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Weekly Speculative Position: CHF getting stronger, net shorts stable


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.

CHF Speculative Positions

This week’s data:

Speculators are net short CHF with 13.7K contracts against USD.

This is nearly unchanged.

On the other side, the USD/CHF is losing.

Speculative Positions

Choose Currency


source: Oanda

The CFTC reporting week ending January 17 was shortened by the Martin Luther King holiday. Speculators in the currency futures market made only small position adjustments. No adjustment met our bar for significance at 10k contracts.

There was only one gross position adjustment of more than 6k contracts. The Australian dollar bears covered 7.1k contracts to reduce the gross short position to 37.6k contracts. This was sufficient to swing the net position back to favor longs (4.8k contracts) for the first time in four weeks. The bulls only added 1.6k contracts.

Speculators reduced exposure to the major European currencies by liquidating longs and covering shorts. In the euro, this has been a bit of a trend. The gross longs and shorts peaked in late October near 143k and 267k contracts respectively. They now are at 128.8k and 195.3k contracts. The shorts have been reduced by a little more than 14k contracts, while almost 72k short contracts were covered.

On the other hand, speculators took on more yen exposure. The bulls added 2.5k contracts to bring the gross long position to 28.6k contracts. The bears added roughly five hundred contracts to the gross short position, which stands a 106.4k contracts. In the past month about 36k gross short contracts have been bought back.

Speculators were mostly bullish the dollar-bloc currency futures and added to gross long positions. Except for the Australian dollar as we have seen, speculators add to gross short positions, but not as much as growing the longs. This results in smaller net short positions, but the Australian dollar is the only currency futures we track where speculators are net long.

After reducing longs and amassing a record short position in recent weeks, speculators in the 10-year Treasury note futures reversed themselves. Bottom picker added 15.8k contacts to their gross long position. It now stands at 471k contracts. The shorts took profits on 3.1k contracts, leaving the gross short position at 846.7k contracts. Note that in the three sessions that followed the end of the reporting period the 10-year cash yield rose nearly 20 bp.

Speculators in the light sweet crude oil futures extended the net and gross long position. They added 27.3k contracts to their gross long position, which is now 631.5k contracts. The bears covered 3.8k contracts previously sold to leave them with 166.9k contracts.


17-Jan Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro -66.5 -65.8 128.8 -5.9 195.3 -5.2
Yen -77.8 -79.8 28.6 2.5 106.4 0.5
Sterling -66.2 -65.8 55.2 -1.5 121.5 -1.1
Swiss Franc -13.7 -14.2 7.2 -2.8 20.8 -3.4
C$ -5.5 -7.9 32.1 3.7 37.5 1.2
A$ 4.8 -3.8 42.4 1.6 37.6 -7.1
NZ$ -12.3 -14.0 25.5 2.5 37.8 0.9
Mexican Peso -73.3 -71.8 22.6 -1.3 95.9 0.2
US Treasuries -375.7 -356.8 471 15.8 846.7 -3.1
Crude Oil 464.6 495.7 631.5 27.3 166.9 -3.8
Bloomberg) Speculative positions in 000’s of contracts
 658.8  843.6 163.1
Full story here
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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