COT Report Shows “Risk Off” Continues

10/04/2011 6:00 am EST

Focus: FOREX

The newest Commitments of Traders (COT) data showed continued risk aversion on the part of currency traders, with large speculators growing increasingly bullish on the US dollar.

The latest Commitments of Traders (COT) report, released on Friday by the Commodity Futures Trading Commission (CFTC), showed that large futures speculators remained bullish in favor of the US dollar against the other major currencies as the trading environment continued to be risk averse.

The COT report is published every Friday by the CFTC and shows futures positions as of the previous Tuesday. It can be a useful tool for traders to gauge investor sentiment and to look for potential changes in the direction of a currency or commodity.

See related: The “Risk-off” Trade Is Back on

Each currency contract is a quote for that currency directly against the US dollar (USD), whereas a net-short amount of contracts means that more speculators are betting that currency to fall against the dollar and net-long positions expect that currency to rise versus the dollar.

The graphs overlay the forex spot closing price of each Tuesday when COT trader positions are reported for each corresponding spot currency pair.

See related: How to Interpret the COT Report

Non-commercial futures traders, usually hedge funds and large speculators, decreased their long positions in the Swiss franc (CHF), Japanese yen (JPY), Australian dollar (AUD), and the New Zealand dollar (NZD) directly against the US dollar while increasing bearish bets for the euro (EUR), British pound (GBP), Canadian dollar (CAD), and the Mexican peso (MXN), according to data reported on September 27 by the CFTC.

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Euro (EUR)

Currency speculators decreased their futures positions for the euro against the US dollar for a sixth consecutive week as sentiment continues to be bearish for the European common currency. Euro positions declined as of September 27 to a total of 82,473 net-short contracts from the previous week’s total of 79,460 net-short contracts, as reported on September 20. Euro positions are at their lowest point since June 8, 2010, when net contracts were on the short side at -111,945.

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NEXT: Latest Trader Sentiment for British Pound, Japanese Yen, and More

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British Pound (GBP)

British pound sterling positions edged lower for the fifth consecutive week to stand at the lowest level since June 2010. Pound positions decreased to a total of 64,010 short positions on September 27 following a total of 59,755 short positions as of September 20.

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Japanese Yen (JPY)

The Japanese yen net contracts edged lower after gaining for two consecutive weeks, according to data on September 27. Yen net-long positions decreased to a total of 42,322 net-long contracts reported on September 27 following a total of 45,617 net-long contracts that were reported on September 20.

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Swiss Franc (CHF)

Swiss franc long positions declined for a fifth straight week as of September 27. Speculators continued to trim bets for the Swiss currency futures to a total of 2,424 net-long contracts following a total of 4,221 net-long contracts as of September 20th. The Swiss currency, usually a popular safe-haven currency, has remained in neutral since the Swiss National Bank conducted a policy to fight the strength of the franc and maintain a peg against the euro at the 1.20 level.

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NEXT: Commodity Currencies Like Canadian Dollar, Aussie Dollar

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Canadian Dollar (CAD)

Canadian dollar positions fell further on the bearish side, according to data on September 27. CAD net contracts fell to a total of 20,550 short contracts as of September 27 following an increase to a total of 5,458 net-short contracts reported on September 20.

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Australian Dollar (AUD)

The Australian dollar long positions declined sharply for a third straight week as of September 27 as speculators have decreased their sentiment for the aussie. AUD futures positions fell to a total net amount of 5,167 long contracts following a total of 23,095 net-long contracts reported as of September 20. The decline in speculators data marks the lowest level for Aussie positions since July 2010.

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New Zealand Dollar (NZD)

New Zealand dollar futures positions fell for a second consecutive week and declined to their lowest level since the middle of April, according to the data reported on September 27. NZD contracts fell lower to a total of 9,591 net-long contracts following a total of 13,565 net-long contracts registered on September 20.

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COT Data Summary as of September 27, 2011

Large Speculators Net Positions vs. the US Dollar:

  • EUR: -82,473
  • GBP: -64,010
  • JPY: +42,322
  • CHF: +2,424
  • CAD: -20,550
  • AUD: +5,167
  • NZD: +9,591

By the Staff at CountingPips.com

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