like the big ones remain long though the number was reduced.
- British Pound Sterling (GBP/USD): Speculators moved decisively from the long to the short side of the pound. The large spec and the commercial both flipped their positions, but the small spec remained a small pound long. Last week specs were long 18.4K contracts , and this flipped to a short in the pound of 10.3K. After the end of the COT reporting period, the pound traded lower and the futures OI increased, technically a bearish indicator.
- Japanese Yen (JPY/USD): The OI in the yen increased by only 5.3K, less than the 8.6K the large specs added to their long. Large specs are now a 3.1 to 1 long. Small specs have been consistently short the yen but have reduced that position to where they are short a mere 1.5K. Recent yen trade has not been rewarding to either the bulls or the bears.
- Swiss Franc (CHF/USD): This relatively small market is dominated by specs. The small spec is long 47.4% of the total market share, and the large spec is long 44.2%. There was a small 2.3K decrease in the OI as specs took some profits. Both spec groups remain a 2 to 1 long. Probably there was further liquidation late in the week.
- Canadian Dollar (CAD/USD): The large 53.1K liquidation in the OI is the belated clean up after the expiration of the June contract. This happens with every delivery contract and probably relates to hedging of commercial transactions. The large spec long has been reduced to where it is practically even. Small specs are still big loonie bulls, long almost half the total market, and a 2 to 1 long.
- New Zealand Dollar (NZD/USD):There was little movement in the NZ$ during the period. Total spec long is 90.2% of the OI. Large specs dominate this market and are a 5.6 to 1 long, while the small spec is a 3.5 to 1 long.
- Australian Dollar (AUD/USD): The large spec reduced their long by 13K, which was the bulk of the decline in the OI by 14.1K. Large specs remain a 5.3 to 1 long and the small spec is also long by a 1.7 to 1 margin. The total spec long position in the A$ dropped from 83,010 contracts to 66,727 contracts.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through June 21, 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: | 46,937 | 31,162 | 26,043 | 7,321 | 2,743 | 7,095 | 16,792 |
Change: | -7,235 | -5,832 | -5,044 | 130 | -1,301 | -1,583 | -939 |
% Open Interest: | 66.4 | 55.5 | 15.6 | 5.8 | 15.1 | 35.8 | |
Euro (EUR/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 230,113 | 71,563 | 39,718 | 58,225 | 49,185 | 73,539 | 114,423 |
Change: | 5,322 | -12,582 | 7,448 | -2,366 | 1,625 | 16,003 | -8,018 |
% Open Interest: | 31.1 | 17.3 | 25.3 | 21.4 | 32.0 | 49.7 | |
British Pound Sterling (GBP/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 98,698 | 26,605 | 37,934 | 23,866 | 22,840 | 44,864 | 34,562 |
Change: | 2,378 | -9,916 | 12,330 | -5,405 | 1,112 | 17,605 | -11,159 |
% Open Interest: | 27.0 | 38.4 | 24.2 | 23.1 | 45.5 | 35.0 | |
Japanese Yen (JPY/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 107,450 | 47,308 | 15,309 | 30,324 | 31,840 | 26,869 | 57,352 |
Change: | 5,312 | 8,622 | 639 | 485 | -3,991 | -3,975 | 8,484 |
% Open Interest: | 44.0 | 14.2 | 28.2 | 29.6 | 25.0 | 53.4 | |
Swiss Franc (CHF/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 53,646 | 23,735 | 11,932 | 25,425 | 12,355 | 3,936 | 28,809 |
Change: | -2,355 | -1,804 | -482 | -1,278 | 224 | 342 | -2,481 |
% Open Interest: | 44.2 | 22.2 | 47.4 | 23.0 | 7.3 | 53.7 | |
Canadian Dollar (CAD/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 95,694 | 19,690 | 17,881 | 46,692 | 20,253 | 27,037 | 55,285 |
Change: | -53,125 | -13,618 | 2,760 | -2,594 | 1,955 | -30,258 | -51,185 |
% Open Interest: | 20.6 | 18.7 | 48.8 | 21.2 | 28.3 | 57.8 | |
New Zealand Dollar (NZD/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 30,261 | 22,942 | 4,093 | 4,349 | 1,226 | 2,970 | 24,942 |
Change: | -1,171 | -578 | -209 | -56 | 147 | -537 | -1,109 |
% Open Interest: | 75.8 | 13.5 | 14.4 | 4.1 | 9.8 | 82.4 | |
Australian Dollar (AUD/USD) | |||||||
(1) Large Traders | (2) Small Traders | (3) Commercial | |||||
Open Interest | Long | Short | Long | Short | Long | Short | |
Contracts: | 106,030 | 67,059 | 12,532 | 29,738 | 17,582 | 6,845 | 73,527 |
Change: | -14,154 | -13,019 | 45 | -2,316 | 946 | 524 | -15,802 |
% Open Interest: | 63.2 | 11.8 | 28.0 | 16.6 | 6.5 | 69.3 |
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
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