Speculative Positioning in the Futures Market

1. There were three significant (10k contracts or more) gross position adjustments among speculators in the futures market in the Commitment of Traders reporting week ending October 27. It covers the dovish ECB press conference and the Chinese rate cuts. The dollar rallied strongly against both the euro and yen. The bears piled into the short euro positions. The gross short position jumped 37.4k contracts to 176.3k. In percentage terms, it is the largest rise in gross short positions in two and a half years. The 20-week average gross short position is near 162k contracts.

2. The speculative position adjustment in the yen accounts for the other two significant adjustments. The gross longs were cut by a quarter, or 12.3k contracts, leaving 36.4k contracts. The gross shorts by a little more than 30%, or 18k contracts to 70.3k. Some participants apparently thought that the dovish ECB and PBOC rate cut increased the odds of further BOJ easing. The net short yen position jumped to almost 34k contracts from 3.3k the previous week.

3. In contrast to the euro and yen, where speculators reduced long exposure and added to shorts, speculators added to gross long dollar-bloc currencies and cut the shorts. The gross position adjustments among the dollar-bloc currencies were minor (average adjustment was 2k contracts).

4. While the net short euro and yen positions rose, among the dollar-bloc currency futures, the net short Australian and Canadian dollar positions were reduced, while the net long New Zealand dollar position increased. The net short Canadian dollar position of 18.9k contracts is the smallest since late-June.

5. The implications for sterling were less clear. Bulls and bears reduced exposures. The bulls pared 5.5k contracts, leaving 48k. The bears covered 2.1k short contracts, to 43.9k. This resulted in a small reduction in the gross long position from 7.5k contracts to 4.1k contracts.

6. The net speculative short 10-year Treasury position was reduced slightly to 34.7k contracts from 37.8k. This was a function of longs liquidating 5k contracts (to 448k) while the shorts covered 71.k contracts (to 483.6k).

7. In contrast, the reduction of the net long light sweet crude oil futures position (-14.6k contracts to 236.6k) was a result of gross longs increasing more than gross shorts. The bulls added 14.5k contracts (to 499.6k) and the bears added 29.1k contracts (to 263.1k)

27-Oct  Commitment of Traders
 (speculative position in 000's of contracts)
Net  Prior  Gross Long Change Gross Short  Change
Euro -105.9 -62.6 70.4 -5.9 176.3 37.4
Yen -33.9 -3.6 36.4 -12.3 70.3 18.0
Sterling 4.1 7.5 48.0 -5.5 43.9 -2.1
Swiss Franc 1.5 0.6 13.9 2.0 12.4 1.1
C$ -18.9 -27.1 34.1 2.8 53.0 -5.5
A$ -36.4 -38.4 44.8 1.5 81.2 -0.5
NZ$ 5.6 3.8 20.3 0.9 14.8 -0.9
Mexican Peso -0.1 -0.6 52.1 1.5 52.2 0.9

(CFTC, Bloomberg)

Speculative Positioning in the Futures Market Speculative Positioning in the Futures Market Reviewed by Marc Chandler on October 31, 2015 Rating: 5
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