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Summary of the Latest Currency Commitment of Traders Report From June 18

The big drop in the OI reflected in large part the expiration of of the June futures and options.  The total open interest contraction was 256,367 contracts, and that is without the expiration of the C$ contracts which will not show up until next week.

In addition to the June contract liquidation we also saw a reduction in the long USD positions.  In the previous week specs were either long the DI, or short another currency which by default left them long the USD by 208,239 contracts.  This position was reduced to 141,002 contracts.  The biggest short covering was in the euro and the pound.  Small specs flipped their position in the euro, where they went back to the short side, and in the tiny Kiwi market where they went long.

This week the biggest small spec long positions are in the A$, 31.1% and the C$ with 26.7%.  The biggest small spec short positions are in the yen, 32%, and in the SF, 31.6%.  Large specs have their biggest percentage long in the DI, 76.2% and the NZ$ at 47.6%.  The NZ$ also has the biggest short at 71.1% of the OI.  The second biggest large spec short position is in the SF, 53.7%.

The euro analysis is interesting so we will repeat it here.....Liquidation of the June contract in the euro brought a 28% reduction in the OI.  Spreading remains very large, 18.9% of the open interest when futures and options are combined, however only 0.8% of the futures only report.  This suggests that the large players, investment banks and hedge funds are involved writing covered options and spreading.  In the futures only report the large specs are long 21.8 and short 49.2% of the OI compared in the combined futures and options report of 16.1 and 34.4%.  Small specs flipped again from being very small longs back to the short side of the euro.  Short covering was part of last week's rally.

Disclosure: Long FXA FXY