The net speculative positioning in most of
the currency futures did not change very much in the Commitment of Traders
reporting week ending March 7. However, there were several
significant gross position changes. The rolling from March to June
futures contracts is creating this distortion.
This activity
also helps explains another characteristic of the activity. In the euro, yen, sterling and Swiss franc
speculators added to both gross longs and gross shorts. The net
speculative position remained short and was mostly little changed. Sterling was
the exception. There, speculators extended the net short position by
10.8k contracts to 81.4k.
The net short
speculative short euro and yen positions are roughly the same size (59.5k
contracts and 54.7k contracts respectively). Yet the gross euro positions are 100k more than the yen's.
With the 5.8k contract increase, the gross speculative long euro position
stands at 137.7k contracts. The gross long yen position increased by
10.2k contracts to 39.2k. The gross
short euro position edged higher to 197.2k contracts, while the gross short yen
position is at 93.9k contracts.
Among the
dollar-bloc currency futures, speculators had taken a net long position, and as
the speculators rolled, the speculators mostly cut both gross longs and gross
shorts, also resulting in only changes in the net positions. However, there are a couple of exceptions.
First, the
Canadian dollar was more like the other non-dollar bloc currencies insofar as
speculators added to both gross long and short positions. Second, the 10k contract liquidation
of long New Zealand dollar positions overwhelmed the 2.6k reduction in the
gross short position. This resulted
in the swing of the net long position back to the short side (4.4k contracts)
for the first time since early February. Speculators treated the Mexican
peso like the Australian and New Zealand dollars. Both gross longs and
shorts were reduced.
In the light
sweet crude oil futures, speculators cut longs and added to shorts (8.1k
and 8.6k contracts respectively). This
resulted in a 16.7k contract reduction of the net long position to
508.5k contracts. The subsequent price action suggests
more of the same has taken place.
Speculators
were picking a bottom in 10-year Treasury note futures, while the bears took some profits. The gross long position increased by 55.7k contracts
to 527.9k. The gross short position was
trimmed by 55.5k contracts to 826.4k. These adjustments led to a
fall in the net short position by 111.k contracts
to 298.5k.
7-Mar | Commitment of Traders | |||||
Net | Prior | Gross Long | Change | Gross Short | Change | |
Euro | -59.5 | -51.2 | 137.7 | -5.9 | 197.2 | 2.4 |
Yen | -54.7 | -50.0 | 39.2 | 10.2 | 93.9 | 14.9 |
Sterling | -81.4 | -70.7 | 61.8 | 18.5 | 143.3 | 29.2 |
Swiss Franc | -10.0 | -11.8 | 12.7 | 9.1 | 22.7 | 7.4 |
C$ | 29.2 | 30.2 | 65.6 | 2.5 | 36.4 | 3.4 |
A$ | 51.0 | 51.9 | 85.2 | -10.5 | 34.2 | -9.5 |
NZ$ | -4.4 | 2.9 | 27.2 | -10.0 | 31.6 | -2.6 |
Mexican Peso | -42.8 | -45.8 | 38.7 | -0.4 | 81.5 | -3.4 |
(CFTC,
Bloomberg) Speculative positions in 000's of contracts Disclaimer |
Large Gross Position Changes Capture Currency Contract Rolls
Reviewed by Marc Chandler
on
March 11, 2017
Rating: