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Weekly Speculative Positions: Continued reduction of Euro Shorts


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 data as of March 21:
As we expected, speculators reduced their net Euro shorts after the less dovish ECB.

But the net short of CHF nearly remains stable.
This resulted in a slight appreciation of EUR/CHF.

Speculative Positions

Choose Currency

source: Oanda

(I am beginning a three-week business trip to Asia, so, while committed to the blog, the updates will be irregular. Thanks for your patience.).

There were three significant position adjustments by speculators in the currency futures during the CFTC reporting week ending March 21.In the euro, the bears ran for cover and the bulls ran with the wind at their back. The bulls add 11.3k contracts to their gross long position, bringing it to 159.6k contacts. Meanwhile, the bears covered 10k contracts to bring their gross short position to 179.3k contracts. The net short position was to 9.7k contracts from 41.0k contracts, which is the smallest since mid-2014.Bulls and bears were active in the Australian dollar futures, but their activity largely canceled each other out. The net position changed by less than 2k contracts. The gross long position rose by 11.8k contracts to 85.4k, while the gross short position rose by 10.2k contracts to 40.4k.

The most dramatic change was in the Canadian dollar futures. The bulls capitulated. The gross long position was slashed by 44.3k contracts to 30.3k. The bears were not as bold. They added 1.5k contracts to the gross short position, lifting it to 54.7k contracts. The net position swung back short (-24.4k contracts vs. +21.5k contracts) for the first time in two months.

Speculators were also active sterling, but just shy of our 10k contract threshold of significance. In contrast to the Australian dollar where speculators added to both long and short positions, in sterling, both longs and shorts were trimmed (9.9k contracts and 9.1k contracts respectively). The net position hardly changed, a little above 107k contracts.

Speculators moved to the sidelines in the light sweet oil futures. The bulls liquidated 28k contracts, leaving 659k contracts gross long. The bears covered 12.7k contracts. They now have 240.5k gross short contracts. These adjustments produced a 15.3k contract reduction in the net long position, bringing it to 418.5k contracts.

Short-covering continued to dominate speculative position adjustment in the 10-year Treasury note futures markets. The chastened bears covered almost 100k contracts, reducing the gross short position to 707.6k contracts. The bulls liquidated a little less than 4k contracts leaving 607.2k contracts. The net short position was halved to 100.4k contracts. It is the smallest since early December.


21-Mar Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro -17.7 -41.0 159.6 11.3 179.3 -10.0
Yen -67.0 -71.3 35.0 -0.5 102.0 -4.8
Sterling -107.8 -107.1 32.6 -9.9 140.4 -9.1
Swiss Franc -12.0 -9.0 9.1 -3.9 21.1 -0.9
C$ -24.4 21.5 30.3 -44.3 54.7 1.5
A$ 45.0 43.3 85.4 11.8 40.4 10.2
NZ$ -12.6 -5.6 16.6 -2.9 29.2 4.1
Mexican Peso 3.3 -5.5 57.7 6.5 61.0 4.3
US Treasuries -100.4 -6.4 607.2 -3.7 707.6 -97.7
Crude Oil 418.5 377.8 659 -28 240.5 12.7
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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