CFTC Commitments of Traders weekly data - page 19
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CFTC Commitment of Traders report: Euro shorts increase Forex futures market speculative positions data from the CFTC commitments of traders report as of the close on 27 October 2015
Big standout is the increase in euro-short positions but notable increase in short yen posies too
Net long USD positions climbing to a one-month high rising to a total of $21.6bln vs $13.3bln prev.
Notable trimming back of short S&P positions
Commitments of Traders: speculators more bearish on EUR, JPY The Commodity Futures Trading Commission released its weekly Commitments of Traders report for the week ending October 27 on Friday.
CFTC Commitment of Traders report: EUR shorts increase by 28K in the current weekly data Forex futures market speculative positions data from the CFTC commitment of traders report as of the close on 3 November 2015
The big mover is the shorts in the EUR increased by 28K.
GPB was long just 188 lots - so in effect square. The changes in the net positions for the other pairs was modest.
The net position in dollar longs is the highest since mid August according to Reuters.
CFTC - Commitments of Traders: speculators more bullish on U.S. Dollar The Commodity Futures Trading Commission released its weekly Commitments of Traders report for the week ending November 3 on Friday.
Takeaways On USD, EUR, AUD, & Other Majors From This Week's COT Report The following are the key takeaways from this week's COT report as provided by Scotiabank. (Data in this report cover up to Tuesday Nov 03 & were released Friday Nov 06).
Changes in FX sentiment were concentrated among a few key currencies this week, with EUR, CHF, and JPY responsible for the bulk of the build in the aggregate USD long—jumping $6.4bn to $27.7bn. The USD build follows on last week’s $8.1bn rise, pushing the aggregate USD long back to levels last seen in mid-August.
EUR sentiment has deteriorated for a second consecutive week, though we note that the pace has moderated with a $3.8bn widening in the net short following on the prior $5.8bn build. The past two week’s changes in EUR sentiment have been almost entirely built by shorts, leaving EUR vulnerable to short covering in response to key events.
JPY is the second largest held net short, its $4.5bn position almost entirely built over the past two weeks with a $1.0bn deterioration following on the prior $3.1bn build. The relative size of the JPY short leaves it less vulnerable when compared to EUR.
Sentiment toward CAD and AUD remains modestly bearish, though we note that both saw their positions remain relatively unchanged on a w/w basis. CAD is held net short $1.5bn and investors pared back risk to both sides in the most recent week. Meanwhile, the opposite was observed for AUD as investors added to both long and short positions, the latter exceeding to provide for a modest $0.2bn widening in the net short to $2.8bn.
CFTC Commitment of Traders report: Short positions increase in current week Forex futures market speculative positions data from CFTC commitment of traders report as of the close on November 17
Short positions increased in all the major currencies except the NZD. The biggest change was in the EUR which increased the short position by 21K in the current week.
Other changes:
CFTC - Commitments of Traders: speculators more bullish on U.S. Dollar The Commodity Futures Trading Commission released its weekly Commitments of Traders report for the week ending November 17 on Friday.
Takeaways On Spec Positioning - ANZ The following are the key takeaways from this week's COT report as provided by ANZ. (Data in this report cover up to Tuesday Nov 17 & were released Friday Nov 20).
Leveraged funds increased their net long USD positions for the fourth consecutive week ahead of the release of the FOMC Minutes last week. Overall USD net long positioning stands at USD31.2bn, an increase of USD2.8bn from the previous week, and the highest since mid-April this year. With the interest rate markets pricing in close to a 70% chance of a Fed rate hike in December, leveraged funds look to be similarly positioned for Fed lift-off in the FX market.
The net buying of USD was broad-based. JPY saw the largest net selling at USD0.9bn, no doubt partly on the back of data showing that the Japanese economy is in technical recession. Overall net short positions in JPY stands at USD8.6bn.
Both EUR and CHF saw net selling of USD0.8bn each. Policy divergence between the Fed and ECB is likely behind the rise in net short positions in EUR to their highest level since April. Net short positions in CHF are at their highest since January, just before the SNB abandoned the peg.
Leveraged funds increased their short exposure to commodity currencies by USD0.4bn to USD3.3bn, as commodity prices remain under pressure.
GBP bucked the overall trend, with leveraged funds increasing their net long positions by USD0.1bn to USD0.9bn.
US CFTC Braces For Automated Trader Pushback on Algo Proposal After two years of work getting ready, the Commodity Futures Trading Commission Tuesday braced for an onslaught of criticism of a proposal to erect extensive new guardrails around algorithmic trading of futures contracts.
The more-than-500-page proposal, approved by the three commissioners as expected, would make mandatory many safeguards against disruptive market events that larger firms have already put in place. For all market participants, the safeguards would initiate a new era of unprecedented government control.
The rule goes far beyond mere registration, as the proposal was first described in its early stages, to allow the commission access to algorithm source code and impose caps on maximum order sizes and frequency - and on cancellation rates.
Firms have generally been cautious in criticizing the CFTC, in many cases working with the agency in developing parts of the proposal. At the same time many have become increasingly concerned about how the original concept has kept growing in specificity and in what many in the industry regard as unnecessary intrusiveness.
Now the trading firms, as well as the alternative trading venues, software developers and individual traders have the opportunity to answer more than 160 commission questions about the proposal in next three months of the comment period, a process expected to bring to the surface many complaints about its unexpectedly broad scope.
A final rule is expected to take many more months to implement.
"Markets continue to evolve," CFTC Chairman Tim Massad said before the vote. "It is important to continue looking at this issue."
He warned, "No set of rules can prevent all problems, but that doesn't discharge us from our duty to take reasonable measures to minimize these risks."
Commissioner Sharon Bowen, a former securities attorney, said she expected some objections not only from market participants but from those who think the government should be far more aggressive in controlling automated trading.
"I'm sure," she said, "that given the ferocious rates of change ... in technology, we will need to update this regulation regularly to account for those changes." The rule, she added, "is only the first step in a continuing process."
The third commissioner, attorney Chris Giancarlo and the only Republican, said much of the proposed rule is "window dressing," already being applied widely by Street firms.
He also said he questioned the provision for the CFTC and the Department of Justice to be able to examine the source code of algorithmic software, one of the world's most closely guarded categories of proprietary intellectual property.
"My staff and I brought dozens of issues and concerns to the Division of Market Oversight," he said during the commission meeting. "While they were responsive to a few topics, many other issues require much further attention and consideration." Giancarlo, despite his reservations, approved the proposal. The commission has two vacancies.
Giancarlo said he is also "concerned about the high cost and burdens of the proposal, especially on smaller market participants."
Massad said he did not see how algo source code was any different from all the other kinds of sensitive material to which the CFTC has access and which has successfully kept confidential. But he said the commission staff would be especially careful given the concerns.
"There is plenty of commercially sensitive information, I think that we get in the course of our oversight activity and our supervision activity," he said. "We are constantly receiving all sorts of confidential and highly commercially sensitive information."
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The USD Is Expensive And The Fed Knows It - Credit Agricole The USD remains well supported with markets adding to longs ahead of the December Fed meeting. Further gains can be expected given that the Fed will be hiking rates while other central banks will be easing. Concerns about the impact of the already pricey USD could grow from here, however.
Indeed, the Fed narrow USD NEER is now only about 7% from its 2002 highs after appreciating by more than 25% from the 2011 lows. Other USD gauges like DXY, suggest that we are up 33% from the 2011 lows and about 16.5% off the 2002 peak. Our inhouse FX valuation model suggests that, next to CHF, USD is the most overvalued G10 currency with the EUR and JPY ranked as the most undervalued.
Worries about the impact of the strong USD have been rather muted of late. One important reason for that seems to be the Fed itself. Indeed, the FOMC speakers in recent weeks haven't signalled heightened concerned about the recent FX appreciation. That said, with the US manufacturing sector darkening due to lingering export weakness and inflation expectation measures still close to multiyear lows, concerns about the impact of strong USD could resurface before long.
We doubt that such concerns will stop the Fed from tightening in December. That said, excessive and unwarranted USD appreciation can mean that the Fed will be more cautious tightening beyond December.
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