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Weekly Speculative Positions: Short CHF Are Increasing


In the CFTC reporting week ending November 28, speculators added 12.1k contracts to their gross short position, lifting it to 72.4k contracts. Speculators added a little less than one thousand contracts to the gross longs, which then stood at 72.1k contracts.
Since peaking in early October near 102k contracts, 30k gross long contracts have been liquidated.  Over the same period, almost 40k contracts have been added to the gross short exposure.  The result is that the net position is short about three hundred futures contracts.  That leaves the Australian dollar as the only currency futures we track in which speculators are still net long.  And even there they are back.

Swiss Franc

Speculators were net short CHF in January 2015, shortly before the end of the peg, with 26.4K contracts. Then again in December 2015, when they expected a Fed rate hike, with 25.5K contracts.

The biggest short CHF, however, happened in June 2007, when speculators were net short 80K contracts. Shortly after, the U.S. subprime crisis started. The carry trade against CHF collapsed.

The reverse carry trade in form of the Long CHF started and lasted - without some interruptions - until the peg introduction in September 2011.

In mid 2011, the long CHF trade became a proper carry trade - and not a reverse carry trade anymore - because investors thought that the SNB would hike rates earlier than the Fed.

Speculative Positions

Choose Currency


source Oanda

During the latest reporting period, speculators liquidated 8.7k long Aussie futures contracts, bringing the position down to 54.8k contracts.  About 1.1k contracts were added to the gross short position, so it stood at 33.8k contracts.  The net long position fell by a third to 21.0 contracts.
The US dollar rose more than 8.5% against the yen in November, and finally at the end of the month, speculators finally switched to a new short position for the first time this year.
Growing the gross short yen futures was the largest speculative position adjustment, but speculators were also active in euro futures.  The bulls added 9k contracts to the gross longs (to 136.1k), while the bears grew the gross short position almost as much (8.9k contracts to 255.3k).
Speculators mostly added to short currency exposures.  Of the eight currencies we track there were two exceptions, the Canadian dollar (2.1k reduction of gross shorts) and the New Zealand dollar (200 contract reduction).  Without fail, speculators liquidated long exposure to the dollar-bloc currencies and the peso.  They mostly added to the other majors, with the exception of sterling, where gross longs were cut.
Speculators added to their net short Mexican peso position.  The 5.6k contract addition brought the gross short position to 73.8k contracts, surpassing the yen.  And because the longs were trimmed marginally, the net short position rose to 54.5k contracts, the largest since early October.
The bulls and bears have been wrestling in the 10-year note futures.  In the most recent reporting period, the bulls capitulated.  They liquidated 208.4k contracts.  They still have another 519.1k contracts.  The emboldened bears added 60.5k contracts to their gross short position, raising it to 615.4k contracts.  The result is that the net position swung from long 173k contracts to being short 96.3k contracts.
In the reporting period ending the day before OPEC’s oil cut announcement, speculators trimmed both gross long and short positions.  They trimmed the gross long position by 8.9k contracts to 551.7k.  They covered 20.4k gross short contracts, leaving them with 263.8k.  This resulted in an 11.6k contract increase in the net long position to 287.9k contracts.
29-Nov      Commitment of Traders
Net  Prior  Gross Long Change Gross Short  Change
Euro -119.2 -119.3 136.1 9.0 255.3 8.9
Yen -0.3 10.9 72.1 0.9 72.4 12.1
Sterling -78.1 -74.3 50.0 -3.4 128.9 0.4
Swiss Franc -24.3 -22.9 13.0 3.5 37.4 4.9
C$ -18.6 -17.5 25.0 -3.3 43.6 -2.1
A$ 21.0 30.7 54.8 -8.7 33.8 1.1
NZ$ -1.9 -0.5 30.2 -1.5 32.1 -0.2
Mexican Peso -54.5 -48.3 19.3 -0.6 73.8 5.6
US Treasuries -96.3 +173 519.1 -208.4 615.4 +60.5
Crude Oil 287.9 +11.6 551.7 -8.9 263.8 -20.4
(CFTC, Bloomberg) Speculative positions in 000’s of contracts



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George Dorgan
George Dorgan (penname) predicted the end of the EUR/CHF peg at the CFA Society and at many occasions on and on this blog. Several Swiss and international financial advisors support the site. These firms aim to deliver independent advice from the often misleading mainstream of banks and asset managers. George is FinTech entrepreneur, financial author and alternative economist. He speak seven languages fluently.
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