Currency Speculators drop their Canadian Dollar bets fall to 218-week low

By InvestMacro

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 March 21st and shows a quick view of how large market participants (for-profit speculators and commercial traders) 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.

* This COT data is fully up-to-date after weeks of delays due to a cybersecurity event that happened in early February to ION Cleared Derivatives (a subsidiary of ION Markets). The hacking incident had disrupted the ability for the CFTC to report large trader positions.

Weekly Speculator Changes led by Japanese Yen & EuroFX

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

Leading the gains for the currency markets was the Japanese Yen (8,449 contracts) with the EuroFX (4,886 contracts), Swiss Franc (2,668 contracts), Australian Dollar (1,632 contracts) and the US Dollar Index (387 contracts) also showing positive weeks.

The currencies seeing declines in speculator bets on the week were the Canadian Dollar (-25,106 contracts) with the Mexican Peso (-14,597 contracts), the New Zealand Dollar (-4,042 contracts), the British Pound (-3,184 contracts), the Brazilian Real (-3,414 contracts) and Bitcoin (-519 contracts) also registering lower bets on the week.

CAD bets fall to 218-week low

Highlighting the COT currency’s data this week is the bearishness of the speculator’s positioning in the Canadian dollar. Large speculative CAD positions fell this week by over -25,000 contracts and have now declined in five out of the past seven weeks. This recent bearishness has brought the overall net position (currently at -56,821 contracts) to the lowest level in the past 218 weeks, dating back all the way to January 15th of 2019. The CAD speculator strength score (range from 0 to 100) is currently at 0.0 percent while the 6-week speculator strength trend is at -22 percent.

The Canadian dollar exchange rate versus the US dollar has been in a downtrend to start 2023 with the CAD futures (front month) price sitting currently at 0.7287. The CAD futures opened 2023 around the 0.7382 exchange rate and reached its highest level in late January at 0.7541 before trending lower.

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Strength Scores led by Mexican Peso & EuroFX

COT 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 Mexican Peso (88 percent) and the EuroFX (74 percent) lead the currency markets this week. The Brazilian Real (67 percent), Bitcoin (66 percent) and the British Pound (51 percent) come in as the next highest in the weekly strength scores.

On the downside, the Canadian Dollar (0 percent) comes in at the lowest strength level currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the Japanese Yen (28 percent), New Zealand Dollar (30 percent) and the Swiss Franc (35 percent).

Strength Statistics:
US Dollar Index (48.5 percent) vs US Dollar Index previous week (47.9 percent)
EuroFX (74.2 percent) vs EuroFX previous week (72.3 percent)
British Pound Sterling (51.4 percent) vs British Pound Sterling previous week (54.1 percent)
Japanese Yen (28.0 percent) vs Japanese Yen previous week (22.8 percent)
Swiss Franc (35.3 percent) vs Swiss Franc previous week (28.3 percent)
Canadian Dollar (0.0 percent) vs Canadian Dollar previous week (23.8 percent)
Australian Dollar (49.2 percent) vs Australian Dollar previous week (47.7 percent)
New Zealand Dollar (29.8 percent) vs New Zealand Dollar previous week (40.7 percent)
Mexican Peso (87.6 percent) vs Mexican Peso previous week (98.7 percent)
Brazilian Real (67.4 percent) vs Brazilian Real previous week (71.7 percent)
Bitcoin (66.1 percent) vs Bitcoin previous week (75.2 percent)

 

Mexican Peso & Bitcoin top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Mexican Peso (73 percent) and Bitcoin (10 percent) lead the past six weeks trends for the currencies. The US Dollar Index (3 percent), the Swiss Franc (-2 percent) and the British Pound (-5 percent) are the next highest positive movers in the latest trends data.

The New Zealand Dollar (-53 percent) leads the downside trend scores currently with the Japanese Yen (-23 percent), Canadian Dollar (-22 percent) and the Brazilian Real (-11 percent) following next with lower trend scores.

Strength Trend Statistics:
US Dollar Index (3.1 percent) vs US Dollar Index previous week (-4.6 percent)
EuroFX (-7.8 percent) vs EuroFX previous week (-4.1 percent)
British Pound Sterling (-5.5 percent) vs British Pound Sterling previous week (0.9 percent)
Japanese Yen (-22.9 percent) vs Japanese Yen previous week (-33.7 percent)
Swiss Franc (-2.5 percent) vs Swiss Franc previous week (-4.4 percent)
Canadian Dollar (-22.5 percent) vs Canadian Dollar previous week (-1.4 percent)
Australian Dollar (-9.6 percent) vs Australian Dollar previous week (-8.8 percent)
New Zealand Dollar (-53.2 percent) vs New Zealand Dollar previous week (-35.6 percent)
Mexican Peso (72.6 percent) vs Mexican Peso previous week (84.4 percent)
Brazilian Real (-10.8 percent) vs Brazilian Real previous week (8.5 percent)
Bitcoin (9.7 percent) vs Bitcoin previous week (29.6 percent)

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Individual COT Forex Markets:

US Dollar Index Futures:

The US Dollar Index large speculator standing this week came in at a net position of 14,144 contracts in the data reported through Tuesday. This was a weekly lift of 387 contracts from the previous week which had a total of 13,757 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 48.5 percent. The commercials are Bearish with a score of 49.2 percent and the small traders (not shown in chart) are Bearish with a score of 44.6 percent.

US DOLLAR INDEX Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	77.6	4.0	14.4
– Percent of Open Interest Shorts:	35.8	53.4	6.8
– Net Position:	14,144	-16,708	2,564
– Gross Longs:	26,258	1,338	4,864
– Gross Shorts:	12,114	18,046	2,300
– Long to Short Ratio:	2.2 to 1	0.1 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	48.5	49.2	44.6
– Strength Index Reading (3 Year Range):	Bearish	Bearish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	3.1	-1.9	-7.3

 

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Euro Currency Futures:

The Euro Currency large speculator standing this week came in at a net position of 144,842 contracts in the data reported through Tuesday. This was a weekly boost of 4,886 contracts from the previous week which had a total of 139,956 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 74.2 percent. The commercials are Bearish with a score of 25.9 percent and the small traders (not shown in chart) are Bullish with a score of 52.9 percent.

EURO Currency Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	29.3	56.7	11.9
– Percent of Open Interest Shorts:	9.6	82.6	5.6
– Net Position:	144,842	-191,171	46,329
– Gross Longs:	215,825	417,802	87,688
– Gross Shorts:	70,983	608,973	41,359
– Long to Short Ratio:	3.0 to 1	0.7 to 1	2.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	74.2	25.9	52.9
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-7.8	6.9	-0.6

 

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British Pound Sterling Futures:

The British Pound Sterling large speculator standing this week came in at a net position of -20,498 contracts in the data reported through Tuesday. This was a weekly reduction of -3,184 contracts from the previous week which had a total of -17,314 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 51.4 percent. The commercials are Bullish with a score of 51.4 percent and the small traders (not shown in chart) are Bearish with a score of 48.2 percent.

BRITISH POUND Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	15.0	67.6	12.3
– Percent of Open Interest Shorts:	25.8	54.3	14.9
– Net Position:	-20,498	25,506	-5,008
– Gross Longs:	28,652	129,030	23,376
– Gross Shorts:	49,150	103,524	28,384
– Long to Short Ratio:	0.6 to 1	1.2 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	51.4	51.4	48.2
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-5.5	-4.0	24.0

 

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Japanese Yen Futures:

The Japanese Yen large speculator standing this week came in at a net position of -66,345 contracts in the data reported through Tuesday. This was a weekly advance of 8,449 contracts from the previous week which had a total of -74,794 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 28.0 percent. The commercials are Bullish with a score of 71.0 percent and the small traders (not shown in chart) are Bearish with a score of 41.0 percent.

JAPANESE YEN Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	4.3	79.4	14.4
– Percent of Open Interest Shorts:	43.5	36.6	18.0
– Net Position:	-66,345	72,484	-6,139
– Gross Longs:	7,255	134,389	24,336
– Gross Shorts:	73,600	61,905	30,475
– Long to Short Ratio:	0.1 to 1	2.2 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	28.0	71.0	41.0
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-22.9	19.1	-3.8

 

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Swiss Franc Futures:

The Swiss Franc large speculator standing this week came in at a net position of -7,297 contracts in the data reported through Tuesday. This was a weekly boost of 2,668 contracts from the previous week which had a total of -9,965 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 35.3 percent. The commercials are Bullish with a score of 65.8 percent and the small traders (not shown in chart) are Bearish with a score of 39.5 percent.

SWISS FRANC Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	13.5	54.6	27.8
– Percent of Open Interest Shorts:	33.9	19.4	42.7
– Net Position:	-7,297	12,611	-5,314
– Gross Longs:	4,853	19,555	9,978
– Gross Shorts:	12,150	6,944	15,292
– Long to Short Ratio:	0.4 to 1	2.8 to 1	0.7 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	35.3	65.8	39.5
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-2.5	3.0	-3.0

 

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Canadian Dollar Futures:

The Canadian Dollar large speculator standing this week came in at a net position of -56,821 contracts in the data reported through Tuesday. This was a weekly decline of -25,106 contracts from the previous week which had a total of -31,715 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 0.0 percent. The commercials are Bullish-Extreme with a score of 100.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 5.9 percent.

CANADIAN DOLLAR Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	10.6	71.7	16.7
– Percent of Open Interest Shorts:	42.4	35.6	21.0
– Net Position:	-56,821	64,449	-7,628
– Gross Longs:	18,812	127,798	29,717
– Gross Shorts:	75,633	63,349	37,345
– Long to Short Ratio:	0.2 to 1	2.0 to 1	0.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	0.0	100.0	5.9
– Strength Index Reading (3 Year Range):	Bearish-Extreme	Bullish-Extreme	Bearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-22.5	22.1	-19.5

 

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Australian Dollar Futures:

The Australian Dollar large speculator standing this week came in at a net position of -38,459 contracts in the data reported through Tuesday. This was a weekly advance of 1,632 contracts from the previous week which had a total of -40,091 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 49.2 percent. The commercials are Bullish with a score of 56.6 percent and the small traders (not shown in chart) are Bearish with a score of 22.9 percent.

AUSTRALIAN DOLLAR Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	27.1	57.5	11.8
– Percent of Open Interest Shorts:	52.5	24.2	19.8
– Net Position:	-38,459	50,554	-12,095
– Gross Longs:	41,183	87,354	17,905
– Gross Shorts:	79,642	36,800	30,000
– Long to Short Ratio:	0.5 to 1	2.4 to 1	0.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	49.2	56.6	22.9
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-9.6	20.8	-42.6

 

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New Zealand Dollar Futures:

The New Zealand Dollar large speculator standing this week came in at a net position of -8,783 contracts in the data reported through Tuesday. This was a weekly reduction of -4,042 contracts from the previous week which had a total of -4,741 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 29.8 percent. The commercials are Bullish with a score of 67.5 percent and the small traders (not shown in chart) are Bullish with a score of 50.3 percent.

NEW ZEALAND DOLLAR Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	21.0	67.0	10.5
– Percent of Open Interest Shorts:	48.3	39.4	10.9
– Net Position:	-8,783	8,896	-113
– Gross Longs:	6,765	21,576	3,392
– Gross Shorts:	15,548	12,680	3,505
– Long to Short Ratio:	0.4 to 1	1.7 to 1	1.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	29.8	67.5	50.3
– Strength Index Reading (3 Year Range):	Bearish	Bullish	Bullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-53.2	45.6	3.2

 

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Mexican Peso Futures:

The Mexican Peso large speculator standing this week came in at a net position of 51,530 contracts in the data reported through Tuesday. This was a weekly fall of -14,597 contracts from the previous week which had a total of 66,127 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 87.6 percent. The commercials are Bearish-Extreme with a score of 13.0 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 86.5 percent.

MEXICAN PESO Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	45.9	50.9	3.2
– Percent of Open Interest Shorts:	22.7	76.3	1.0
– Net Position:	51,530	-56,413	4,883
– Gross Longs:	101,899	113,013	7,110
– Gross Shorts:	50,369	169,426	2,227
– Long to Short Ratio:	2.0 to 1	0.7 to 1	3.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	87.6	13.0	86.5
– Strength Index Reading (3 Year Range):	Bullish-Extreme	Bearish-Extreme	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	72.6	-68.9	2.9

 

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Brazilian Real Futures:

The Brazilian Real large speculator standing this week came in at a net position of 24,857 contracts in the data reported through Tuesday. This was a weekly fall of -3,414 contracts from the previous week which had a total of 28,271 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 67.4 percent. The commercials are Bearish with a score of 26.7 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 100.0 percent.

BRAZIL REAL Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	65.6	17.5	16.9
– Percent of Open Interest Shorts:	6.7	90.4	2.9
– Net Position:	24,857	-30,775	5,918
– Gross Longs:	27,681	7,401	7,140
– Gross Shorts:	2,824	38,176	1,222
– Long to Short Ratio:	9.8 to 1	0.2 to 1	5.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	67.4	26.7	100.0
– Strength Index Reading (3 Year Range):	Bullish	Bearish	Bullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	-10.8	4.7	41.0

 

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Bitcoin Futures:

The Bitcoin large speculator standing this week came in at a net position of -621 contracts in the data reported through Tuesday. This was a weekly reduction of -519 contracts from the previous week which had a total of -102 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 66.1 percent. The commercials are Bullish with a score of 54.5 percent and the small traders (not shown in chart) are Bearish with a score of 29.4 percent.

BITCOIN Statistics	SPECULATORS	COMMERCIALS	SMALL TRADERS
– Percent of Open Interest Longs:	77.2	3.1	10.3
– Percent of Open Interest Shorts:	81.7	3.8	5.2
– Net Position:	-621	-103	724
– Gross Longs:	10,851	429	1,450
– Gross Shorts:	11,472	532	726
– Long to Short Ratio:	0.9 to 1	0.8 to 1	2.0 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):	66.1	54.5	29.4
– Strength Index Reading (3 Year Range):	Bullish	Bullish	Bearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:	9.7	-29.8	2.6

 

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Article By InvestMacro – Receive our weekly COT Newsletter

*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.