USD Long Remain Large - Yen Specs Cover Shorts

The large spec long in the USD remains. In the most recent three weeks, speculators have held long positions in the USD versus every other currency. The biggest short position is in the euro, about 210K contracts of futures and delta adjusted options. Each contract is 125,000 euros, or at 1.27, around $159,000. This position is far from chump change, and it is strange there has been no evidence of a short squeeze. Considering the DI is heavily weighted in the euro, and the SF is pegged to the euro, the short position is even larger.

The second most popular short has been in the Japanese yen, but a demand for safe haven assets chased some of those shorts out of the market. Last week the short position was 144.8K contracts. This declined to 111.8K contracts in this period. The OI also decreased from 252K to 226K. This confirms shorts were bailing out.

The broad commodity sell off has taken its toll on the so called "commodity currencies" or the Canadian Australian and New Zealand Dollars. In the five weeks since the specs have flipped to the short side of these currencies, the total short position has grown to 91.6K contracts. The largest short is in the A$, almost 50K contracts. Trade in the A$ for the last several weeks has been mostly sideways. A global risk on rally might be a catalyst for a short covering rally.

US Dollar Index The large OI in the DI did decrease by 11.7K contracts, but the big spec longs did not come out. Small specs remain a 6 ratio long while the big spec is a 4.9 ratio long. The total net long increased marginally to 58.6K.

Euro Both the OI and the total net spec long keep growing. The total spec long is up to almost 210K contracts. The option and spreading category is up to 13% of the large 555K OI. Large specs are now a 3.9 ratio long. Market action since the cut off date for this report has favored the shorts.

British Pound Specs are now short the pound and added slightly to that position in the last period. Their total short position in a mere 15.9K contracts, mostly with the small specs. Japanese Yen The rally in the yen to 1.0520 versus the USD took its toll on the short yen traders. On this rally they liquidated about 30K contracts of shorts. The scramble for safe havens resulted in spec buying of the yen. After the cut off for this report the yen weakened trading back above the 1.08 handle. Almost all of the liquidation came from the large specs.

Swiss Franc There continues to be little feature in the SF which remains pegged to the euro. Both size specs are about a 4 ratio short with the total spec short 34.1K down slightly from 35.5 last period.

Canadian Dollar A minor reduction in the total OI of the C$ occurred, but the total spec short increased to 36K. Last week the short was 35.5K. It is strange to see the option and spreading category 9.4% of the total market.

New Zealand Dollar There is very little trade in the Kiwi. The OI at 21K confirms this. Small specs are a 2.9 ratio short. Otherwise no features in the NZ$.

Australian Dollar Large specs continue to aggressively sell the Aussie dollar. The total short in the A$ is 49.6K, up from 48.4K last week. Large shorts are now a 3.2 ratio short. For the past month the market has been consolidating into an increasingly trading range. It was unusual to see the short position increase in a week where there was a small decrease in the OI.

Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through October 21, 2014.