Speculative positioning in the currency futures began to adjust before the latest signals from the Federal
Reserve about the prospects for a summer hike and the widening of interest rate
differentials. In the CFTC reporting week ending
May 17, the day before the FOMC minutes were released speculators mostly
reduced gross long currency positions and added to gross short positions.
There were a
few exceptions. Speculators added less than 500
contracts to the gross long euro position (to 101.7k). They added 9.1k
contracts to the gross long Mexican peso
position (to 25.2k). Speculators also trimmed the gross short yen position by
2.6k contracts (to 27.2k) and gross short Canadian dollar position by 1.9k
contracts (to 14.3k).
Another
characteristic of the speculative position adjustment in the latest reporting
week was the mostly small moves. Of the 16 gross currency positions
we track, only four adjustments were of
more than 4k contracts and only one of more 10k contracts. It was the
third consecutive reporting period that saw the Aussie bulls cull their gross
long position by more than 10k contracts. The gross longs fell by 11k
contracts in the reporting period that
ended May 17, though, at 71.8k contracts,
it remains substantial. It is the third largest gross long position after
the euro (101.7k contracts) and the yen (86.2k contracts).
Bulls and bears were emboldened by the price action in the Mexican peso. The bulls
added 9.1k contracts to the gross long position, raising it to 25.2k contracts.
The bears added 9.5k contracts to
their gross short position, lifting it to
70.9k contracts. The bulls took
more pain after the reporting period ended, but the greenback reversed lower on
May 19 (shooting star candlestick pattern) and saw some follow through selling
ahead of the weekend.
The Canadian
dollar bulls have had a great run from late-January through early-May. The bulls are
gradually paring the long position build. In the latest reporting period,
they cut 5k contracts, leaving them with 37k. The shorts were trimmed by 1.9k contracts leaving 14.3k,
which is the smallest gross short position among the currency futures we track.
The reporting
period is also the first since mid-March that saw the net short euro position
increase (-22.6k contracts vs. -21.9k contracts). It was the fourth consecutive week that
the net long yen position slipped (now 58.9k contracts after peaking in
late-April at almost 72k contracts). It was the first decrease in the net
Canadian dollar position since late-January, as it climb from a net short
position. It was the third week that the net long Australian dollar
position fell. It stands at 24.9k contracts, less than half the peak of
late-April of nearly 60k contracts.
By a little
more than a 2:1 margin, speculators sold the 10-year Treasury note futures as
they were near the upper end of the where they have traded over the past three months. The gross shorts rose 61.2k
contracts to 570.9k, while the bulls
added 28.5k, giving them 485.5k gross
long contracts. The net short position increased to 112.3k contracts from
-79.3k. The day after the reporting period ended, the note futures fell
in response to the FOMC minutes. It spent the last two sessions,
consolidating with a small upside bias.
The bulls are
in control of the light sweet crude oil futures. They added 32.8k contracts to their
gross long position, lifting it to 554.6k contracts, which appears to be a new
record high. The bears retreated; covered 44k gross short contracts,
leaving them with 185.8k. The net position rose 76.8k contracts to
368.8k. This is the largest net
long position since July 2014.
| 17-May | Commitment of Traders | |||||
| Net | Prior | Gross Long | Change | Gross Short | Change | |
| Euro | -22.6 | -21.9 | 101.7 | 0.4 | 124.3 | 1.2 |
| Yen | 58.9 | 59.0 | 86.2 | -2.7 | 27.2 | -2.6 |
| Sterling | -38.4 | -34.9 | 37.5 | -0.1 | 76.0 | 3.4 |
| Swiss Franc | 4.1 | 6.9 | 22.5 | -0.2 | 18.3 | 2.6 |
| C$ | 22.7 | 25.9 | 37.0 | -5.0 | 14.3 | -1.9 |
| A$ | 24.9 | 38.2 | 71.8 | -11.0 | 46.9 | 2.3 |
| NZ$ | 6.7 | 9.4 | 32.5 | -1.0 | 25.9 | 1.6 |
| Mexican Peso | -45.7 | -45.2 | 25.2 | 9.1 | 70.9 | 9.5 |
| (CFTC, Bloomberg) Speculative positions in 000's of contracts | ||||||
Disclaimer
Sentiment Shift Evident in Speculative Adjustment in Currency Futures
Reviewed by Marc Chandler
on
May 21, 2016
Rating:
Reviewed by Marc Chandler
on
May 21, 2016
Rating:
