Jan 24 2012

The aggregate USD long in the period was reduced from 219.6K to 202.2K. This also came at a time when the euro spec increased his short position to almost 200K. This is a little confusing but here is how it happened.

The USD selling came from traders who were buying the commodity currencies and selling the USD. Specs were buying 15.9K C$ and selling the USD, buying over 5K in the Kiwi and selling the USD, and selling about 15K of USD's and buying the A$. There was also buying of the SF, and selling the USD, and, as shorts in the pound liquidated, they bought the USD.

The only significant buying of the USD came against sales of the euro, with that short up to almost 200K, and selling of the yen longs out, buying the USD. There is concern for the big euro short, but 55.4% of the short side of the 362K open is held by 86 large entities. These are big positions put on by hedge funds and knowledgeable speculators with deep pockets. Since they did not run on this rally, you have to assume their bets are of a long term variety. The build in the A$ OI indicates there may be some buying of that currency versus the euro.

* US Dollar Index: The small reduction in the OI that did occur during the week resulted in a very modest increase in the long spec position. Large specs were a very lopsided 13.3 ratio long. By comparison the 4.5 to 1 ratio long by the small specs is very conservative. Late week market action probably chased some longs from the market.
* Euro (EUR/USD): The trading interest in the euro continues to grow, with the OI up another 11.8K contracts. Large spec continue to extend short positions in the euro. The total spec short is up to 199.6K contracts, with all but 30K of the short belonging to the big traders. The large traders are a 6,5 to 1 short. Spreading (options) comprises 8.9% of the 361.8K contracts.
* British Pound Sterling (GBP/USD): There was large liquidation in the pound, 11.4% of the total. Both large and small specs reduced their net short in the pound. The total pound short was reduced to about 49K contracts. The three days following the end of this report were all higher trading days so there is a good possibility we will see additional pound liquidation next week.
* Japanese Yen (JPY/USD): The OI was down 13.3K as the specs liquidated long positions, and established new shorts. The net long yen position dropped from 59.3K to 35.2K. Small specs flipped from a very small long position to a 9.3K short position. The large spec retain about a 3 ratio long position.
* Swiss Franc (CHF/USD): Specs were on the buy side of the SF, reducing their total short from 24.9K to 19.6K. Most of the movement came from small specs who are big players in the Swissie. The large specs are better than a 3 to 1 short.
* Canadian Dollar (CAD/USD): The small specs are long the C$ while the large specs are short. Both size specs bought the C$, increasing their long positions while decreasing shorts. We ended the period still net short for the specs, but down to 6.6K from last week's 22.5K.
* New Zealand Dollar (NZD/USD): Renewed interest in commodity currencies took the OI up 18% in this very small contract. Most of the buying was by the large specs who are now approaching a 3 ratio long.
* Australian Dollar (AUD/USD): The open interest continues to build as the specs accumulate more longs in the Aussie Dollar. The largest specs now own 60.4% of the total OI and are short only 15.0%. The total spec long is 78.4K. Late week trade favored the bull, as the OI continued higher indicating more long accumulation after the end of this period.


Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through January 24, 2012
US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 64,667 50,858 3,822 7,884 1,737 4,533 57,715
Change: -4,363 -1,011 -3,108 -2,048 -821 -1,878 -1,009
% Open Interest: 100.0 78.6 5.9 12.2 2.7 7.0 89.2
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 361,868 30,864 200,604 37,607 67,433 261,129 61,562
Change: 11,795 2,520 13,665 292 837 12,294 603
% Open Interest: 8.5 55.4 10.4 18.6 72.2 17.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 196,314 16,116 48,452 15,894 32,946 161,891 112,504
Change: -22,556 -7,192 -17,048 1,297 -5,317 -15,031 1,438
% Open Interest: 8.2 24.7 8.1 16.8 82.5 57.3
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 160,919 66,165 21,639 23,357 32,616 68,662 103,929
Change: -13,331 -12,168 2,402 -3,584 5,945 1,940 -22,160
% Open Interest: 41.1 13.4 14.5 20.3 42.7 64.6
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 42,039 4,620 17,124 10,059 17,236 25,653 5,972
Change: -2,789 726 196 2,043 -2,718 -5,102 189
% Open Interest: 11.0 40.7 23.9 41.0 61.0 14.2
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 123,832 29,751 48,608 32,977 20,790 57,929 51,259
Change: -5,279 4,654 -4,987 4,444 -1,763 -14,725 1,123
% Open Interest: 24.0 39.3 26.6 16.8 46.8 41.4
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 25,569 20,232 7,300 3,256 1,638 1,715 16,265
Change: 4,614 4,037 560 340 -3 237 4,057
% Open Interest: 79.1 28.6 12.7 6.4 6.7 63.6
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 149,927 90,631 22,445 29,882 19,643 23,139 101,564
Change: 8,043 7,607 -6,378 2,188 1,157 -3,114 11,902
% Open Interest: 60.4 15.0 19.9 13.1 15.4 67.7