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Currency Speculators further pared back on Japanese Yen & British Pound bearish bets :: InvestMacro

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Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).

The latest COT data is updated through Tuesday August 9th and shows a quick view of how large traders (for-profit speculators and commercial entities) were positioned in the futures markets. All currency positions are in direct relation to the US dollar where, for example, a bet for the euro is a bet that the euro will rise versus the dollar while a bet against the euro will be a bet that the euro will decline versus the dollar.

Weekly Speculator Changes

The COT currency market speculator bets were higher this week as eight out of the eleven currency markets we cover had higher positioning while the other three markets had lower speculator contracts.

Leading the gains for the currency markets was British pound sterling (21,941 contracts) and the Japanese yen (17,721 contracts) with the Euro (4,275 contracts), Swiss franc (3,526 contracts), Brazil real (2,863 contracts), New Zealand dollar (1,297 contracts), Canadian dollar (946 contracts) and Bitcoin (351 contracts) also recording positive weeks.

The currencies leading the declines in speculator bets this week were the Mexican peso (-4,568 contracts) with the Australian dollar (-1,638 contracts) and the US Dollar Index (-710 contracts) also registering lower bets on the week.

 

Highlighting the COT currency changes this week is the continued rebound in the Japanese yen speculator positions. The yen positioning has been in net bearish territory for seventy-four consecutive weeks (dating back to March 9th of 2021) but has started to see a strong decrease in its bearish levels lately. Speculators have improved their yen standing in three out of the past four weeks and by a total of +36,449 contracts in the past two weeks alone. This recent positive sentiment has brought the overall yen speculative standing (currently at -25,032 contracts) to the least bearish level of the past seventy-four weeks or since the position turned bearish last year. The yen price has rebounded a bit over the past month as the USDJPY currency pair has cooled off after reaching 20-year highs above 139.35 exchange rate in July. Currently, the USDJPY is trading around the 133.50 exchange rate and has come out of overbought territory on the weekly RSI Indicator (Relative Strength Index).

British pound sterling speculators also sharply cut their bearish positions this week as speculator positioning have now risen in three out of the past four weeks as well as in eight out of the previous eleven weeks. Speculative positions recorded a large improvement by +21,941 contracts this week which is the best weekly gain for GBP bets since the middle of January. This positive development has dropped the overall bearish position to the best level (or the least bearish level) since March 15th, a span of twenty-one weeks. The British pound price has been in a deep and consistent downtrend against the US Dollar since ascending over the 1.4200 exchange rate in May of 2021 and touched a recent low below 1.1800 in July (for an approximate -17.5 percent drop over that period). However, on the positive side, the pound has managed to rise in three out of the past four weeks, closing out the week at the 1.2136 exchange rate and, notably, a bullish divergence recently appeared on the weekly RSI Indicator following the July low.


Aug-09-2022 OI OI-Index Spec-Net Spec-Index Com-Net COM-Index Smalls-Net Smalls-Index
USD Index 59,639 88 38,637 89 -42,099 9 3,462 54
EUR 692,398 79 -34,536 24 14,402 80 20,134 8
GBP 224,581 59 -34,468 45 52,050 62 -17,582 19
JPY 225,834 72 -25,032 53 36,994 54 -11,962 29
CHF 43,202 27 -9,782 32 19,464 75 -9,682 25
CAD 143,646 26 21,223 63 -29,743 44 8,520 47
AUD 158,100 51 -57,588 31 59,441 63 -1,853 48
NZD 45,350 35 -276 71 4,044 37 -3,768 8
MXN 189,988 45 -27,621 16 24,722 83 2,899 55
RUB 20,930 4 7,543 31 -7,150 69 -393 24
BRL 25,481 7 1,733 52 -3,884 47 2,151 90
Bitcoin 12,510 70 -230 76 -71 0 301 20

 


Strength Scores

Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is extreme bullish and below 20 is extreme bearish) showed that the US Dollar Index (89.4 percent) leads the currency markets scores currently and is in a bullish extreme position (above 80 percent). Bitcoin (76.1 percent) comes in as the next highest in the currency markets in strength scores followed by the New Zealand Dollar (70.8 percent) and then the Canadian Dollar (63.2 percent). On the downside, the Mexican Peso (15.6 percent) continues to be the only currency in an extreme bearish level (below 20 percent). The next lowest strength scores are the EuroFX (24.4 percent), Australian Dollar (31.4 percent) and the Swiss Franc (31.7 percent).


Strength Statistics:
US Dollar Index (89.4 percent) vs US Dollar Index previous week (90.6 percent)
EuroFX (24.4 percent) vs EuroFX previous week (23.1 percent)
British Pound Sterling (45.1 percent) vs British Pound Sterling previous week (28.0 percent)
Japanese Yen (53.5 percent) vs Japanese Yen previous week (42.5 percent)
Swiss Franc (31.7 percent) vs Swiss Franc previous week (22.8 percent)
Canadian Dollar (63.2 percent) vs Canadian Dollar previous week (62.1 percent)
Australian Dollar (31.4 percent) vs Australian Dollar previous week (33.0 percent)
New Zealand Dollar (70.8 percent) vs New Zealand Dollar previous week (68.6 percent)
Mexican Peso (15.6 percent) vs Mexican Peso previous week (17.5 percent)
Brazil Real (52.1 percent) vs Brazil Real previous week (49.3 percent)
Bitcoin (76.1 percent) vs Bitcoin previous week (69.7 percent)

Strength Trends

Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Japanese Yen (17.0 percent) and the British Pound Sterling (14.5 percent) lead the past six weeks trends for the currency markets this week. The Canadian Dollar (13.6 percent) and the New Zealand Dollar (8.4 percent) fill out the only other positive movers in the latest trends data. The Brazil Real (-34.7 percent) leads the downside trend scores currently while the next market with lower trend scores were Bitcoin (-23.9 percent) followed by the Australian Dollar (-13.5 percent).


Strength Trend Statistics:
US Dollar Index (-7.7 percent) vs US Dollar Index previous week (-9.4 percent)
EuroFX (-7.3 percent) vs EuroFX previous week (-7.1 percent)
British Pound Sterling (14.5 percent) vs British Pound Sterling previous week (5.3 percent)
Japanese Yen (17.0 percent) vs Japanese Yen previous week (9.7 percent)
Swiss Franc (-3.0 percent) vs Swiss Franc previous week (-15.6 percent)
Canadian Dollar (13.6 percent) vs Canadian Dollar previous week (18.2 percent)
Australian Dollar (-13.5 percent) vs Australian Dollar previous week (-14.2 percent)
New Zealand Dollar (8.4 percent) vs New Zealand Dollar previous week (6.5 percent)
Mexican Peso (-5.8 percent) vs Mexican Peso previous week (1.6 percent)
Brazil Real (-34.7 percent) vs Brazil Real previous week (-44.7 percent)
Bitcoin (-23.9 percent) vs Bitcoin previous week (-29.6 percent)


Individual Markets:

US Dollar Index Futures:

US Dollar Index Forex Futures COT ChartThe US Dollar Index large speculator standing this week resulted in a net position of 38,637 contracts in the data reported through Tuesday. This was a weekly decline of -710 contracts from the previous week which had a total of 39,347 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 89.4 percent. The commercials are Bearish-Extreme with a score of 8.9 percent and the small traders (not shown in chart) are Bullish with a score of 54.4 percent.

US DOLLAR INDEX Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 85.1 3.5 9.2
– Percent of Open Interest Shorts: 20.3 74.1 3.4
– Net Position: 38,637 -42,099 3,462
– Gross Longs: 50,738 2,079 5,481
– Gross Shorts: 12,101 44,178 2,019
– Long to Short Ratio: 4.2 to 1 0.0 to 1 2.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 89.4 8.9 54.4
– Strength Index Reading (3 Year Range): Bullish-Extreme Bearish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.7 7.1 1.5

 


Euro Currency Futures:

Euro Currency Futures COT ChartThe Euro Currency large speculator standing this week resulted in a net position of -34,536 contracts in the data reported through Tuesday. This was a weekly increase of 4,275 contracts from the previous week which had a total of -38,811 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 24.4 percent. The commercials are Bullish-Extreme with a score of 80.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 7.8 percent.

EURO Currency Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 28.9 57.0 11.4
– Percent of Open Interest Shorts: 33.9 54.9 8.5
– Net Position: -34,536 14,402 20,134
– Gross Longs: 200,088 394,543 78,944
– Gross Shorts: 234,624 380,141 58,810
– Long to Short Ratio: 0.9 to 1 1.0 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 24.4 80.1 7.8
– Strength Index Reading (3 Year Range): Bearish Bullish-Extreme Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -7.3 9.7 -17.0

 


British Pound Sterling Futures:

British Pound Sterling Futures COT ChartThe British Pound Sterling large speculator standing this week resulted in a net position of -34,468 contracts in the data reported through Tuesday. This was a weekly gain of 21,941 contracts from the previous week which had a total of -56,409 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 45.1 percent. The commercials are Bullish with a score of 61.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.2 percent.

BRITISH POUND Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 18.8 69.6 8.6
– Percent of Open Interest Shorts: 34.1 46.4 16.4
– Net Position: -34,468 52,050 -17,582
– Gross Longs: 42,219 156,282 19,243
– Gross Shorts: 76,687 104,232 36,825
– Long to Short Ratio: 0.6 to 1 1.5 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 45.1 61.6 19.2
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 14.5 -10.9 -1.0

 


Japanese Yen Futures:

Japanese Yen Forex Futures COT ChartThe Japanese Yen large speculator standing this week resulted in a net position of -25,032 contracts in the data reported through Tuesday. This was a weekly advance of 17,721 contracts from the previous week which had a total of -42,753 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 53.5 percent. The commercials are Bullish with a score of 53.7 percent and the small traders (not shown in chart) are Bearish with a score of 29.1 percent.

JAPANESE YEN Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 23.2 65.8 9.3
– Percent of Open Interest Shorts: 34.3 49.4 14.6
– Net Position: -25,032 36,994 -11,962
– Gross Longs: 52,333 148,628 20,978
– Gross Shorts: 77,365 111,634 32,940
– Long to Short Ratio: 0.7 to 1 1.3 to 1 0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 53.5 53.7 29.1
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 17.0 -15.1 6.8

 


Swiss Franc Futures:

Swiss Franc Forex Futures COT ChartThe Swiss Franc large speculator standing this week resulted in a net position of -9,782 contracts in the data reported through Tuesday. This was a weekly gain of 3,526 contracts from the previous week which had a total of -13,308 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.7 percent. The commercials are Bullish with a score of 74.5 percent and the small traders (not shown in chart) are Bearish with a score of 24.7 percent.

SWISS FRANC Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 20.0 58.1 21.8
– Percent of Open Interest Shorts: 42.6 13.0 44.2
– Net Position: -9,782 19,464 -9,682
– Gross Longs: 8,635 25,084 9,414
– Gross Shorts: 18,417 5,620 19,096
– Long to Short Ratio: 0.5 to 1 4.5 to 1 0.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 31.7 74.5 24.7
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -3.0 2.6 -1.4

 


Canadian Dollar Futures:

Canadian Dollar Forex Futures COT ChartThe Canadian Dollar large speculator standing this week resulted in a net position of 21,223 contracts in the data reported through Tuesday. This was a weekly increase of 946 contracts from the previous week which had a total of 20,277 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 63.2 percent. The commercials are Bearish with a score of 43.9 percent and the small traders (not shown in chart) are Bearish with a score of 47.2 percent.

CANADIAN DOLLAR Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 32.6 41.6 23.5
– Percent of Open Interest Shorts: 17.9 62.3 17.6
– Net Position: 21,223 -29,743 8,520
– Gross Longs: 46,898 59,798 33,808
– Gross Shorts: 25,675 89,541 25,288
– Long to Short Ratio: 1.8 to 1 0.7 to 1 1.3 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 63.2 43.9 47.2
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 13.6 -14.6 10.8

 


Australian Dollar Futures:

Australian Dollar Forex Futures COT ChartThe Australian Dollar large speculator standing this week resulted in a net position of -57,588 contracts in the data reported through Tuesday. This was a weekly decline of -1,638 contracts from the previous week which had a total of -55,950 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 31.4 percent. The commercials are Bullish with a score of 63.2 percent and the small traders (not shown in chart) are Bearish with a score of 47.9 percent.

AUSTRALIAN DOLLAR Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 16.2 69.3 12.3
– Percent of Open Interest Shorts: 52.6 31.7 13.4
– Net Position: -57,588 59,441 -1,853
– Gross Longs: 25,644 109,593 19,378
– Gross Shorts: 83,232 50,152 21,231
– Long to Short Ratio: 0.3 to 1 2.2 to 1 0.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 31.4 63.2 47.9
– Strength Index Reading (3 Year Range): Bearish Bullish Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -13.5 9.2 5.7

 


New Zealand Dollar Futures:

New Zealand Dollar Forex Futures COT ChartThe New Zealand Dollar large speculator standing this week resulted in a net position of -276 contracts in the data reported through Tuesday. This was a weekly advance of 1,297 contracts from the previous week which had a total of -1,573 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 70.8 percent. The commercials are Bearish with a score of 36.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.3 percent.

NEW ZEALAND DOLLAR Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 40.2 54.5 4.9
– Percent of Open Interest Shorts: 40.8 45.5 13.2
– Net Position: -276 4,044 -3,768
– Gross Longs: 18,224 24,700 2,239
– Gross Shorts: 18,500 20,656 6,007
– Long to Short Ratio: 1.0 to 1 1.2 to 1 0.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 70.8 36.6 8.3
– Strength Index Reading (3 Year Range): Bullish Bearish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: 8.4 -6.9 -6.1

 


Mexican Peso Futures:

Mexican Peso Futures COT ChartThe Mexican Peso large speculator standing this week resulted in a net position of -27,621 contracts in the data reported through Tuesday. This was a weekly decline of -4,568 contracts from the previous week which had a total of -23,053 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 15.6 percent. The commercials are Bullish-Extreme with a score of 83.1 percent and the small traders (not shown in chart) are Bullish with a score of 55.3 percent.

MEXICAN PESO Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 50.3 46.3 3.2
– Percent of Open Interest Shorts: 64.8 33.3 1.6
– Net Position: -27,621 24,722 2,899
– Gross Longs: 95,572 88,036 5,991
– Gross Shorts: 123,193 63,314 3,092
– Long to Short Ratio: 0.8 to 1 1.4 to 1 1.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 15.6 83.1 55.3
– Strength Index Reading (3 Year Range): Bearish-Extreme Bullish-Extreme Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -5.8 6.5 -8.4

 


Brazilian Real Futures:

Brazil Real Futures COT ChartThe Brazilian Real large speculator standing this week resulted in a net position of 1,733 contracts in the data reported through Tuesday. This was a weekly rise of 2,863 contracts from the previous week which had a total of -1,130 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 52.1 percent. The commercials are Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 90.0 percent.

BRAZIL REAL Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 53.5 33.1 13.4
– Percent of Open Interest Shorts: 46.7 48.4 4.9
– Net Position: 1,733 -3,884 2,151
– Gross Longs: 13,635 8,440 3,405
– Gross Shorts: 11,902 12,324 1,254
– Long to Short Ratio: 1.1 to 1 0.7 to 1 2.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 52.1 47.5 90.0
– Strength Index Reading (3 Year Range): Bullish Bearish Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -34.7 33.8 7.6

 


Bitcoin Futures:

Bitcoin Crypto Futures COT ChartThe Bitcoin large speculator standing this week resulted in a net position of -230 contracts in the data reported through Tuesday. This was a weekly lift of 351 contracts from the previous week which had a total of -581 net contracts.

This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 76.1 percent. The commercials are Bullish with a score of 53.6 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 19.8 percent.

BITCOIN Statistics SPECULATORS COMMERCIALS SMALL TRADERS
– Percent of Open Interest Longs: 74.3 3.5 8.3
– Percent of Open Interest Shorts: 76.1 4.1 5.9
– Net Position: -230 -71 301
– Gross Longs: 9,294 439 1,034
– Gross Shorts: 9,524 510 733
– Long to Short Ratio: 1.0 to 1 0.9 to 1 1.4 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct): 76.1 53.6 19.8
– Strength Index Reading (3 Year Range): Bullish Bullish Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index: -23.9 50.8 10.0

 


Article By InvestMacroReceive our weekly COT Reports by Email

*COT Report: The COT data, released weekly to the public each Friday, is updated through the most recent Tuesday (data is 3 days old) and shows a quick view of how large speculators or non-commercials (for-profit traders) were positioned in the futures markets.

The CFTC categorizes trader positions according to commercial hedgers (traders who use futures contracts for hedging as part of the business), non-commercials (large traders who speculate to realize trading profits) and nonreportable traders (usually small traders/speculators) as well as their open interest (contracts open in the market at time of reporting).See CFTC criteria here.


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