Data and Analysis for Most Recent Release, October 3 2009

Legend: Net Long  Net Short  Position Change

Overview: In the period ending September 29th 2009, there was a modest liquidation in the total open interest by 5542 contracts. 
Speculators are short the dollar against all currencies except the pound. In the pound there was a big increase in the OI, going up by 21912 contracts. There has been a massive movement to the short side of the pound by specs during the past month. The total dollar short position is 231,023 contracts down from 290,353 in the previous period. Excluding the short pound futures position which is a long dollar position by default, the short dollar position would climb to 286,928 contracts. Liquidation in the loonie has been big during the past several weeks as the large spec has aggressively scaled back his long positions. In the AUD, another commodity currency, we saw some modest long spec liquidation during the period. The Swiss franc remains a market with too many long specs, despite some liquidation of these positions, and they may be vulnerable considering the Central bankers desire for a cheaper franc. The huge buying by the specs in the yen has stopped, but they remain a very large long. We wonder to what extent this past week's modest liquidation represented end of the quarter cleansing of open positions. 

Analysis: The build up in the OI stopped this past period. There was not a lot of movement of positions, but small specs increased their short by 3813 contracts, and the commercial reduced his sports by over 3400 contracts. This market was flirting with new lows all during the period but it did not attract a significant amount of new players.

Analysis: This has been a market dominated by spec longs. Even though there has been some liquidation of these longs, the specs remain long 89.8% of the OI. The OI did go down by14.2% during the period. The commercial is a 9.6 to 1 short in the franc. The small spec still has 42.2% of the total OI.

Analysis: This was a market dominated by liquidation during the period. Despite the liquidation, the large spec remains a 4 to 1 long and the small spec is a 2.1 to 1 long. Commercials did increase their long positions by over 5000 contracts. Perhaps some of the commodity bulls long the loonie are throwing in the towel.

Analysis: This small market is dominated by 15 large spec longs and 12 commercials shorts. The small spec is a minor participant but is a 3 to 1 long. During the week there was a very small increased in the OI with the commercial on the buy side of 900 contracts. Some sign the large specs, probably funds of some type, are reducing positions.

Analysis: A small portion of the very large spec long was liquidated during the period, but they remain a 7.1 to one long. Small specs remain out of balanced longs, but they too were reducing positions. There are 12 large commercials short 82% of the total market.