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Weekly Speculative Position: Speculators are long all currencies of the dollar bloc

 

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

Last week’s data:

Speculators are net short CHF with 14.6K contracts against USD.

This is less than the 17K last week.

Speculative Positions

Choose Currency

 

source: Oanda

 

With a small adjustment to gross positions, speculators turned net long New Zealand dollars for the first time in three months.  Now speculators in the futures market are net long the dollar-bloc currencies. They are still net short the currencies, but trimmed them in the CFTC reporting week ending February 7.  The exception was sterling where speculators trimmed longs (4.1k contracts to 38.1k) more than covered shorts (1.3k contracts to 102.7k)

Position adjustments were small for the period.  None made it to our 10k-contract threshold for significance.  The yen came the closest as the bears covered 9.6k contracts, leaving 80.9k gross short contracts in speculators’ hands. Of the other 15 gross positions we track, only three were larger than 5k.  Speculators changed four gross positions by less than 1k contracts.

However, one point is clear, and that is that the extreme long dollar position has been adjusted. The net short euro position of 45k contracts is the smallest since last May.  The net short yen position of 55.1k contracts is the smallest in two months.  Speculators have the small net short Mexican peso since the middle of December.

Speculators moved out of the 10-year Treasury note futures.  The bulls liquidated 49.5k contracts, leaving a gross long position of 472.3k contracts.  The bears covered 98.6k contracts.  The gross short position stands at 776.9k contracts.  The net short position fell to 304.6k contracts from 353.7k.

Unlike the note futures, bulls and bears saw opportunity in the oil futures market.  The bulls added 5.2k contracts to lift the gross long position to 661.9k contracts.  The bears sold another 20.9k contracts, giving them a gross short position of 184.9k contracts.  The result was a 15.7k reduction in the net long position, which now stands at 477.0k contracts.

 

7-Feb Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro -45.0 -47.7 126.7 1.0 171.7 0.3
Yen -55.1 -58.3 25.9 -6.3 80.9 -9.6
Sterling -64.5 -61.8 38.1 -4.1 102.7 -1.3
Swiss Franc -14.6 -17.1 7.1 0.2 21.7 -2.3
C$ 8.6 3.5 46.1 1.2 37.6 -3.9
A$ 16.7 12.1 66.5 7.4 49.8 2.7
NZ$ 1.8 -1.0 34.9 2.1 33.0 -0.7
Mexican Peso -58.5 -63.2 31.2 5.2 89.7 0.5
US Treasuries -304.6 -255.5 472.3 -49.5 776.9 -98.6
Crude Oil 477.0 492.7 661.9 -5.2 184.9 -20.9
(CFTC, Bloomberg) Speculative positions in 000’s of contracts
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 SeekingAlpha.com 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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