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Weekly Speculative Positions: Speculators Still Don’t Believe in the Greenback


The UK voted to leave the EU. The German and Japanese yield curve is negative out through 15 years.  The entire Swiss curve have negative yields.  There is little doubt that the US economy was recovering from a soft six-month stretch even before the recent string of data.  And even then speculators in the futures market mostly added to foreign currency exposures.
In five of the eight currency futures, we track, speculators covered their gross short exposure and added to their gross long exposure.  Although the adjustments may not be very large, it was sufficient in the Australian dollar to swing the net position back favoring longs for the first time since late-May.  The Aussie bulls added 1.2k
contracts to their gross long position, lifting it to 33.8k contracts, while the bears covered 5.6k gross short contracts, leaving them with 28.9k contracts.

Swiss Franc

 Speculators reduced their long CHF position (against USD) from 10.9K contracts to 8.7K contracts.


Speculators did not seem to know what to do with sterling. The gross long increased by 2.5k contracts to 45.7k.  The gross short position rose by 8.8k contracts to 94.8k. We are surprised that there was not a more dramatic adjustment in the sterling futures given the magnitude of the spot move.


Mexican Peso

Speculators in the Mexican peso futures also added to gross longs and covered gross shorts but compared with the Australian dollar, did so in size.  The
peso bulls nearly doubled their gross long position to 24.2k contracts, adding 10.8k contracts.  The peso bears covered 9.6k short contracts, giving them
69.1k.  The net speculative short position is just below 45k contracts.
Outside the peso, there was only one other significant (10k+ contracts) speculative gross currency adjustment.  The bears increased their gross short euro position by 15.8k contracts to 187.3k. It is the largest gross short position since the end of January.


The bulls took some profits in the US 10-year Treasury note futures by selling 14.4k gross long contracts, leaving them with 653.8k contracts.  Some bears threw in the towel. They covered 26.6k gross short contracts.  The speculative gross short position stands at 557.7k contracts.  The net long positioned increased to 96.1k contracts from 63.9k.  The traditional approach that focuses on the net level will miss this fact:  the speculative exposure fell in the latest reporting period.

Crude Oil

After three weeks of liquidation, the crude bulls scooped up 9.0k contracts to bring their gross long position to 519.4k contracts.  The bears continued to expand their short positions.  They added 13.6k contracts to their gross shorts.  The gross short position stands at 219.8k contracts, up from 175k contracts at the end of May. Here is the opposite of what we saw in the Treasury futures.  In the crude oil futures both gross longs and shorts grew but the net position fell by 4.6k contracts to 299.7k.


5-Jul      Commitment of Traders
Euro Net  Net Last Week Gross Long Change Gross Short  Change
Yen -75.3 -61.9 112.0 2.4 187.3 -2.3
Yen 63.6 59.8 87.0 1.5 23.5 -2.3
Sterling -49.0 -42.7 45.7 2.5 94.8 8.8
Swiss Franc 8.7 10.9 22.5 -0.4 13.8 1.8
C$ 11.5 7.9 41.0 2.4 29.5 -1.2
A$ 4.9 -2.0 33.8 1.2 28.9 -5.6
NZ$ -1.4 -2.8 30.6 0.8 32.0 -0.6
Mexican Peso -44.9 -65.3 24.2 10.8 69.1 -9.6
Treasuries +96.1 +32.2 653.8 -14.4 557.7 -26.6
Crude Oil +299.7 -4.6 519.4 -9.0 219.8 +13.6
(CFTC, Bloomberg) Speculative positions in 000’s of contracts

Graphs and additional information on Swiss Franc by the snbchf team.


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Marc Chandler
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.
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