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 28th 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 & Australian Dollar
The COT currency market speculator bets were higher this week as six out of the eleven currency markets we cover had higher positioning while the other five markets had lower speculator contracts.
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Leading the gains for the currency markets was the Japanese Yen (12,370 contracts) with the Australian Dollar (3,106 contracts), New Zealand Dollar (2,173 contracts), the Swiss Franc (1,223 contracts), EuroFX (183 contracts) and Bitcoin (345 contracts) also showing positive weeks.
The currencies seeing declines in speculator bets on the week were the British Pound (-3,586 contracts) with the Mexican Peso (-2,251 contracts), Brazilian Real (-1,374 contracts), the US Dollar Index (-1,425 contracts) and the Canadian Dollar (-4 contracts) also registering lower bets on the week.
Japanese Yen Speculators continued to trim their bearish positions
Highlighting the COT currency’s data this week is the improvement of the speculator’s positioning for the Japanese yen. Large speculative Japanese yen positions gained this week by over +12,000 net contracts and rose for a third straight week with a total change of +21,328 contracts over that 3-week period.
The yen, overall, has been in a continuous bearish standing for the past 107 weeks, dating back to March of 2021. The height of the yen bearish positions (eleven straight weeks over -90,000 contracts) was in April and May of 2022 while the bearish level reached a position of -102,618 contracts as recently as October 25th. Since that recent low, the yen positioning has improved markedly with positions falling to as low as -20,060 contracts on January 31st. This week’s gain marks the best in the past fifteen weeks and brings the overall net position (currently at -53,975 contracts) to the least bearish level since February 21st.
The yen spot price has been on the move since dropping to a multi-decade low against the US Dollar in October. The USDJPY currency pair had surged as high as 151.94 on October 17th but has now come back down to the 130s level with the currency pair closing out this week at 132.83.
Mar-28-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
---|---|---|---|---|---|---|---|---|
USD Index | 31,128 | 26 | 12,719 | 46 | -15,085 | 52 | 2,366 | 42 |
EUR | 732,506 | 68 | 145,025 | 74 | -191,248 | 26 | 46,223 | 53 |
GBP | 199,868 | 37 | -24,084 | 48 | 22,577 | 49 | 1,507 | 61 |
JPY | 169,473 | 31 | -53,975 | 36 | 57,562 | 64 | -3,587 | 46 |
CHF | 34,856 | 17 | -6,074 | 39 | 10,733 | 63 | -4,659 | 42 |
CAD | 176,559 | 48 | -56,825 | 0 | 63,417 | 99 | -6,592 | 8 |
AUD | 151,238 | 50 | -35,353 | 52 | 45,830 | 53 | -10,477 | 27 |
NZD | 31,981 | 13 | -6,610 | 36 | 6,553 | 62 | 57 | 52 |
MXN | 233,669 | 49 | 49,279 | 86 | -53,828 | 15 | 4,549 | 85 |
RUB | 20,930 | 4 | 7,543 | 31 | -7,150 | 69 | -393 | 24 |
BRL | 42,663 | 30 | 23,483 | 66 | -30,522 | 27 | 7,039 | 100 |
Bitcoin | 14,409 | 69 | -276 | 72 | -271 | 0 | 547 | 25 |
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 (86 percent) and the EuroFX (74 percent) lead the currency markets this week. The Bitcoin (72 percent), Brazilian Real (66 percent) and the Australian Dollar (52 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 levels currently and is in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the New Zealand Dollar (36 percent), Japanese Yen (36 percent) and the Swiss Franc (39 percent).
Strength Statistics:
US Dollar Index (46.1 percent) vs US Dollar Index previous week (48.5 percent)
EuroFX (74.3 percent) vs EuroFX previous week (74.2 percent)
British Pound Sterling (48.3 percent) vs British Pound Sterling previous week (51.4 percent)
Japanese Yen (35.6 percent) vs Japanese Yen previous week (28.0 percent)
Swiss Franc (38.5 percent) vs Swiss Franc previous week (35.3 percent)
Canadian Dollar (0.0 percent) vs Canadian Dollar previous week (0.0 percent)
Australian Dollar (52.1 percent) vs Australian Dollar previous week (49.2 percent)
New Zealand Dollar (35.7 percent) vs New Zealand Dollar previous week (29.8 percent)
Mexican Peso (85.9 percent) vs Mexican Peso previous week (87.6 percent)
Brazilian Real (65.7 percent) vs Brazilian Real previous week (67.4 percent)
Bitcoin (72.1 percent) vs Bitcoin previous week (66.1 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 (67 percent) and the Bitcoin (9 percent) lead the past six weeks trends for the currencies. The Swiss Franc (4 percent) and the US Dollar Index (1 percent) are the next highest positive movers in the latest trends data.
The New Zealand Dollar (-42 percent) leads the downside trend scores currently with the Canadian Dollar (-20 percent), Japanese Yen (-16 percent) and the Brazilian Real (-11 percent) following next with lower trend scores.
Strength Trend Statistics:
US Dollar Index (1.2 percent) vs US Dollar Index previous week (3.1 percent)
EuroFX (-7.3 percent) vs EuroFX previous week (-7.8 percent)
British Pound Sterling (-3.7 percent) vs British Pound Sterling previous week (-5.5 percent)
Japanese Yen (-16.1 percent) vs Japanese Yen previous week (-22.9 percent)
Swiss Franc (3.7 percent) vs Swiss Franc previous week (-2.5 percent)
Canadian Dollar (-20.2 percent) vs Canadian Dollar previous week (-22.5 percent)
Australian Dollar (-6.0 percent) vs Australian Dollar previous week (-9.6 percent)
New Zealand Dollar (-42.3 percent) vs New Zealand Dollar previous week (-53.2 percent)
Mexican Peso (67.4 percent) vs Mexican Peso previous week (72.6 percent)
Brazilian Real (-10.8 percent) vs Brazilian Real previous week (-10.8 percent)
Bitcoin (8.8 percent) vs Bitcoin previous week (9.7 percent)
Individual COT Forex Markets:
US Dollar Index Futures:
The US Dollar Index large speculator standing this week equaled a net position of 12,719 contracts in the data reported through Tuesday. This was a weekly lowering of -1,425 contracts from the previous week which had a total of 14,144 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 46.1 percent. The commercials are Bullish with a score of 51.8 percent and the small traders (not shown in chart) are Bearish with a score of 42.4 percent.
US DOLLAR INDEX Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 78.9 | 1.8 | 15.2 |
– Percent of Open Interest Shorts: | 38.0 | 50.2 | 7.6 |
– Net Position: | 12,719 | -15,085 | 2,366 |
– Gross Longs: | 24,552 | 545 | 4,737 |
– Gross Shorts: | 11,833 | 15,630 | 2,371 |
– Long to Short Ratio: | 2.1 to 1 | 0.0 to 1 | 2.0 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 46.1 | 51.8 | 42.4 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 1.2 | 1.7 | -19.7 |
Euro Currency Futures:
The Euro Currency large speculator standing this week equaled a net position of 145,025 contracts in the data reported through Tuesday. This was a weekly increase of 183 contracts from the previous week which had a total of 144,842 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 74.3 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 52.7 percent.
EURO Currency Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 30.4 | 56.0 | 11.7 |
– Percent of Open Interest Shorts: | 10.6 | 82.2 | 5.4 |
– Net Position: | 145,025 | -191,248 | 46,223 |
– Gross Longs: | 222,918 | 410,545 | 85,724 |
– Gross Shorts: | 77,893 | 601,793 | 39,501 |
– Long to Short Ratio: | 2.9 to 1 | 0.7 to 1 | 2.2 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 74.3 | 25.9 | 52.7 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -7.3 | 6.9 | -2.6 |
British Pound Sterling Futures:
The British Pound Sterling large speculator standing this week equaled a net position of -24,084 contracts in the data reported through Tuesday. This was a weekly lowering of -3,586 contracts from the previous week which had a total of -20,498 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 48.3 percent. The commercials are Bearish with a score of 49.4 percent and the small traders (not shown in chart) are Bullish with a score of 61.0 percent.
BRITISH POUND Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 14.2 | 66.6 | 13.1 |
– Percent of Open Interest Shorts: | 26.2 | 55.3 | 12.4 |
– Net Position: | -24,084 | 22,577 | 1,507 |
– Gross Longs: | 28,355 | 133,149 | 26,264 |
– Gross Shorts: | 52,439 | 110,572 | 24,757 |
– Long to Short Ratio: | 0.5 to 1 | 1.2 to 1 | 1.1 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 48.3 | 49.4 | 61.0 |
– Strength Index Reading (3 Year Range): | Bearish | Bearish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -3.7 | -7.8 | 30.9 |
Japanese Yen Futures:
The Japanese Yen large speculator standing this week equaled a net position of -53,975 contracts in the data reported through Tuesday. This was a weekly gain of 12,370 contracts from the previous week which had a total of -66,345 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 35.6 percent. The commercials are Bullish with a score of 63.7 percent and the small traders (not shown in chart) are Bearish with a score of 46.1 percent.
JAPANESE YEN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 5.7 | 77.9 | 14.5 |
– Percent of Open Interest Shorts: | 37.6 | 44.0 | 16.6 |
– Net Position: | -53,975 | 57,562 | -3,587 |
– Gross Longs: | 9,717 | 132,070 | 24,593 |
– Gross Shorts: | 63,692 | 74,508 | 28,180 |
– Long to Short Ratio: | 0.2 to 1 | 1.8 to 1 | 0.9 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 35.6 | 63.7 | 46.1 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -16.1 | 10.6 | 8.8 |
Swiss Franc Futures:
The Swiss Franc large speculator standing this week equaled a net position of -6,074 contracts in the data reported through Tuesday. This was a weekly lift of 1,223 contracts from the previous week which had a total of -7,297 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 38.5 percent. The commercials are Bullish with a score of 62.7 percent and the small traders (not shown in chart) are Bearish with a score of 41.8 percent.
SWISS FRANC Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 11.4 | 57.0 | 29.2 |
– Percent of Open Interest Shorts: | 28.8 | 26.2 | 42.6 |
– Net Position: | -6,074 | 10,733 | -4,659 |
– Gross Longs: | 3,978 | 19,865 | 10,185 |
– Gross Shorts: | 10,052 | 9,132 | 14,844 |
– Long to Short Ratio: | 0.4 to 1 | 2.2 to 1 | 0.7 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 38.5 | 62.7 | 41.8 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 3.7 | -2.2 | -0.2 |
Canadian Dollar Futures:
The Canadian Dollar large speculator standing this week equaled a net position of -56,825 contracts in the data reported through Tuesday. This was a weekly decrease of -4 contracts from the previous week which had a total of -56,821 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 99.3 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.2 percent.
CANADIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 11.1 | 70.4 | 17.4 |
– Percent of Open Interest Shorts: | 43.3 | 34.5 | 21.1 |
– Net Position: | -56,825 | 63,417 | -6,592 |
– Gross Longs: | 19,672 | 124,285 | 30,744 |
– Gross Shorts: | 76,497 | 60,868 | 37,336 |
– Long to Short Ratio: | 0.3 to 1 | 2.0 to 1 | 0.8 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 0.0 | 99.3 | 8.2 |
– Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish-Extreme |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -20.2 | 18.4 | -12.7 |
Australian Dollar Futures:
The Australian Dollar large speculator standing this week equaled a net position of -35,353 contracts in the data reported through Tuesday. This was a weekly rise of 3,106 contracts from the previous week which had a total of -38,459 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 Bullish with a score of 53.1 percent and the small traders (not shown in chart) are Bearish with a score of 26.9 percent.
AUSTRALIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 29.0 | 55.2 | 12.8 |
– Percent of Open Interest Shorts: | 52.3 | 24.9 | 19.7 |
– Net Position: | -35,353 | 45,830 | -10,477 |
– Gross Longs: | 43,813 | 83,523 | 19,330 |
– Gross Shorts: | 79,166 | 37,693 | 29,807 |
– 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): | 52.1 | 53.1 | 26.9 |
– Strength Index Reading (3 Year Range): | Bullish | Bullish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -6.0 | 16.5 | -38.2 |
New Zealand Dollar Futures:
The New Zealand Dollar large speculator standing this week equaled a net position of -6,610 contracts in the data reported through Tuesday. This was a weekly lift of 2,173 contracts from the previous week which had a total of -8,783 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 35.7 percent. The commercials are Bullish with a score of 61.9 percent and the small traders (not shown in chart) are Bullish with a score of 52.3 percent.
NEW ZEALAND DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 30.4 | 58.3 | 10.8 |
– Percent of Open Interest Shorts: | 51.1 | 37.8 | 10.7 |
– Net Position: | -6,610 | 6,553 | 57 |
– Gross Longs: | 9,720 | 18,639 | 3,467 |
– Gross Shorts: | 16,330 | 12,086 | 3,410 |
– Long to Short Ratio: | 0.6 to 1 | 1.5 to 1 | 1.0 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 35.7 | 61.9 | 52.3 |
– Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -42.3 | 39.6 | -13.9 |
Mexican Peso Futures:
The Mexican Peso large speculator standing this week equaled a net position of 49,279 contracts in the data reported through Tuesday. This was a weekly decline of -2,251 contracts from the previous week which had a total of 51,530 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 85.9 percent. The commercials are Bearish-Extreme with a score of 14.8 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 84.6 percent.
MEXICAN PESO Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 46.8 | 50.0 | 3.0 |
– Percent of Open Interest Shorts: | 25.7 | 73.1 | 1.1 |
– Net Position: | 49,279 | -53,828 | 4,549 |
– Gross Longs: | 109,417 | 116,939 | 7,079 |
– Gross Shorts: | 60,138 | 170,767 | 2,530 |
– Long to Short Ratio: | 1.8 to 1 | 0.7 to 1 | 2.8 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 85.9 | 14.8 | 84.6 |
– Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 67.4 | -62.7 | -7.5 |
Brazilian Real Futures:
The Brazilian Real large speculator standing this week equaled a net position of 23,483 contracts in the data reported through Tuesday. This was a weekly decrease of -1,374 contracts from the previous week which had a total of 24,857 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 65.7 percent. The commercials are Bearish with a score of 27.1 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: | 60.9 | 19.3 | 19.8 |
– Percent of Open Interest Shorts: | 5.8 | 90.8 | 3.3 |
– Net Position: | 23,483 | -30,522 | 7,039 |
– Gross Longs: | 25,968 | 8,231 | 8,429 |
– Gross Shorts: | 2,485 | 38,753 | 1,390 |
– Long to Short Ratio: | 10.4 to 1 | 0.2 to 1 | 6.1 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 65.7 | 27.1 | 100.0 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish-Extreme |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | -10.8 | 3.5 | 45.0 |
Bitcoin Futures:
The Bitcoin large speculator standing this week equaled a net position of -276 contracts in the data reported through Tuesday. This was a weekly gain of 345 contracts from the previous week which had a total of -621 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 72.1 percent. The commercials are Bearish with a score of 47.0 percent and the small traders (not shown in chart) are Bearish with a score of 25.4 percent.
BITCOIN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
– Percent of Open Interest Longs: | 77.5 | 1.8 | 10.1 |
– Percent of Open Interest Shorts: | 79.4 | 3.7 | 6.3 |
– Net Position: | -276 | -271 | 547 |
– Gross Longs: | 11,168 | 263 | 1,449 |
– Gross Shorts: | 11,444 | 534 | 902 |
– Long to Short Ratio: | 1.0 to 1 | 0.5 to 1 | 1.6 to 1 |
NET POSITION TREND: | |||
– Strength Index Score (3 Year Range Pct): | 72.1 | 47.0 | 25.4 |
– Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
NET POSITION MOVEMENT INDEX: | |||
– 6-Week Change in Strength Index: | 8.8 | -28.3 | 2.9 |
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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