Again the currency specs bought the USD versus other currencies. The largest position is in the euro where they are USD long euro short to the tune of 193.4K, although they are down a couple of thousand contracts from last week. The total net USD long is up to almost 456K contracts, the largest since June 2013. The increase in the USD position came from new spec short selling in the yen, and long liquidation in the Aussie. The short position in the yen increased to 150.7K.
Strength in the USD during the past month has been putting consistent pressure on the commodity currencies. In late July the combined long in the Canadian, Australian and New Zealand Dollar versus short the USD was up to 91K. This past week the tally for that group has flipped to a short of 9.7K. How much of the commodity weakness is caused by global USD buying and how much by the perceived bearish commodity situation is hard to unravel.
– US Dollar Index: Both spec groups are long the DI, as the total open interest in the contract is up to almost 94K. The bear market in the euro has caused demand to grow to a 4 ratio long. Small specs are a 3,8 ratio long and the total spec long is now 64.5K.
– Euro (EUR/USD): The OI in the the euro grew by 13.5K contracts and 9K of the growth was in the spreading/option category. This means the option category is now 13.5% of the total OI was has soared to 509K. Large specs are a 3.4 ratio short and the small specs a 2.1 ratio short. The total short spec position was reduced by about 2K. We have noticed the trade in the euro at the CME futures market is almost 30% of the total currency trade.
– British Pound Sterling (GBP/USD): The extended sell off in the pound has taken its toll on futures traders. In late August the OI was about 270K, almost 100K more than the current OI of 179K. Then the specs were nominally long but that has changed as the small spec has gotten short the pound. Large traders remain long token quantities but the combined total net position in the pound is short 6.7K.
– Japanese Yen (JPY/USD): Large specs were sellers of the yen, decreasing their longs and increasing their shorts resulting in an increase in their net short of 22.0K. The total yen short went up to 159.7K from 133.9 last week. The yen has remained under pressure helping the new shorts
– Swiss Franc (CHF/USD): There was little change in the SF positions for the period. Small specs are a 3.2 ratio short and large specs are a 2.5 short. There total short position remained the same at 30.6K
– Canadian Dollar (CAD/USD): The routine delay in the settlement of the expiring September contract resulted in the OI going down by 32.7K. This took the OI under 100K. Small loonie specs are short and the large specs a still token longs. The total net position is short 5.3K
– New Zealand Dollar (NZD/USD): The OI in the Kiwi remains very small, only 16K. The new spec position remains close to even. It now appears the CB intervention in the currency has taken its toll on the market as it has crashed almost to the 77 handle.
– Australian Dollar (AUD/USD): Large specs were sellers of the A$, liquidating most of their long position. As they sold their longs commercials were active on both side of the market, increasing both their longs and shorts. As a result the OI in the A$ went up to 148K. This compared to the total OI in the C$ of only 100K. The spec net combined position has flipped to the short side, now short 4.6K.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through September 23, 2014
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