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 May 30th 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.
The COT currency market speculator bets were higher this week as seven out of the eleven currency markets we cover had higher positioning while the other four markets had lower speculator contracts.
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Leading the gains for the currency markets was the Canadian Dollar (18,612 contracts) with the Australian Dollar (4,955 contracts), British Pound (1,646 contracts), the US Dollar Index (1,528 contracts), the New Zealand Dollar (233 contracts) and the Swiss Franc (468 contracts) also showing positive weeks.
The currencies seeing declines in speculator bets on the week were the Japanese Yen (-15,533 contracts) with the EuroFX (-8,011 contracts), the Mexican Peso (1,062 contracts), the Brazilian Real (-1,417 contracts) and Bitcoin (-706 contracts) also registering lower bets on the week.
Highlighting the COT currency data this week is the continued gains for the Mexican peso positioning. Large speculators raised their bullish bets for the Mexican peso this week for the fifth straight week and for the seventh time out of the past ten weeks.
Peso bets have now improved by a total of +129,731 contracts since the beginning of 2023 (a total of 22 weeks), going from a total of -56,376 contracts on January 3rd to a total of +78,005 contracts this week. This rise in the speculator sentiment has pushed the current net position to the highest level in the past 168 weeks, dating all the way back to the height of the pandemic on March 10th of 2020.
The peso has been riding the tide of record high interest rates in Mexico that had risen to 11.25 percent level at the central bank meeting in March. However, the Mexican Central Bank, in their May meeting, held their rate steady and look to continue to do so for the time being with inflation subsiding in the latest data-points.
The Mexican peso exchange rate versus the US dollar has been surging higher this year with the MXN hitting a new 7-year high in this week’s trading. Overall, the peso is higher against the dollar in 2023 by approximately 15 percent and is trading at the best levels since 2016.
May-30-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
---|---|---|---|---|---|---|---|---|
USD Index | 32,373 | 28 | 12,768 | 46 | -16,260 | 50 | 3,492 | 55 |
EUR | 775,142 | 81 | 165,725 | 82 | -214,015 | 18 | 48,290 | 56 |
GBP | 240,301 | 61 | 13,235 | 80 | -15,208 | 24 | 1,973 | 62 |
JPY | 243,237 | 75 | -96,193 | 10 | 106,512 | 88 | -10,319 | 32 |
CHF | 41,354 | 40 | -435 | 53 | 1,533 | 48 | -1,098 | 54 |
CAD | 179,871 | 50 | -29,914 | 27 | 39,037 | 83 | -9,123 | 3 |
AUD | 204,963 | 94 | -44,126 | 44 | 59,100 | 63 | -14,974 | 16 |
NZD | 39,507 | 33 | -130 | 53 | 1,195 | 49 | -1,065 | 37 |
MXN | 224,395 | 46 | 78,005 | 100 | -83,021 | 0 | 5,016 | 75 |
RUB | 20,930 | 4 | 7,543 | 31 | -7,150 | 69 | -393 | 24 |
BRL | 64,846 | 59 | 31,275 | 76 | -35,269 | 21 | 3,994 | 76 |
Bitcoin | 11,715 | 45 | 187 | 80 | -624 | 0 | 437 | 23 |
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 (100 percent) and the EuroFX (82 percent) lead the currency markets this week. The British Pound (80 percent), Bitcoin (80 percent) and the Brazilian Real (76 percent) come in as the next highest in the weekly strength scores.
On the downside, the Japanese Yen (10 percent) comes in at the lowest strength levels currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the Canadian Dollar (27 percent), the Australian Dollar (44 percent) and the US Dollar Index (46 percent).
Strength Statistics:
US Dollar Index (46.2 percent) vs US Dollar Index previous week (43.7 percent)
EuroFX (82.3 percent) vs EuroFX previous week (85.3 percent)
British Pound Sterling (80.4 percent) vs British Pound Sterling previous week (79.0 percent)
Japanese Yen (9.6 percent) vs Japanese Yen previous week (19.2 percent)
Swiss Franc (53.5 percent) vs Swiss Franc previous week (52.2 percent)
Canadian Dollar (26.7 percent) vs Canadian Dollar previous week (9.3 percent)
Australian Dollar (43.9 percent) vs Australian Dollar previous week (39.3 percent)
New Zealand Dollar (53.2 percent) vs New Zealand Dollar previous week (52.6 percent)
Mexican Peso (100.0 percent) vs Mexican Peso previous week (99.3 percent)
Brazilian Real (75.6 percent) vs Brazilian Real previous week (77.4 percent)
Bitcoin (80.2 percent) vs Bitcoin previous week (92.5 percent)
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Brazilian Real (22 percent) and the Canadian Dollar (15 percent) lead the past six weeks trends for the currencies. The Mexican Peso (15 percent), the Bitcoin (12 percent) and the Swiss Franc (11 percent) are the next highest positive movers in the latest trends data.
The Japanese Yen (-24 percent) leads the downside trend scores currently with the Australian Dollar (-2 percent), EuroFX (1 percent) and the US Dollar Index (4 percent) following next with lower trend scores.
Strength Trend Statistics:
US Dollar Index (3.8 percent) vs US Dollar Index previous week (-3.4 percent)
EuroFX (0.5 percent) vs EuroFX previous week (4.0 percent)
British Pound Sterling (10.2 percent) vs British Pound Sterling previous week (12.0 percent)
Japanese Yen (-24.2 percent) vs Japanese Yen previous week (-14.4 percent)
Swiss Franc (11.3 percent) vs Swiss Franc previous week (15.4 percent)
Canadian Dollar (15.2 percent) vs Canadian Dollar previous week (7.5 percent)
Australian Dollar (-1.6 percent) vs Australian Dollar previous week (-10.3 percent)
New Zealand Dollar (10.2 percent) vs New Zealand Dollar previous week (11.2 percent)
Mexican Peso (15.4 percent) vs Mexican Peso previous week (11.6 percent)
Brazilian Real (22.5 percent) vs Brazilian Real previous week (25.1 percent)
Bitcoin (11.8 percent) vs Bitcoin previous week (35.1 percent)
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 46.2 percent. The commercials are Bearish with a score of 49.9 percent and the small traders (not shown in chart) are Bullish with a score of 54.7 percent.
US DOLLAR INDEX Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 73.9 | 2.5 | 18.3 |
– Percent of Open Interest Shorts: | 34.5 | 52.8 | 7.5 |
– Net Position: | 12,768 | -16,260 | 3,492 |
– Gross Longs: | 23,927 | 819 | 5,936 |
– Gross Shorts: | 11,159 | 17,079 | 2,444 |
– Long to Short Ratio: | 2.1 to 1 | 0.0 to 1 | 2.4 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 46.2 | 49.9 | 54.7 |
– Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 3.8 | -6.8 | 22.4 |
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 82.3 percent. The commercials are Bearish-Extreme with a score of 18.2 percent and the small traders (not shown in chart) are Bullish with a score of 56.0 percent.
EURO Currency Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 31.2 | 53.7 | 12.1 |
– Percent of Open Interest Shorts: | 9.8 | 81.3 | 5.9 |
– Net Position: | 165,725 | -214,015 | 48,290 |
– Gross Longs: | 241,817 | 415,872 | 93,836 |
– Gross Shorts: | 76,092 | 629,887 | 45,546 |
– Long to Short Ratio: | 3.2 to 1 | 0.7 to 1 | 2.1 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 82.3 | 18.2 | 56.0 |
– Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 0.5 | -0.2 | -1.0 |
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 80.4 percent. The commercials are Bearish with a score of 23.8 percent and the small traders (not shown in chart) are Bullish with a score of 61.9 percent.
BRITISH POUND Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 29.3 | 51.6 | 12.3 |
– Percent of Open Interest Shorts: | 23.8 | 57.9 | 11.5 |
– Net Position: | 13,235 | -15,208 | 1,973 |
– Gross Longs: | 70,320 | 124,002 | 29,613 |
– Gross Shorts: | 57,085 | 139,210 | 27,640 |
– Long to Short Ratio: | 1.2 to 1 | 0.9 to 1 | 1.1 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 80.4 | 23.8 | 61.9 |
– Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 10.2 | -4.9 | -9.3 |
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 9.6 percent. The commercials are Bullish-Extreme with a score of 87.6 percent and the small traders (not shown in chart) are Bearish with a score of 32.5 percent.
JAPANESE YEN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 16.7 | 68.6 | 12.0 |
– Percent of Open Interest Shorts: | 56.3 | 24.8 | 16.3 |
– Net Position: | -96,193 | 106,512 | -10,319 |
– Gross Longs: | 40,736 | 166,931 | 29,299 |
– Gross Shorts: | 136,929 | 60,419 | 39,618 |
– Long to Short Ratio: | 0.3 to 1 | 2.8 to 1 | 0.7 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 9.6 | 87.6 | 32.5 |
– Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -24.2 | 21.9 | -11.3 |
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 Bearish with a score of 47.5 percent and the small traders (not shown in chart) are Bullish with a score of 53.8 percent.
SWISS FRANC Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 20.5 | 44.9 | 32.7 |
– Percent of Open Interest Shorts: | 21.6 | 41.2 | 35.3 |
– Net Position: | -435 | 1,533 | -1,098 |
– Gross Longs: | 8,482 | 18,560 | 13,516 |
– Gross Shorts: | 8,917 | 17,027 | 14,614 |
– Long to Short Ratio: | 1.0 to 1 | 1.1 to 1 | 0.9 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 53.5 | 47.5 | 53.8 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 11.3 | -3.1 | -8.2 |
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 26.7 percent. The commercials are Bullish-Extreme with a score of 82.7 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 2.5 percent.
CANADIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 20.9 | 59.6 | 15.2 |
– Percent of Open Interest Shorts: | 37.5 | 37.9 | 20.3 |
– Net Position: | -29,914 | 39,037 | -9,123 |
– Gross Longs: | 37,619 | 107,243 | 27,430 |
– Gross Shorts: | 67,533 | 68,206 | 36,553 |
– Long to Short Ratio: | 0.6 to 1 | 1.6 to 1 | 0.8 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 26.7 | 82.7 | 2.5 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish-Extreme |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 15.2 | -2.1 | -29.2 |
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 43.9 percent. The commercials are Bullish with a score of 63.0 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.9 percent.
AUSTRALIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 33.6 | 53.4 | 9.5 |
– Percent of Open Interest Shorts: | 55.2 | 24.6 | 16.8 |
– Net Position: | -44,126 | 59,100 | -14,974 |
– Gross Longs: | 68,969 | 109,462 | 19,509 |
– Gross Shorts: | 113,095 | 50,362 | 34,483 |
– Long to Short Ratio: | 0.6 to 1 | 2.2 to 1 | 0.6 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 43.9 | 63.0 | 15.9 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish-Extreme |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -1.6 | 6.4 | -16.5 |
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 53.2 percent. The commercials are Bearish with a score of 49.3 percent and the small traders (not shown in chart) are Bearish with a score of 37.3 percent.
NEW ZEALAND DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 40.7 | 47.1 | 9.3 |
– Percent of Open Interest Shorts: | 41.0 | 44.1 | 12.0 |
– Net Position: | -130 | 1,195 | -1,065 |
– Gross Longs: | 16,081 | 18,608 | 3,670 |
– Gross Shorts: | 16,211 | 17,413 | 4,735 |
– Long to Short Ratio: | 1.0 to 1 | 1.1 to 1 | 0.8 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 53.2 | 49.3 | 37.3 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 10.2 | -5.9 | -14.9 |
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 100.0 percent. The commercials are Bearish-Extreme with a score of 0.0 percent and the small traders (not shown in chart) are Bullish with a score of 75.3 percent.
MEXICAN PESO Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 51.5 | 44.1 | 3.5 |
– Percent of Open Interest Shorts: | 16.7 | 81.1 | 1.3 |
– Net Position: | 78,005 | -83,021 | 5,016 |
– Gross Longs: | 115,535 | 98,971 | 7,942 |
– Gross Shorts: | 37,530 | 181,992 | 2,926 |
– Long to Short Ratio: | 3.1 to 1 | 0.5 to 1 | 2.7 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 100.0 | 0.0 | 75.3 |
– Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 15.4 | -14.9 | 3.4 |
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 75.6 percent. The commercials are Bearish with a score of 21.3 percent and the small traders (not shown in chart) are Bullish with a score of 75.8 percent.
BRAZIL REAL Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 54.3 | 29.1 | 15.4 |
– Percent of Open Interest Shorts: | 6.1 | 83.5 | 9.3 |
– Net Position: | 31,275 | -35,269 | 3,994 |
– Gross Longs: | 35,223 | 18,861 | 9,998 |
– Gross Shorts: | 3,948 | 54,130 | 6,004 |
– Long to Short Ratio: | 8.9 to 1 | 0.3 to 1 | 1.7 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 75.6 | 21.3 | 75.8 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 22.5 | -25.2 | 22.4 |
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 80.2 percent. The commercials are Bearish with a score of 35.2 percent and the small traders (not shown in chart) are Bearish with a score of 22.9 percent.
BITCOIN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 77.2 | 2.1 | 10.1 |
– Percent of Open Interest Shorts: | 75.6 | 7.5 | 6.3 |
– Net Position: | 187 | -624 | 437 |
– Gross Longs: | 9,040 | 251 | 1,178 |
– Gross Shorts: | 8,853 | 875 | 741 |
– Long to Short Ratio: | 1.0 to 1 | 0.3 to 1 | 1.6 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 80.2 | 35.2 | 22.9 |
– Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 11.8 | -18.8 | -5.2 |
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.
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