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Weekly Speculative Position: Rising EUR shorts and falling CHF shorts point to weaker EUR/CHF


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 increased their EUR net short position against the dollar, but lowered their CHF net shorts (vs. USD). This tendency confirms our view that EUR/CHF will move towards parity (if the SNB does not object…).

Speculative Positions

Choose Currency


source: Oanda

It was another CFTC reporting week that saw little adjustment to the speculative positioning in the euro, yen, and sterling futures.  In fact, the average change in the gross speculative positions in these three major currencies was 2.7k contracts. Another sign that speculators tread water in the major currencies was that  the 3.6k contract reduction of the speculative gross short Swiss franc position was larger than the gross position changes in the other majors.

However, it was different among the dollar-bloc currency futures.  There speculators added to gross long positions.  The bulls added 7.0k contracts to lift the gross long Canadian dollar position to 53.2k contracts.  The bulls added 1.7k New Zealand dollar futures contracts.  The speculators’ gross long position now stands at 36.6k contracts.  The biggest change among the currency futures we track was the 12.8k-contract increase in the gross long Australian dollar futures to 79.3k contracts.

Of note, the bears in the dollar-bloc currency futures also saw opportunity.  The bears added less than one thousand contracts to the gross short New Zealand dollar position (to 33.3k) and 5.3k contracts to the gross short Australian dollar position (to 55.1k).  The Canadian dollar was the exception, as the bears covered 3.8k contracts, leaving them with 33.8k gross short futures contracts.

These adjustment to the gross positions produced larger net long positions.  The speculative net long Canadian dollar position more than doubled to 19.3k contracts (from 8.6k). It is the largest since last September.  The net long Aussie position increased by 50% to 24.2k contracts (from 16.7k), as did the net Kiwi position (2.9k from 1.8k).

In the US 10-year Treasury note futures, both bulls and bears saw opportunity. The bulls added 53.4k contracts to lift the speculators’ gross long position to 525.8k contracts.  The bears were not outdone.  They added 90.4k contracts to the gross short position, which now stands 867,3k contracts. The result of these gross adjustments was to increase the net short position to 341.5k contracts from 304.6k the previous reporting week.

The bulls continue to dominate in the oil futures.  Speculators added 21.3k contracts to their gross long position.  They have done so for five consecutive weeks.  The speculative gross long position stands at 683.3k contracts.  The bears covered another 10.1k contracts to reduce the gross short position to 174.8k contracts.  The net position rose 31.5k contracts to 508.5k.


14-Feb Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro -46.8 -45.0 125.3 -1.4 172.1 0.4
Yen -51.3 -55.1 27.7 1.8 79.0 -1.9
Sterling 65.5 -64.5 39.0 0.9 104.6 1.9
Swiss Franc -11.5 -14.6 6.6 -0.5 18.1 -3.6
C$ 19.3 8.6 53.2 7.0 33.8 -3.8
A$ 24.2 16.7 79.3 12.8 55.1 5.3
NZ$ 2.9 1.8 36.6 1.7 33.7 0.7
Mexican Peso -60.2 -58.5 30.3 -1.0 90.5 0.8
US Treasuries 341.5 -485.3 525.8 -53.4 867.3 90.4
Crude Oil 508.5 497.3 683.3 -21.3 174.8 -10.1
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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