Due to the holidays, the CFTC has been
releasing its Commitment of Traders report late. With this week's report, the normal Friday release schedule resumes.
The latest report covers the shortened
week through January 5. It is not surprising to find that
speculative position adjustments were minor. There was only one gross
position adjustment of more than 8k
contracts, and that was the long yen. Speculators increased their holdings by
half to 67.5k contracts from 45k.
What is perhaps a bit more unexpected was
that speculators added to exposure rather than reduce it. Specifically, of the 16 gross currency positions we track, only five
were cut. And they were concentrated in two currencies. The Swiss
franc and Canadian dollar accounted for four of the gross position reduction.
Of the eight foreign currencies, we track, the speculative community is now net long three. The New Zealand dollar is small
beer. The net long position is less than 2k contracts. Speculators
have maintained a long Swiss franc position for the third week. It is
long 3.6k contracts. More significantly, the speculative market went net
long yen futures for the first time in three years. They are long 4.1k
contracts and were short 17.2k in the previous reporting period.
The month of December saw a large adjustment of the speculative
positioning in the yen.
It was probably both a cause and effect of the 2.4% appreciation of the
yen over the course of December. The net position increased by 81k contracts.
This was a function of shorts being cut by 44k contracts and the longs adding
on 37k contracts. The 22.5k increase in the gross long yen position pushes it ahead of the euro (66.9k gross
long contracts) to be the largest speculative position among the currency
futures.
Next the yen, the Australian dollar
experienced the largest shift of speculative positioning in December. The net short position fell 44k
contracts. This is solely explained
by the reduction of short Australian dollar position over the month.
The Mexican peso experienced the third
largest speculative adjustment in December. The net short position increased by
33k contracts, divided nearly equally between gross longs being cut and the growing of gross shorts.
With nearly 96k contracts, the speculative gross short peso position is the third largest behind the euro
(227k gross short contracts) and the Canadian dollar (101k gross short
contracts).
Speculators reduced their net long 10-year US Treasury note futures position
to 18.3k contracts from 43k. The gross longs were unchanged, and the gross shorts grew 24.7k contracts,
In December, the net long position was essentially halved as shorts grew
faster (53.2k contracts) than longs (36.4k contracts).
Counter-intuitively, speculators continue
to carry a large net long crude oil futures position. It was
trimmed by 12.2k contracts in the latest reporting period. This was a result of the bulls adding 11.8k contracts to their gross
long position, giving them 460.4k contracts. The bears added 24k contracts to lift their gross short position to 276.2k contracts. In December, the bulls cut 11.8k contracts, while bears added 16k contracts.
| 5-Jan | Commitment of Traders | |||||
| Net | Prior | Gross Long | Change | Gross Short | Change | |
| Euro | -160.6 | -161.0 | 66.9 | -0.1 | 227.5 | 0.0 |
| Yen | 4.1 | -17.2 | 67.5 | 22.5 | 63.4 | 1.1 |
| Sterling | -30.5 | -31.0 | 44.7 | 4.2 | 75.2 | 3.7 |
| Swiss Franc | 3.6 | 3.6 | 26.4 | -0.4 | 22.8 | -0.5 |
| C$ | -60.0 | -60.8 | 40.9 | -6.7 | 101.0 | -7.4 |
| A$ | -13.8 | -17.5 | 46.0 | 1.3 | 59.8 | -2.5 |
| NZ$ | 1.6 | -0.1 | 16.8 | 1.9 | 15.3 | 0.1 |
| Mexican Peso | -62.0 | -57.4 | 33.9 | 3.3 | 95.9 | 7.9 |
| (CFTC, Bloomberg) Speculative
positions in 000's of contracts Disclaimer |
||||||
Spec Positioning in the FX Futures: First Net Long Yen in 3 Years
Reviewed by Marc Chandler
on
January 09, 2016
Rating:
Reviewed by Marc Chandler
on
January 09, 2016
Rating:
