Observations on the Speculative Positioning in the Futures Market

1. There were three significant speculative gross position adjustment among the currency futures in the Commitment of Traders reporting week ending November 3.  They were all expanding the gross short positions. Speculators added 30.9k contracts to lift the gross short euro position to 207.2k.  It has risen by 69k contracts in the past two weeks.  The bears increased the net short yen position by 14.9k contracts to 85.3k.  In the past two weeks it has increased by nearly 33k contracts.  The gross short Swiss franc position doubled to 24.8k contracts. This is the biggest jump in more than four years.  

2.  The jump in the gross short franc position was sufficient to swing the net position from long 1.5k contracts to short 7.0k contracts.  Speculators were net long for two weeks.  In contrast, speculators are remain net long sterling futures, albeit marginally so (0.2k  contracts).  However, given sterling sharp slide in recent days, many likely wished they had sold more.  

3.  Speculators added to gross short currency positions with minor exceptions in the Canadian and New Zealand dollars.  Given the newfound dollar bullishness this is not surprising.  What is surprising is that speculators also added to gross long currency futures positions.  There were two minor exceptions, sterling and the Canadian dollar, both slipped by a little more than 2k contracts.   The gross long peso position rose less by less than 20 contracts, which we rounded to zero.   

4.  The bears made a significant stand in US Treasury futures.  The gross short position jumped by 87.3k contracts, the most since March 2011, to 570.9k.  The bulls pared back, cutting 10% of gross long position or 41.3k contracts to 406.6k.  Since the end of the reporting period, the December 10-year note fell a full point.  The net short position jumped to 164.3k contracts from -35.6k.  It is the third week of net shorts.  In the middle of October, speculators were carrying a net long position (17.7k contracts).  

5.  Speculators in the oil market pulled back.  Both longs and shorts were trimmed.  The longs were shaved by 6.2k contracts, leaving 493.4k.  Almost 16k gross short contracts were covered.   The bears are holding on to 247.2k short contacts.  The net long position increased by 9.6k contracts to 246.2k.    

 Commitment of Traders
 (speculative position in 000's of contracts)
Net  Prior  Gross Long Change Gross Short  Change
Euro -134.3 -105.9 72.9 2.5 207.2 30.9
Yen -43.8 -33.9 41.5 5.1 85.3 14.9
Sterling 0.2 4.1 45.8 -2.2 45.6 1.7
Swiss Franc -7.0 1.5 17.8 3.8 24.8 12.4
C$ -19.5 -18.9 32.0 -2.1 51.5 -1.5
A$ -38.6 -36.4 49.9 5.0 88.5 7.3
NZ$ 6.6 5.6 21.3 0.9 14.6 -0.1
Mexican Peso -0.7 -0.1 52.1 0.0 52.8 0.7
(CFTC, Bloomberg)

Observations on the Speculative Positioning in the Futures Market Observations on the Speculative Positioning in the Futures Market Reviewed by Marc Chandler on November 07, 2015 Rating: 5
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