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Specs Add to Euro Longs


Data and Analysis for Most Recent Release  September 19, 2009

Legend:  Net Long       Net Short       Position Change 

Overview: This report was a glimpse of existing position immediately prior to the expiration of the Sept contract.  Traders were busy cleaning up open positions and liquidated 40,697 contracts during the period.  Despite the liquidation, the number of short dollar positions climbed by 30,433 contracts to record for this year of
299, 619 contracts.  Only in the pound were the specs long the USD and short the pound.  The largest move away from the dollar to another currency came in the euro were the big specs were the big buyers.  The long side of the Swiss franc is almost totally owned by the specs.  Only the NZD which has the specs owning a larger share, 99.5% of the total OI.   Markets this out of balance usually result in a sharp reversal at some time.  For those who claim the commercial is always right, these two markets dispute that, but perhaps the final chapter will be different.  The big increase in the Canadian OI was all commercials, and suggests there may be a lot of legitimate hedgers using this market..

      (1) Large Traders (2) Small Traders (3) Commercial
    Total OI Long Short Long Short Long Short

USD
Index
Contracts: 35,319 10,350 19,641 2,343  4,778 19,302 7,576
Change: -3,676 608 3,136 -450 -541 -4,623 -7,060
 % Open Interest:   29.3 55.6 6.6 13.5 54.7 21.4
Analysis: Large traders added to their short positions during the period, and modestly added to longs.  All other groups were reducing positions during the period.  Small specs, not big players in this market, are 2 to 1 short.

EUR
Contracts: 176,512 74,351 34,029 62,864 38,420 26,466 91,232
Change: 9,662 17,820 -2,468 7,459 4,708 -15,650 7,390
% Open Interest:   42.1 19.3 35.6 21.8 15.0 51.7
Analysis:  The large specs, probably  funds added, buying 10% of the total open interest during the period.  The presistant buying by this group is not doubt part of the reason for the steady climb of the euro.  Small traders, very large participants in this market are long, though not as long as the big specs.  This leaves commercials over a 3 to 1 short.

GBP
Contracts: 72,277 24,536 36,754 20,741 19,341 24,793 13,974
Change: -37,978 -4,843 1,784 2,588 -706 -34,125 -37,478
% Open Interest:   33.9 50.9 28.7 26.8 34.3 19.3
Analysis: Very big liquidation mostly by the commercial, which left the specs with a bigger share of this market than the commercials.  The small spec flipped to a modest long and considering the late week sell off was not profitable.  The large trader reduced longs and increased shorts.  This now appears to be a spec driven market, at this time.

JPY
Contracts: 116,106 54,141 16,322 31,545 18,910 25,512 75,966
Change: -5,331 -2,597 1,042 2,916 2 -6,251 -6,976
% Open Interest:   46.6 14.1 27.2 16.3 22.0 65.4
Analysis: At a time when the market should have been shedding open interest prior to the end of the Sept contract, small specs were busy adding to their long position.  The large spec is now a 3 to 1 long.  Commercials reduced both longs and shorts, and are now about a 3 to 1 short.

CHF
Contracts: 47,258 24,075 5,630 20,850 7,337 1,293 33,251
Change: -6,718 704 523 411 -668 -7,413 -6,153
% Open Interest:   50.9 11.9 44.1 15.5 2.7 70.4
Analysis: Liquidation came primarily from the commercials leaving the commercial a 26 to 1 ratio short.  This means that the spec, large and small is long 95.0 % of the total open interest.  For you contrarian pair traders, this suggest you buy the USD and sell the CHF.

CAD
Contracts: 131,334 45,658 7,447 38,206 17,258 38,866 98,028
Change: 19,879 1,856 797 285 -227 14,627 16,197
% Open Interest:   34.8 5.7 29.1 13.1 29.6 74.6
Analysis: Though the OI went up during the period this was commercial buying and selling in about equal proportions.  No one changed their minds or positions during the period.  Big specs are big longs and the small specs are small longs.  There are 18 commercials short 74.6% of the open interest.

NZD
Contracts: 23,371 20,206 1,211 3,034 968 131 21,192
Change: -6,488 1,218 346 113 332 -7,819 -7,166
% Open Interest:   86.5 5.2 13.0 4.1 0.6 90.7
Analysis: The reduction in the OI was the commercials who took off almost all their longs and over 7000 contracts of shorts.  No change here.  Spes wild over the Kiwi leaving the commercial short 90.7% of the OI.

AUD
Contracts: 107,685 58,139 9,196 29,737 7,297 18,052 89,436
Change: -9,047 3,269 2,892 -1,542 -4,766 -10,594 -6,993
% Open Interest:   54.0 8.5 27.6 6.8 16.8 83.1
Analysis: Commercials and small spec liquidated during the week, while the big specs added to their big long.  The large spec is over a 6 to 1 long, while the small spec is a 4 to 1 long.  The Aussie bulls will need to have the good recovery news coming because there are a lot of them on one side of the market.
*Source: CFTC (Commitments of Traders with Delta-adjusted Options and Futures Combined) Actual Report