Large Gross Position Changes Capture Currency Contract Rolls

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


Large Gross Position Changes Capture Currency Contract Rolls Large Gross Position Changes Capture Currency Contract Rolls Reviewed by Marc Chandler on March 11, 2017 Rating: 5
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