Currency Speculators drop Swiss Franc bets to lowest since 2018

June 8, 2024

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 June 4th 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.

Weekly Speculator Changes led by Japanese Yen & New Zealand 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 Japanese Yen (23,938 contracts) with the British Pound (17,808 contracts), the Brazilian Real (17,722 contracts), the EuroFX (10,298 contracts),  the New Zealand Dollar (5,159 contracts), the Mexican Peso (3,752 contracts) and the US Dollar Index (713 contracts) also having positive weeks.

The currencies seeing declines in speculator bets on the week were the Canadian Dollar (-5,054 contracts), the Swiss Franc (-1,397 contracts), the Australian Dollar (-1,387 contracts) and with Bitcoin (-363 contracts) also seeing lower bets on the week.

Currency Speculators drop Swiss Franc bets to lowest since 2018

Swiss franc speculator bets fell for a second consecutive week this week and dropped to an overall standing at -45,763 contracts. This is the seventh straight week that the speculator position has now exceeded -40,000 contracts.

The current -45,763 contract position marks the lowest level for CHF bets since August 14th of 2018 (a span of 303 weeks) and the currency is currently tied as the most bearish extreme market of all the futures instruments we cover. The franc speculator position has now been consecutively in bearish territory for 143 weeks, dating back to September 7th of 2021 when the last bullish position was seen.

The Swiss franc exchange rate versus the US dollar has also been lower in 2024 following a strong run higher last year. The Swiss currency, in 2023, hit its highest level versus the USD since 2015 with a decade-high exchange rate above the 1.2000 threshold. Since then, however, the CHF has been heavily under pressure due to a strong dollar and combined with a surprise interest rate cut by the Swiss National Bank (SNB) in March. The franc has fallen by approximately 7 percent versus the dollar this year so far. The Swiss currency could remain under pressure for the time being as the SNB interest rate remains comparatively low at just 1.50 percent and Swiss inflation continues to be moderate with a 1.4 percent annual rate seen in May 2024.


Currencies Net Speculators Leaderboard

Legend: Weekly Speculators Change | Speculators Current Net Position | Speculators Strength Score compared to last 3-Years (0-100 range)


Strength Scores led by Mexican Peso & British Pound

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 (93 percent), the British Pound (82 percent) and the New Zealand Dollar (81 percent) led the currency markets this week. The Australian Dollar (63 percent) and Bitcoin (50 percent) come in as the next highest in the weekly strength scores.

On the downside, the Canadian Dollar (0 percent), the Swiss Franc (0 percent) and the US Dollar Index (15 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength score was the Brazilian Real (22 percent).

Strength Statistics:
US Dollar Index (15.2 percent) vs US Dollar Index previous week (13.7 percent)
EuroFX (49.2 percent) vs EuroFX previous week (44.8 percent)
British Pound Sterling (81.9 percent) vs British Pound Sterling previous week (70.1 percent)
Japanese Yen (29.9 percent) vs Japanese Yen previous week (14.9 percent)
Swiss Franc (0.0 percent) vs Swiss Franc previous week (2.4 percent)
Canadian Dollar (0.0 percent) vs Canadian Dollar previous week (3.7 percent)
Australian Dollar (62.5 percent) vs Australian Dollar previous week (64.1 percent)
New Zealand Dollar (80.8 percent) vs New Zealand Dollar previous week (66.2 percent)
Mexican Peso (92.6 percent) vs Mexican Peso previous week (90.8 percent)
Brazilian Real (21.9 percent) vs Brazilian Real previous week (1.9 percent)
Bitcoin (49.6 percent) vs Bitcoin previous week (55.0 percent)


New Zealand Dollar & Australian Dollar top the 6-Week Strength Trends

COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the New Zealand Dollar (55 percent), the Australian Dollar (50 percent) and the British Pound (46 percent) lead the past six weeks trends for the currencies. The EuroFX (33 percent) and the Japanese Yen (30 percent) are the next highest positive movers in the latest trends data.

The Brazilian Real (-22 percent) leads the downside trend scores currently with Bitcoin (-17 percent), the Canadian Dollar (-11 percent) and the Swiss Franc (-5 percent) following next with lower trend scores.

Strength Trend Statistics:
US Dollar Index (10.8 percent) vs US Dollar Index previous week (10.8 percent)
EuroFX (33.2 percent) vs EuroFX previous week (19.3 percent)
British Pound Sterling (46.0 percent) vs British Pound Sterling previous week (11.1 percent)
Japanese Yen (29.9 percent) vs Japanese Yen previous week (6.0 percent)
Swiss Franc (-5.4 percent) vs Swiss Franc previous week (-13.7 percent)
Canadian Dollar (-11.1 percent) vs Canadian Dollar previous week (-2.7 percent)
Australian Dollar (49.9 percent) vs Australian Dollar previous week (56.9 percent)
New Zealand Dollar (54.6 percent) vs New Zealand Dollar previous week (39.1 percent)
Mexican Peso (0.5 percent) vs Mexican Peso previous week (-3.3 percent)
Brazilian Real (-22.3 percent) vs Brazilian Real previous week (-42.2 percent)
Bitcoin (-16.8 percent) vs Bitcoin previous week (-5.9 percent)


Individual COT Forex Markets:

US Dollar Index Futures:

US Dollar Index Forex Futures COT ChartThe US Dollar Index large speculator standing this week was a net position of 4,887 contracts in the data reported through Tuesday. This was a weekly increase of 713 contracts from the previous week which had a total of 4,174 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 15.2 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 26.3 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

US DOLLAR INDEX StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:69.415.19.3
– Percent of Open Interest Shorts:56.731.16.0
– Net Position:4,887-6,1841,297
– Gross Longs:26,8035,8453,598
– Gross Shorts:21,91612,0292,301
– Long to Short Ratio:1.2 to 10.5 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):15.287.626.3
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:10.8-8.6-12.1

 


Euro Currency Futures:

Euro Currency Futures COT ChartThe Euro Currency large speculator standing this week was a net position of 67,870 contracts in the data reported through Tuesday. This was a weekly increase of 10,298 contracts from the previous week which had a total of 57,572 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 52.2 percent and the small traders (not shown in chart) are Bearish with a score of 35.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

EURO Currency StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:28.157.111.9
– Percent of Open Interest Shorts:18.071.87.3
– Net Position:67,870-98,78630,916
– Gross Longs:188,957383,42379,709
– Gross Shorts:121,087482,20948,793
– Long to Short Ratio:1.6 to 10.8 to 11.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.252.235.0
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:33.2-35.030.9

 


British Pound Sterling Futures:

British Pound Sterling Futures COT ChartThe British Pound Sterling large speculator standing this week was a net position of 43,210 contracts in the data reported through Tuesday. This was a weekly increase of 17,808 contracts from the previous week which had a total of 25,402 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 81.9 percent. The commercials are Bearish-Extreme with a score of 18.4 percent and the small traders (not shown in chart) are Bullish with a score of 73.9 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

BRITISH POUND StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:38.142.112.7
– Percent of Open Interest Shorts:22.060.310.6
– Net Position:43,210-48,7785,568
– Gross Longs:102,118112,71734,034
– Gross Shorts:58,908161,49528,466
– Long to Short Ratio:1.7 to 10.7 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):81.918.473.9
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:46.0-50.242.4

 


Japanese Yen Futures:

Japanese Yen Forex Futures COT ChartThe Japanese Yen large speculator standing this week was a net position of -132,101 contracts in the data reported through Tuesday. This was a weekly gain of 23,938 contracts from the previous week which had a total of -156,039 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 29.9 percent. The commercials are Bullish with a score of 69.6 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 89.5 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

JAPANESE YEN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:13.367.614.7
– Percent of Open Interest Shorts:56.924.713.9
– Net Position:-132,101129,8952,206
– Gross Longs:40,427204,83044,416
– Gross Shorts:172,52874,93542,210
– Long to Short Ratio:0.2 to 12.7 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):29.969.689.5
– Strength Index Reading (3 Year Range):BearishBullishBullish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:29.9-30.44.5

 


Swiss Franc Futures:

Swiss Franc Forex Futures COT ChartThe Swiss Franc large speculator standing this week was a net position of -45,763 contracts in the data reported through Tuesday. This was a weekly lowering of -1,397 contracts from the previous week which had a total of -44,366 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 97.8 percent and the small traders (not shown in chart) are Bearish with a score of 27.0 percent.

Price Trend-Following Model: Downtrend

Our weekly trend-following model classifies the current market price position as: Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

SWISS FRANC StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:7.878.511.8
– Percent of Open Interest Shorts:54.221.023.0
– Net Position:-45,76356,817-11,054
– Gross Longs:7,75177,53411,667
– Gross Shorts:53,51420,71722,721
– Long to Short Ratio:0.1 to 13.7 to 10.5 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.097.827.0
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-5.40.712.3

 


Canadian Dollar Futures:

Canadian Dollar Forex Futures COT ChartThe Canadian Dollar large speculator standing this week was a net position of -91,639 contracts in the data reported through Tuesday. This was a weekly decrease of -5,054 contracts from the previous week which had a total of -86,585 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 5.1 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

CANADIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:14.172.810.4
– Percent of Open Interest Shorts:48.535.213.5
– Net Position:-91,63999,904-8,265
– Gross Longs:37,360193,44927,528
– Gross Shorts:128,99993,54535,793
– Long to Short Ratio:0.3 to 12.1 to 10.8 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):0.0100.05.1
– Strength Index Reading (3 Year Range):Bearish-ExtremeBullish-ExtremeBearish-Extreme
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-11.18.9-0.6

 


Australian Dollar Futures:

Australian Dollar Forex Futures COT ChartThe Australian Dollar large speculator standing this week was a net position of -51,303 contracts in the data reported through Tuesday. This was a weekly decrease of -1,387 contracts from the previous week which had a total of -49,916 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 62.5 percent. The commercials are Bearish with a score of 34.1 percent and the small traders (not shown in chart) are Bullish with a score of 70.6 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

AUSTRALIAN DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:25.958.613.5
– Percent of Open Interest Shorts:51.535.111.3
– Net Position:-51,30346,9234,380
– Gross Longs:51,661117,00026,878
– Gross Shorts:102,96470,07722,498
– Long to Short Ratio:0.5 to 11.7 to 11.2 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):62.534.170.6
– Strength Index Reading (3 Year Range):BullishBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:49.9-63.462.7

 


New Zealand Dollar Futures:

New Zealand Dollar Forex Futures COT ChartThe New Zealand Dollar large speculator standing this week was a net position of 7,205 contracts in the data reported through Tuesday. This was a weekly gain of 5,159 contracts from the previous week which had a total of 2,046 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 80.8 percent. The commercials are Bearish with a score of 21.9 percent and the small traders (not shown in chart) are Bullish with a score of 64.8 percent.

Price Trend-Following Model: Weak Downtrend

Our weekly trend-following model classifies the current market price position as: Weak Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

NEW ZEALAND DOLLAR StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:54.434.87.4
– Percent of Open Interest Shorts:41.248.86.6
– Net Position:7,205-7,663458
– Gross Longs:29,79119,0654,058
– Gross Shorts:22,58626,7283,600
– Long to Short Ratio:1.3 to 10.7 to 11.1 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):80.821.964.8
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearishBullish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:54.6-53.939.1

 


Mexican Peso Futures:

Mexican Peso Futures COT ChartThe Mexican Peso large speculator standing this week was a net position of 124,671 contracts in the data reported through Tuesday. This was a weekly rise of 3,752 contracts from the previous week which had a total of 120,919 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 92.6 percent. The commercials are Bearish-Extreme with a score of 8.1 percent and the small traders (not shown in chart) are Bearish with a score of 28.6 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: New Sell – Short Position.

MEXICAN PESO StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:58.137.62.2
– Percent of Open Interest Shorts:11.185.71.2
– Net Position:124,671-127,4102,739
– Gross Longs:153,94399,5525,875
– Gross Shorts:29,272226,9623,136
– Long to Short Ratio:5.3 to 10.4 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):92.68.128.6
– Strength Index Reading (3 Year Range):Bullish-ExtremeBearish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:0.50.5-12.7

 


Brazilian Real Futures:

Brazil Real Futures COT ChartThe Brazilian Real large speculator standing this week was a net position of -18,860 contracts in the data reported through Tuesday. This was a weekly boost of 17,722 contracts from the previous week which had a total of -36,582 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 21.9 percent. The commercials are Bullish-Extreme with a score of 80.0 percent and the small traders (not shown in chart) are Bearish with a score of 22.7 percent.

Price Trend-Following Model: Strong Downtrend

Our weekly trend-following model classifies the current market price position as: Strong Downtrend. The current action for the model is considered to be: Hold – Maintain Short Position.

BRAZIL REAL StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:49.347.12.7
– Percent of Open Interest Shorts:78.216.34.7
– Net Position:-18,86020,125-1,265
– Gross Longs:32,23130,7681,785
– Gross Shorts:51,09110,6433,050
– Long to Short Ratio:0.6 to 12.9 to 10.6 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):21.980.022.7
– Strength Index Reading (3 Year Range):BearishBullish-ExtremeBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-22.322.8-8.0

 


Bitcoin Futures:

Bitcoin Crypto Futures COT ChartThe Bitcoin large speculator standing this week was a net position of -1,119 contracts in the data reported through Tuesday. This was a weekly lowering of -363 contracts from the previous week which had a total of -756 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 49.6 percent. The commercials are Bullish with a score of 74.0 percent and the small traders (not shown in chart) are Bearish with a score of 30.1 percent.

Price Trend-Following Model: Uptrend

Our weekly trend-following model classifies the current market price position as: Uptrend. The current action for the model is considered to be: Hold – Maintain Long Position.

BITCOIN StatisticsSPECULATORSCOMMERCIALSSMALL TRADERS
– Percent of Open Interest Longs:78.74.75.2
– Percent of Open Interest Shorts:82.33.62.7
– Net Position:-1,119366753
– Gross Longs:24,4701,4721,601
– Gross Shorts:25,5891,106848
– Long to Short Ratio:1.0 to 11.3 to 11.9 to 1
NET POSITION TREND:
– Strength Index Score (3 Year Range Pct):49.674.030.1
– Strength Index Reading (3 Year Range):BearishBullishBearish
NET POSITION MOVEMENT INDEX:
– 6-Week Change in Strength Index:-16.826.02.2

 


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*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.