The most recent Commitments of Traders (COT) report, released on Friday by the Commodity Futures Trading Commission (CFTC), showed that futures speculators added to their short positions of the US dollar against the other major currencies. Non-commercial futures positions, those taken by hedge funds and large speculators, were overall net short the US dollar by $29.82 billion against other major currencies as of the March 22nd data release. This is an increase from the total short position of $27.07 billion on March 15th, according to the CFTC data and calculations by Reuters which calculates the dollar positions against the euro, British pound, Japanese yen, Australian dollar, Canadian dollar and the Swiss franc.
This week’s notable changes included British pound sterling positions returning to the long side after a week with net short positions and the Canadian dollar positions falling for a second straight week.
EuroFx: Currency speculators increased their net long positions for the euro against the U.S. dollar after a decrease the previous week. Futures positions in the euro rose to a total of 48,353 long positions as of March 22nd following a total of 46,316 long positions on March 15th.
The COT report is published every Friday by the Commodity Futures Trading Commission (CFTC) and shows futures positions as of the previous Tuesday. It can be a useful tool for traders to gauge investor sentiment and to look for potential changes in the direction of a currency or commodity. Each currency contract is a quote for that currency directly against the U.S. dollar, where as a net short amount of contracts means that more speculators are betting that currency to fall against the dollar and net long position expect that currency to rise versus the dollar. The graphs overlay the forex spot closing price of each Tuesday when COT trader positions are reported for each corresponding spot currency pair.
GBP: British pound sterling bets rebounded last week after dropping over to the short side on March 15th. GBP rose to a total of 29,724 long contracts as of March 22nd after registering 225 short contracts on March 15th.
JPY: The Japanese yen net contracts advanced for a second straight week as of March 22nd to a total of 34,525 long contracts following a total of 30,230 net long contracts reported on March 15th.
CHF: Swiss franc long positions dipped as of March 22nd after increasing for five consecutive weeks. Franc positions level at a total of 21,301 net long contracts as of March 22nd following a net of 27,640 long contracts on March 15th. The March 15th positions represented the highest level for franc positions since late 2009.
CAD: The Canadian dollar positions continued to fall lower for a second consecutive week to a total position of 45,977 contracts as of March 22nd. CAD net contracts had declined to a total of 56,991 net long contracts as of March 15th.
AUD: The Australian dollar long positions rose last week after decline on March 15th. AUD contracts totaled a net amount of 51,734 long contracts as of March 22nd after AUD positions had totaled 47,951 net long contracts on March 15th.
NZD: New Zealand dollar futures positions stayed on the short side for a second consecutive week. NZD contracts increased to a total of 1,482 short positions as of March 22nd from a total of short 2,809 long contracts on March 15th. NZD contracts had fallen for five consecutive weeks through March 15th.
MXN: Mexican peso long contracts fell sharply from a total of 121,575 net long contracts on March 15th to a total of 87,548 long contracts as of March 22nd. The MXN positions on March 15th represented the highest level in over a year.
COT Data Summary as of March 22, 2011
Large Speculators Net Positions vs. the US Dollar