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Weekly Speculative Positions (as of May 30): Speculators make Small Adjustments, but Like that Peso


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 May 30:

The net short CHF position has fallen from 19.8 short to 18.5K contracts short (against USD).

But the major movement was that speculators are net long the euro now and not the dollar any more. This implies that they are also long Euro against CHF.

Speculative Positions

Choose Currency

source: Oanda

Speculators in the future market made mostly minor adjustment in the gross positioning in the currencies. Ten of the 16 gross positions we track were adjusted by less than 3k contracts.

There was only one above 7k. The bulls added 13.9k contracts, which lifted the gross long position to 112.5k contracts. It is the most in nearly three years. The net long position (75k) is the largest among the currency futures, edging out the euro (72.9k contracts).

Speculators continued to rebuild gross long euro positions. Adding 1.2k contracts, speculators lifted their gross long holdings to 176.2k contracts. The record set in mid-April was 186k contracts. The net long position increased primarily because the 6.8k previously sold contracts were bought back.

Speculators trimmed their record large gross short Canadian dollar by covering 6.9k contracts. At 121.9k contracts, though, the gross short position is the largest among the currency futures, and the net short 98.2k contracts is also the largest net short position. Despite very small gross position adjustments of less than five hundred contracts, it was the first time since late March that the net long Australian dollar position grew.

Gross long currency positions were mostly increased a little. The two exceptions were sterling and the Canadian dollar. The yen, sterling and Swiss franc gross short were increased, but they fell for the other five currency futures we track.

Perhaps the holiday had something to do with it, but speculators did not change their positioning in the oil futures very much. The bulls added about a hundred contracts to the gross longs and the bears bought back 700 contracts previously sold. The net long position dipped below 700k contracts.

Position adjustment was more significant in the US 10-year note futures. The bulls took profits on 70.3k contracts, leaving them with a gross long position of 877.5k contracts. The bears added 34.1k contracts to the gross short position that stood at 619.4k contracts at the end of the reporting week May 30. These gross position adjustments pushed the net long position down to 258.2k contracts from 362.5k.

30-May Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro 72.9 64.8 176.2 1.2 103.4 -6.8
Yen -52.3 -51.7 43.4 1.5 95.7 2.1
Sterling -29.7 -23.9 45.6 -3.6 75.2 2.2
Swiss Franc -18.5 -19.8 8.7 2.6 27.2 1.3
C$ -98.2 -99.1 23.7 -6.0 121.9 -6.9
A$ 3.1 2.6 43.1 0.3 40.1 -0.2
NZ$ -5.5 -9.2 16.9 2.9 22.4 -0.8
Mexican Peso 75.0 54.3 112.5 13.9 37.5 -6.8
US Treasuries 258.2 153.7 877.5 -70.3 619.4 34.1
Crude Oil 477.5 582 700 104.5 222.5
(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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