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Specs Increase USD Short by over 49K contracts in Latest COT Currency Report 07 05 2011

There was an increase in trading as the open interest (NYSE:OI) grew by 66,156 contracts during the latest reporting period.  The biggest increase was in the A$, 30K, the C$, 15.8K, the pound, 15.6K, and the euro, 10.2K.  Open interest in the A$,  the C$, and the euro went up as the speculators were buying those currencies.  The OI went up in the pound because the specs were selling the pound.

       Last week the net USD short position was 127,593 contracts.  This short position increased during the week to 176,954 contracts, as the large and small specs combined were busy increasing their long positions in the A$ to 81.6K, the euro to 56.3K, and the C$ to 37.1K.  There was a 6.2K reduction in the DI long position, and small liquidation in the spec long positions in the yen and the SF.  In the British pound the specs continued to add to the short position in the pound, increasing the short to almost 33K.  After the end of the COT reporting period, the market action hurt the specs in their long euro and short pound positions.

       There was only one position flip during the week as the big specs moved back to the long side in the C$.  In an unusual trade, large specs were quite active in the Mexican Peso, buying 26.6K contracts, and pushing the OI up to 125,229 contracts.  Commercials are short and the large spec is a 13.75 to 1 long in the peso.

       Small specs had the biggest long percentage of the market in the SF, 50.25, the C$, 44.9%, the A$, 28.3%, and the euro, 25.7%.  On the short side, the biggest small spec share of the market was in the yen, 32.1%, and the SF, 25.7%.

       The large specs had the biggest share of the market in the NZ$, 74.2%, the DI, 68.6%, the A$, 63.5%, the euro 34.0%, and the yen 33.7%.  On the short side they had 52.0% of the DI, 47.7% of the pound, 21.6% of the C$, and 20.9% of the SF.

  • US Dollar Index:There was a small reduction in the OI caused primarily by the large spec reducing longs and the commercial taking in his short.  Large and small specs collectively reduced their longs to 11,651, from 17,827 contracts in the previous period.  Small specs, not big participants in this market, are better than a 2 to 1 long.
  • Euro (EUR/USD):The large specs continued to buy the euro, increasing the OI by 10.1K, while commercials sold the euro.  Large specs are a 2.2 to 1 long.  Small specs are also long modest positions.  The total spec euro long was increased to 56,296 contracts, up from 43.435 in the prior week.  For the calendar week longs in the euros were losers.  Where are their stops?  Note spreading which represents option activity accounts for 11.9% of the OI.
  • British Pound Sterling (GBP/USD):The OI was up 12,4% for the period as the large specs added to their short pound position by almost 14K.  Small specs are short but only 1.6K.  Large specs are now a 2 to 1 short in the pound.  The total short pound position is up to 32.9K.  At the close, 1.60434, the pound was up from the previous weeks close of 1.59660.  Note the COT data closes on a Tuesday and the price data is based on a weekly close.
  • Japanese Yen (JPY/USD):There was not a lot of position movement during the period.  The large spec remains long the yen by 14.3K contracts while the small spec is short the yen by 8.5K contracts.  The OI in the yen is small.
  • Swiss Franc (CHF/USD):The OI came down 3.9K contracts primarily because the large spec reduced his long position by 5.5K contracts.  Small specs are big players in the Swissie, long 50.7% of the total market, and long by a 2 to 1 ratio.
  • Canadian Dollar (CAD/USD):The OI was up almost 10% as the large specs flipped back to the long side of the loonie.  Small specs also added to their net long by 10.1K contracts and are now a 2.5 to 1 long.  The total spec long in the C$ increased 17.4 contracts to 37.1.
  • New Zealand Dollar (NZD/USD):The large specs, already long, added to their holding, and are now a 6.2 to 1 long.  Small specs are also long by a 3.8 to 1 ratio.  The total spec long is up to 22.3K contracts with specs long 88.9% of the market.
  • Australian Dollar (AUD/USD):The OI increased by 30K contracts as the specs bought the A$.  Large spec bought 23.6K, though they also added 8.2K to their shorts.  Large specs are now a 4 to 1 long.  Small specs were also strong buyers increasing their net long by 11.k contracts.  They are now a 2 to 1 long. Specs, now long 91.8% of the OI as it increased to 130K in the period, larger than the OI in ant currency except the euro.  
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through July 5, 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: 48,108 32,980 25,035 7,022 3,316 6,469 18,120
Change: -3,109 -2,630 2,396 -589 562 -495 -6,672
 % Open Interest: 100.0 68.6 52.0 14.6 6.9 13.4 37.7
Euro (EUR/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 237,636 81,120 36,579 61,189 49,435 67,057 123,353
Change: 10,179 13,129 3,343 772 -2,303 -3,315 9,545
 % Open Interest:   34.1 15.4 25.7 20.8 28.2 51.9
British Pound Sterling (GBP/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 125,918 28,736 60,096 25,025 26,637 68,757 35,785
Change: 15,687 392 13,989 2,010 985 13,340 768
 % Open Interest:   22.8 47.7 19.9 21.2 54.6 28.4
Japanese Yen (JPY/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 102,714 34,607 20,335 24,960 33,014 39,551 45,770
Change: 489 262 -660 717 -1,458 -729 2,369
 % Open Interest:   33.7 19.8 24.3 32.1 38.5 44.6
Swiss Franc (CHF/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 50,203 15,986 10,516 25,435 12,924 7,991 25,972
Change: -3,896 -5,507 -980 -858 -283 2,403 -2,699
 % Open Interest:   31.8 20.9 50.7 25.7 15.9 51.7
Canadian Dollar (CAD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 117,168 30,645 25,273 52,615 20,851 30,492 67,627
Change: 15,866 8,772 1,526 7,471 -2,727 -1,281 16,164
 % Open Interest:   26.2 21.6 44.9 17.8 26.0 57.7
New Zealand Dollar (NZD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 30,520 22,648 3,662 4,491 1,171 3,381 25,687
Change: 868 406 -216 79 -166 383 1,250
 % Open Interest:   74.2 12.0 14.7 3.8 11.1 84.2
Australian Dollar (AUD/USD)
    (1) Large Traders (2) Small Traders (3) Commercial
  Open Interest Long Short Long Short Long Short
Contracts: 130,287 82,750 20,642 36,873 17,344 7,902 89,540
Change: 30,072 23,647 8,208 7,233 -3,762 -946 25,488
 % Open Interest:   63.5 15.8 28.3 13.3 6.1 68.7

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