Specs Maintain USD Long

In spite of recent evidence the US economic recovery is faltering the specs have maintained their long USD positions. The biggest positions versus the USD are short euro and yen positions. The short euro was up to 94.6K and the short yen was up to 98.4K. Since the cut off date for this report, both the yen and the euro have gained modestly on the USD, so we would look for a reduction in these positions next week.

The biggest long was in the pound, although there was a slight reduction to a net position of 67.2K The pound has since rallied to the 1.71 handle vindicating the big bullish position. The OI in the pound is large, over 80% of the total open in the euro.

Resulting primarily from buying in the A$, the commodity currency long has grown to 44.2K. This is the largest collective long position in the commodity currencies for over a year. Part of the longhas been because the big short position in the C$ has been reduced to only 3.3K.

Since this Friday is a holiday the COT data will probably not be released until next Monday.

– US Dollar Index: There has been an increased spec activity in the DI with the OI up to 59K. Both spec groups are long, with the small spe3.8 ratio long. The total spec long in the DI is up to 27.5K from 27K last week.

– Euro (EUR/USD): Little has changed since the last report. The total OI has increased to 337K from 335K. Both spec groups are short by about a 2 ratio with the total short now up to 95K. Spreading/option trade is 8.4% of the total OI which is now 337K. The euro has been creeping higher against the USD putting some pressure ib the shorts.

– British Pound Sterling (GBP/USD): Longs in the pound made a small reduction in their positions. They took the total long down to 67.2K from 71.3 in the last report. The OI remains quite large, 277K. The spreading/option percentage of this market is low at only 4% of the total compared to 8.4% of the euro.

– Japanese Yen (JPY/USD): Despite a strengthening yen, the short position in the yen went up last week to 98.4K from 96.1K last week. Small specs are a 2.5 ratio short and the large specs are over an 8 ratio short. Open interest keeps contracting. It is now down to only 50% of the OI in the euro.

– Swiss Franc (CHF/USD): Large specs flipped to the short side of the SF joining the small specs who were already short. The total spec short is up to 9K. The total OI is only 35K, historically small.

– Canadian Dollar (CAD/USD): The OI declined by 24.4K probably reflected late settlements when the June contract expired. The large spec short in the C$ has been reduced to where the total short is down to 3.3K. Recently the C$ has been quite strong and has broken through the 200 day SMA. The spreading/option category is 6.9% ofthe total, high for the C$.

– New Zealand Dollar (NZD/USD): Large specs bought the kiwi and the total spec long went up to 6.9K, from 5K last week. The net long is small compared to the OI now around 31K. New highs in the kiwi will probably mean more spec buying.

– Australian Dollar (AUD/USD): Again the large specs were buying the Aussie, and they are now a 2 ratio long. The little specs are also long, so that takes the net long up to 40.6K. The spreading option category is also large at 6.1% of the total open. Even with the spec buying, however, the A$ remains range bound.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through June 24, 2014