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.
Changes in the yen positions continued to be a very big feature this week. Big specs turned heavily bullish on the yen vs. the dollar and bought almost 16000 contracts this week. Small spec likewise were buyers of the yen to the tune of over 5000 contracts. At the close Friday, the most specs were probably on the losing side of this trade since the dollar gained on the yen last week. Total open interest of the 7 currencies and the DI was up 29,723 contracts during the reporting period. The pound is the only futures currency the spec is short. The total longs by commercials in the seven currencies and the DI is up to over 164000 contracts. With the commercials long this means the spec, both large and small, are now short the dollar across the board by over 164,000 futures contracts of US dollars. There has been some signs of reduction in the long positions or the AUD and the NZD.
Legend: Net Long Net Short Changed Net Position
Overview:
USD
| Total OI | Long | Short | Long | Short | Long | Short |
| 22,769 | 4,876 | 13,458 | 2,537 | 3,209 | 12,535 | 3,282 |
| 1.222 | 46 | 1,486 | -64 | -121 | 1,254 | -129 |
| 21.40% | 59.10% | 11.10% | 14.10% | 55.10% | 14.40% |
Analysis: Large traders increased their positions to almost 2.8 to 1 short the dollar and the big commercials are long 3.8 to 1. Large traders and the commercial added to positions this past period. The small spec is net short has little involvement in this market.
EUR
| Total OI | Long | Short | Long | Short | Long | Short |
| 132 974 | 43,767 | 29,435 | 39,456 | 34,021 | 29,640 | 58,307 |
| -6,530 | -4.514 | -8,398 | -1,683 | -1,713 | -1,197 | 2,717 |
| 32.90% | 22.20% | 37.20% | 25.60% | 21.50% | 43.80% |
Analysis: OI went down during the period and the feature was speculative liquidation. The small specs are very large players in the Euro, and hold long positions which in the aggregate are larger than either the commercial or the large spec. Commercials are net short the euro by 29,667 contracts.
GBP
| Total OI | Long | Short | Long | Short | Long | Short |
| 98,041 | 23,660 | 35,641 | 20,516 | 19,529 | 49,524 | 38,530 |
| 3,905 | -3,127 | 418 | 58 | 465 | 6,569 | 2,617 |
| 24.10% | 36.40% | 20.90% | 19.90% | 50.50% | 39.30% |
Analysis: The large specs were reducing longs in this period by liquidating positions. Small specs remain about even but did add a few shorts to their position. even. The commercial is net long the pound and increased that to where he is now 50.5% of the total long OI.
JPY
| Total OI | Long | Short | Long | Short | Long | Short |
| 119,546 | 52 262 | 19,060 | 28,802 | 18,277 | 33,108 | 76,835 |
| 22,607 | 15,961 | -499 | 5,522 | 399 | -454 | 21,129 |
| 37.50% | 20.20% | 24.10% | 18.50% | 34.70% | 57.60% |
Analysis: Again the commercial was a very large seller of over 21000 contracts This is over 41000 contracts that the commercial has sold to the large and small spec during the past two weeks. OI climbed by over 22,000 contracts as both sides have increased the size of their bets. This is puzzling. Are the large specs hedge funds buying the yen against overseas investments in some sort of carry trade?
CHF
| Total OI | Long | Short | Long | Short | Long | Short |
| 37,678 | 16,838 | 5,894 | 14,497 | 9,665 | 4,183 | 19,958 |
| 746 | 427 | 686 | -144 | 1,746 | 325 | -1,823 |
| 44.70% | 15.60% | 38.50% | 25.70% | 11.10% | 53.00% |
Analysis: Commercials decreased their short and now are a 4.8 to 1 short. In the past commercial positions changes has preceded the Swiss National Bank interventions. There are 8 large commercials short 53% of the OI and 11 large specs long 44.7% of the OI. The small spec, a big player in this market, remains long but added some short to their position during the period.
CAD
| Total OI | Long | Short | Long | Short | Long | Short |
| 98,414 | 31,988 | 26,261 | 36,456 | 17,289 | 22,960 | 47,854 |
| 6,005 | 924 | 1,718 | 1,001 | 1,005 | 2,958 | 2,160 |
| 32.5 | 26.70% | 37.00% | 17.60% | 23.60% | 48.60% |
Analysis: Small specs are 2.1 to 1 long on the CADUSD while the commercials are almost a 2.0 to 1 short. OI was up during the period with commercials adding to both longs and shorts. Like most of this weeks set ups specs are long the CAD, implying they are short the USD and the commercials hold the off setting positions.
NZD
| Total OI | Long | Short | Long | Short | Long | Short |
| 22,089 | 15,990 | 1,021 | 2,057 | 1,123 | 4,042 | 19,945 |
| 395 | -401 | -13 | -68 | -24 | 864 | 431 |
| 72.40% | 4.60% | 9.30% | 5.10% | 18.30% | 90.30% |
Analysis: Large specs remain a huge 15.7 to 1 ratio long. Commercials are 90.3% of the total market short. This small futures market is dominated by some very big players on both sides. There are now p very big spec longs, down from 11, and an a decrease one to 10 big commercial shorts. Changes in the open interest are not big but reflect a long reduction. It is interesting that the small spec is not very involved in this market.
AUD
| Total OI | Long | Short | Long | Short | Long | Short |
| 93,084 | 42,529 | 15,907 | 21,255 | 11,698 | 26,194 | 62,373 |
| 1,373 | -2.179 | 3,946 | -1,221 | 943 | 4,578 | -3,711 |
| 45.70% | 17.10% | 22.80% | 12.60% | 28.10% | 67.00% |
Analysis: OI was up a little as some of the specs were reducing their longs. Large spec and small specs both reduced longs and increased shorts . Large specs still remain 2.7 to 1 long. There are now 20 large specs in this category down 4 in the last two weeks. Commercials reduced both longs and shorts but remain short 67.0% of the total open interest. Some of the longs are beginning to exit this market, and any bear economic news could speed the process.
