by Marc Chandler
My articles My offerMy siteAbout meMy videosMy books
Follow on:LinkedINTwitterSeeking AlphaAmazon
Comment on Swiss Franc by George Dorgan
My articles My siteAbout meMy videosMy books
Follow on:LinkedINTwitterSeeking Alpha
CFA SocietyEconomicBlogs
On the Swiss Franc:
The data shows that the Net positioning in the Swiss Franc barely changed, as of June 21, when compared to the previous week.
The CFTC reporting week ending June 21 covers the day FOMC and BOJ meetings and ends two days before the UK referendum. The overarching theme was the reduction of exposure. This is not measured by net positions but by gross positions.
Of the eight currencies we track, six saw a reduction of gross long positions and a six saw a reduction in the gross short positions. Five of the eight currencies showed a decline in both long and short positions.
Euro
There were four significant (more than 10k contracts) gross currency adjustments. The euro accounts for half. The gross long position was cut by 15.9k contracts, leaving the bulls with 88.6k contracts. The gross short position was chopped by 11k contracts to 150k.
Sterling: Stop-Loss Contracts Got Stopped out
The gross long sterling position got culled by a third or 20k contracts to 41.7k Recall that in the previous week, 25.4k contracts were added the gross long position. The gross short position was trimmed by 4.7k contracts, leaving 93.7k contracts, which is among the largest short positions on record. On a net basis, large speculators were short 51.9k sterling contracts. Any gross long contract that had a stop associated with it was likely stopped out.
Canadian Dollar
The final currency that had a significant adjustment was the Canadian dollar as the bears increased their gross short position by more than half. The 14.1k contract increase lifts the gross short position to 38.1k contracts. It was the increase in the gross short position that is behind the fall in the net long position (to 2.6k contracts from 18.4k) rather than liquidation of longs (-1.7k to 40.7k contracts)
US Treasuries
The bulls charged ahead in the US 10-year Treasury note futures market. They expanded the gross long position by 110.6k contracts to 711.5k. It is the largest position since late-2007. It is the third week of strong gains. Three weeks ago, the gross long position stood at 404.6k contracts. The bears added 41k contracts to the gross short position, which now stands at 596.8k contracts.
The bulls and bears moved to the sidelines in the most recent reporting period. The bulls trimmed 8.1k contracts (to 515.2k) and the bears covered 14.1k contracts (to 196.6k). Ironically, the result of these gross adjustments, the net speculative position increased by 6k contracts to 318.6k.
| 21-Jun | Commitment of Traders | |||||
| Net | Prior | Gross Long | Change | Gross Short | Change | |
| Euro | -61.3 | -56.5 | 88.6 | -15.9 | 150.0 | -11.0 |
| Yen | 52.3 | 55.7 | 79.4 | 1.7 | 27.1 | 5.1 |
| Sterling | -51.9 | -36.7 | 41.7 | -20.0 | 93.7 | -4.7 |
| Swiss Franc | 6.4 | 7.1 | 24.0 | -4.5 | 17.6 | -3.7 |
| C$ | 2.6 | 18.4 | 40.7 | -1.7 | 38.1 | 14.1 |
| A$ | -7.0 | -6.8 | 38.6 | -0.9 | 45.7 | -0.6 |
| NZ$ | -3.0 | -3.8 | 30.0 | 0.4 | 33.1 | -0.3 |
| Mexican Peso | -68.9 | -65.6 | 13.5 | -3.4 | 82.4 | -0.1 |
| (CFTC, Bloomberg) Speculative positions in 000’s of contracts | ||||||
He has been covering the global capital markets in one fashion or another for more than 30 years, working at economic consulting firms and global investment banks. After 14 years as the global head of currency strategy for Brown Brothers Harriman, Chandler joined Bannockburn Global Forex, as a managing partner and chief markets strategist as of October 1, 2018.
Tags: Commitments of Traders,newslettersent,Speculative Positions
