Speculative Buying in Commodity Currencies Reduces Net USD Long- COT Data Feb 07 201 COT Data Feb 07 2012 Reveals

Aggressive speculative buying in the so called commodity currencies has reduced the net US long in the futures markets to the lowest level since the report from November 11th 2011. The USD net long is down to 78K, after reaching a high of 241K contracts in the December 27, 2011 report.

In recent periods the spec had been aggressive on the buy side of the Australian Dollar, taking their ownership up to 89K, but this week thee spec bought the Canadian and New Zealand dollars.

The specs biggest position remains in the euro. There the total is down to 165,7K, from the high on Jan. 24th of almost 200K. Despite the 600+ pip move to the upside in the euro, there remains a very large bet the euro is headed lower. Specs remain short the pound and the Swiss Franc, worried that a weak euro will hurt the surrounding economies.

* US Dollar Index: Specs continue to reduce the size of their longs in the DI, but the large spec remains a 5.8 ratio long. Small specs are also long but by only a 2 to 1 margin. The total spec long is down to 37,661 contracts.
* Euro (EUR/USD): The open interest was down for the period, and there was a modest reduction in the spec short positions. The total spec short in the euro remains a very large 165,771 contracts. Large specs remain a 5.3 ratio short. There was a large reduction in spreading, down 9.2K contracts or 8.2% of the total OI, reflecting diminished option activity.
* British Pound Sterling (GBP/USD):The large specs were sellers, adding to their short positions which is now a 2.2 ratio short. Small specs were buyers of the pound but remained a 1.4 ratio short.
* Japanese Yen (JPY/USD): The large specs continue with their long yen position, almost by a 3 ratio, while the small specs remain modest shorts in the yen. Market action since the end of the reporting period has favored yen shorts, and their has been some reduction in the OI.
* Swiss Franc (CHF/USD): There has been little change in the week, as both size spec groups remain short the Swissie. The total spec short in the SF is now 15.7K.
* Canadian Dollar (CAD/USD):Large specs in the C$ added to their longs, and reduced their short aggressively. The result was a net change of 21.7K contracts and they flipped to the long side of the C$. The shift to the long side was done with only a small increase in the OI. Late week market action hurt the new longs.
* New Zealand Dollar (NZD/USD):The OI climbs as the large spec builds his position. They are now long 80.5% of the OI, short only 13.9%. Small specs are also long the Kiwi by about a 3 ratio.
* Australian Dollar (AUD/USD):While the large specs, took a breather, and stopped adding to their 5 to 1 long, the small specs picked up the slack, and added over 4K to their long. The total spec long is now 89.2K contracts. Spreading, option trades, now accounts for 3.7% of this market.


Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through February 7, 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: 53,864 39,588 6,760 9,612 4,779 3,514 41,175
Change: -1,656 -3,396 2,579 1,905 2,844 69 -6,845
% Open Interest: 73.5 12.6 17.8 8.9 6.5 76.4
Euro (EUR/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 325,847 31,956 169,376 36,356 64,706 230,968 65,197
Change: -29,703 1,365 -17,200 191 -1,863 -22,074 -1,454
% Open Interest: 9.8 52.0 11.2 19.9 70.9 20.0
British Pound Sterling (GBP/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 199,870 28,194 61,130 19,796 28,937 150,184 108,108
Change: 2,319 5,158 10,879 3,800 -1,675 -4,810 -5,056
% Open Interest: 14.1 30.6 9.9 14.5 75.1 54.1
Japanese Yen (JPY/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 187,706 84,866 29,294 28,009 34,545 71,631 120,667
Change: 3,689 3,978 5,397 -837 141 1,257 -1,141
% Open Interest: 45.2 15.6 14.9 18.4 38.2 64.3
Swiss Franc (CHF/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 44,859 8,111 17,775 10,431 16,512 24,866 9,120
Change: 1,158 2,060 703 -778 1,116 630 92
% Open Interest: 18.1 39.6 23.3 36.8 55.4 20.3
Canadian Dollar (CAD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 129,189 36,981 34,765 36,915 20,489 49,596 68,237
Change: 1,589 7,107 -14,616 2,298 -1,336 -9,360 15,997
% Open Interest: 28.6 26.9 28.6 15.9 38.4 52.8
New Zealand Dollar (NZD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 35,020 28,201 4,866 4,447 1,534 1,992 28,240
Change: 3,393 2,871 -5,667 326 -93 196 9,153
% Open Interest: 80.5 13.9 12.7 4.4 5.7 80.6
Australian Dollar (AUD/USD)
(1) Large Traders (2) Small Traders (3) Commercial
Open Interest Long Short Long Short Long Short
Contracts: 157,486 94,200 18,589 34,631 20,966 22,859 112,136
Change: -5,381 -2,669 -961 3,862 -649 -4,729 -1,926
% Open Interest: 59.8 11.8 22.0 13.3 14.5 71.2

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