Speculators Increase Euro Short Positions, COT Report 05 15 2012 Reveals

It was an active week for euro traders. The total size of the speculator short in the euro versus the USD increased to 219,642 contracts, up from 183,685 in the previous week. When the large short euro/long USD position is removed from the mix, the net USD position against the rest of the market is only a 10K long.

The total net USD long when compiled it is 228,774, up from 138,231 in the previous period. Speculators are holding big short USD long GBP positions, 47,668 contracts, and a big long in the C$, 67,953 contracts.

Some of the currency markets are showing signs of liquidation, for example the pound yen and the A$, but not the euro. With the very large spec short position in the euro, will there not come a time when European politicians will present another euro saving measure? When that happens a short covering rally might be explosive.

  • US Dollar Index: There was over a 20% increase in the OI, caused primarily by the large specs increasing their long positions. Even after their purchases they remain less than a 2 to 1 long. The small spec is better than a 3 ratio long, but is not a big player in this market.

  • Euro (EUR/USD): Large specs continued to add to their short position in the euro. The total OI is quite large, over 420K contracts. The spreading (usually options activity was up10.8K of delta adjusted positions. The large spec is now a 5 ratio short and the small spec is a 2 to 1 short.

  • British Pound Sterling (GBP/USD): The OI remains elevated, perhaps because specs are considering the pound, a safe haven from the turmoil in the eurozone. Large specs are just a bit shy of to to 1 ratio long, and the small spec is a touch over the 2 to 1 ratio. There was a very small reduction in the total pound spec long.

  • Japanese Yen (JPY/USD): The Japanese specs continues trying the short side of the yen versus the broiler. Both size specs are about a 3 to 1 short in the yen. The market has not been kind to the shorts, so far.

  • Swiss Franc (CHF/USD): The Swiss National Bank has vowed to keep the SF at 1.20 to the euro. Consequently when the euro tanks, the SF has been doing the same, going gown practically in lock step with the euro. Like the euro, the OI in the SF has been appreciating as the euro sells off.

  • Canadian Dollar (CAD/USD): Large specs remain about a 4 ratio long the currency and the small specs are a little less than a 2 to 1 long. The C$ is the one currency specs have major longs, a position that has not worked in their favor.

  • New Zealand Dollar (NZD/USD): Some of the specs have been frightened by news from China, that China may perhaps be having a further economic slowdown. Trade in this small market has contracted, and there are few reminders that China has a presence in this area.

  • Australian Dollar (AUD/USD): The total spec long has been going down. In the last report we have large specs are now only long 4.5K contracts, but the small spec is short, about 5,500 contracts. The A$ has lost its popularity and sponsorship.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through

US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:60,022 44,26226,5985,918 1,690 8,769 30,660
Change:13,470 12,137 4,664203 -52 1,543 9,270
% Open Interest:73.7 44.3 9.9 2.8 14.6 51.1

Euro (EUR/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:420,52440,239212,84636,84583,880 301,90982,267
Change:55,8694,638 34,412 1,4277,60938,9522,996
% Open Interest:9.6 50.6 8.8 19.971.819.6

British Pound Sterling (GBP/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:204,708 57,440 32,61441,081 19,238 104,590 151,259
Change:408 -2,223 -1,959 -2,460 -1,790 4,409 3,475
% Open Interest:28.1 15.920.1 9.4 51.1 73.9

Japanese Yen (JPY/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:150,343 17,558 51,82215,753 46,180112,734 48,043
Change:1,618 1,129 -5,816 -560 -70 -2,7523,703
% Open Interest: 11.7 34.5 10.5 30.7 75.0 32.0

Swiss Franc (CHF/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:64,690 6,127 32,821 10,95227,80547,517 3,970
Change:18,2001,14711,347 -373 6,240 17,426613
% Open Interest:9.5 50.7 16.9 43.0 73.5 6.1

Canadian Dollar (CAD/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:151,573 65,819 15,05939,696 22,50341,942109,895
Change:-6,259 -3,400 5,333 -6,482 -1,415 3,152 -10,647
% Open Interest:43.4 9.9 26.2 14.8 27.7 72.5

New Zealand Dollar (NZD/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:17,263 9,1246,5272,515 1,8515,4628,723
Change:-706 -2,564 1,063 -214 -627 2,035 -1,179
% Open Interest:52.9 37.8 14.6 10.7 31.6 50.5

Australian Dollar (AUD/USD)
(1)Large Traders(2)Small Traders(3)Commercial
Open InterestLongShortLongShortLongShort
Contracts:158,182 51,29946,93422,19427,673 78,547 77,432
Change: -3,798 -20,768 -906 -2,036 881 17,186 -5,594
% Open Interest:32.4 29.7 14.0 17.5 49.7 49.0