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Weekly Speculative Positions (as of June 20): Surge in Positioning amid Currency Contract Roll


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 June 20:

The net short CHF position has fallen from 14.5 short to 3K contracts short (against USD).

Speculators are long EUR against both USD and CHF.

We wonder how long this will be the case, given that we expect Euro zone inflation to fall under 1% from December 2017 onward.

Speculative Positions

Choose Currency

source: Oanda

The expiration of the June contracts and the roll into September positions appears to have boosted activity in the currency futures, and may obscure the signaling effect. Of the 16 gross positions we track, speculators add to exposure in all but four positions. There speculators covered gross short Swiss franc, Canadian, Australian, and New Zealand dollar positions.

There were several significant position adjustments, which we define as a gross position change of 10k or more contracts. Speculators boosted the gross short euro position by 37.2k contracts (to 122.4k).  This accounted for the vast majority of the sharp drop in the net long position from 79k contracts to 44.9k. Gross longs grew by a mere 3k contracts to 167.2k.

Speculators sold 49k Mexican peso contracts to bring the gross short position to 76.7k contracts. The gross longs added a 2.2k contracts (to 125.7k).  As a result, the net long position was halved to 49k contracts from 95.8k.

The bulls added 10.1k sterling contracts to lift the gross long position to 50.6k contracts. However, the bears added 8.2k contracts to the gross short position, which stood at 88.2k contracts. This means that thee net short position barely changed, slipping to -37.6k contracts from -39.4k.

New Zealand dollar futures were active. The gross long position rose 11.1k contracts to 38.4k, while the gross short position fell 8.7k contracts to 16.9k. The net position, which had swung to the long side in the prior week rose to 21.5k contracts from 1.6k.

In an unusual twist, the net long New Zealand dollar position is larger then the net long Australian dollar position (15k contracts). The net speculative Aussie position had favored shorts for the past two reporting periods, but switched back to the long side in the most recent CFTC reporting week ending June 20. The bulls added 9.1k contracts, and lifted the gross long position to 42.3k contracts. The bears covered 7.4k contracts, leaving a gross short position of 27.2k contracts.

The bulls remain dominant in the US 10-year note futures contracts.  They added 68k contracts to their holdings and the gross long position stands at almost 899k contracts. The bears covered 3.2k contracts. The gross short position was reduced to nearly 554k contracts. The net long position swelled to 345.2k contracts from 274k.

Into the sixth consecutive week of falling prices, the crude oil bulls parted with 10.8k contracts, leaving a 628.5k-contract gross long position. The bears pressed and added 19.5k contracts to the gross short position, lifting it to almost 300k contracts. The net long position fell by 30.2k contracts to almost 329k contracts.


20-Jun Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro 44.9 79.1 167.2 3.0 122.4 37.2
Yen -50.0 -50.6 39.5 5.3 89.5 4.7
Sterling -37.6 -39.4 50.6 10.1 88.2 8.2
Swiss Franc -3.0 -14.5 11.3 2.8 14.3 -8.7
C$ -82.9 -88.6 28.5 1.7 111.4 -4.0
A$ 15.0 -1.5 42.3 9.1 27.2 -7.4
NZ$ 21.5 1.6 38.4 11.1 16.9 -8.7
Mexican Peso 49.0 95.8 125.7 2.2 76.7 49.0
US Treasuries 345.2 417.5 899 68.9 553.6 -3.2
Crude Oil 328.7 298.4 628.5 -10.8 299.8 19.5
(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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