Every Friday the CFTC releases data about futures/options trading activity by market segment in various markets including currencies. Positions for each currency are classified into 3 groups: large speculators, small speculators, and commercial traders. If interpreted correctly this data can be useful in forecasting price trends in the spot forex market.
The table below contains a condensed version of currency trader’s collective market votes. Interpretation of this data is definitely an art rather than a science. With that caveat, you may view the latest COT analysis for each currency in the analysis fields of the table below.
Are we close to a short covering rally in the dollar? Total open interest for the dollar index and the seven currency futures increased by only 19,922 contracts during the reporting period. However, net commercial long positions during the period, increased by 23,565 contracts to a total of 144, 226 net long contracts. This means the specs, big and little, are on the other side, short side of the USD in a big way. The OI grew the most during the period in the AUD, the CAD, and the British pound. Some high waves here may rearrange more than just the deck chairs on this voyage.
Legend: Net Long Net Short Changed Net Position
Overview:
USD
| Total OI | Long | Short | Long | Short | Long | Short |
| 21,624 | 4,356 | 11,172 | 2,247 | 3,854 | 12,082 | 3,658 |
| -516 | -241 | -1,093 | -60 | 81 | -253 | 458 |
| 20.10% | 51.70% | 10.40% | 17.80% | 55.90% | 16.90% |
Analysis: There was not a lot of movement this past week. Large traders remain almost 2.6 to 1 short the dollar and the big commercials are long 3.3 to 1. With a set up of big spec short and big commercial long who will liquidate first? The small spec has little involvement in this market.
EUR
| Total OI | Long | Short | Long | Short | Long | Short |
| 136 583 | 46,965 | 29,471 | 43,622 | 36,222 | 31,594 | 56,488 |
| -4,995 | -484 | 143 | -3,110 | -2,067 | -827 | -2,500 |
| 34.40% | 21.60% | 31.90% | 26.50% | 23.10% | 41.40% |
Analysis: Large specs are long the euro but reduced position by a minor amount during the period. The commercial remains short but covered a small portion of the short. The small specs are big players in this market, and reduced both long and short positions but remain long the euro. This was a fairly volatile week, but the open interest declined as people took money out of the market.
GBP
| Total OI | Long | Short | Long | Short | Long | Short |
| 104,306 | 30,980 | 34,120 | 24,009 | 21,495 | 41,742 | 41,116 |
| 8,540 | 6,855 | -949 | 9 | -1,470 | 1,283 | 10,566 |
| 29.70% | 32.70% | 23.00% | 26.00% | 40.00% | 39.40% |
Analysis: Though the large spec remains short but reduced his position substantially during the period. The commercial was very active putting on over 10,000 new shorts in the period. The small spec is now a modest long off setting the large spec who remains a small long.
JPY
| Total OI | Long | Short | Long | Short | Long | Short |
| 81,807 | 22,713 | 24,202 | 18,260 | 16,589 | 35,274 | 35,457 |
| -1,101 | 1,074 | -1,581 | -3,226 | -2,410 | 1,308 | 3,147 |
| 27.80% | 29.60% | 22.30% | 20.30% | 43.10% | 43.30% |
Analysis: The commercial was the modest seller, and flipped to a short position. Small specs reduced both their long and short positions and remain a modest long. All groups are fairly evenly balanced, so there are no strong views on the yen.
CHF
| Total OI | Long | Short | Long | Short | Long | Short |
| 37,662 | 16,558 | 6,090 | 14,363 | 8,934 | 4,170 | 20,066 |
| -6,160 | -5,465 | -1,865 | -1,993 | 1,356 | 642 | -6,307 |
| 44.00% | 16.20% | 38.10% | 23.70% | 1.11% | 53.30% |
Analysis: Commercials reduced their short but remained a 4.8 to 1 short. It looks like the commercial was alerted prior to the Swiss National Bank interventions when he increased his short positions followed by the sale of 6307 contracts after the intervention. There are 11 large specs long 44% of the OI. The small spec remains long, like the large spec but both groups reduced their long after the devaluation.
CAD
| Total OI | Long | Short | Long | Short | Long | Short |
| 98,803 | 33,044 | 22,463 | 34,140 | 17,253 | 21,149 | 48,617 |
| 9,184 | 2,612 | 4,880 | 452 | 1,770 | 5,267 | 1,681 |
| 33.4 | 22.70% | 34.60% | 17.50% | 21.40% | 49.20% |
Analysis: Small specs remain 2.1 to 1 long on the CADUSD while the commercials are almost a 2.3 to 1 short. Both spec groups reduced their long in a period that went against them. Further spec long liquidation has probably taken place since the period ended. Commercials were good buyers during the period.
NZD
| Total OI | Long | Short | Long | Short | Long | Short |
| 23,742 | 18,679 | 996 | 2,177 | 1,227 | 2,886 | 21,519 |
| 1,136 | 702 | -25 | 102 | 436 | 332 | 725 |
| 78.70% | 4.20% | 9.20% | 5.20% | 12.20% | 90.60% |
Analysis: Large spec remain a huge 18.7 to 1 ratio long, while commercials are short 90.6% of the market. This small futures market is dominated by some very big players on both sides. There are 13 very big spec longs and 10 big commercial shorts. Changes in the open interest are not big but reflect more of the same, with large spec buying and commercial selling. The groups are entrenched with more going on here than meets the eye.
AUD
| Total OI | Long | Short | Long | Short | Long | Short |
| 97,694 | 46,508 | 10,312 | 23,192 | 10,007 | 24,468 | 73,849 |
| 13,834 | 6.601 | 996 | 834 | -378 | 6,510 | 13,327 |
| 47.60% | 10.60% | 23.70% | 10.20% | 25.00% | 75.60% |
Analysis: Large specs are 4.5 to 1 long and added to the positions. There are 24 in the reporting group of large specs. The small specs added some of their commitment to the long side and are now 2.3 to 1 long. Commercials did show up on the buy side in numbers this period but were out numbered by the commercial sellers 2 to 1. It looks like we have some macro economic concept traders here with some big bets.
