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 February 11th 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 & Canadian Dollar
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 the Japanese Yen (35,847 contracts) with the Australian Dollar (9,724 contracts), the Canadian Dollar (9,610 contracts), the British Pound (8,155 contracts), the Mexican Peso (3,588 contracts), the Swiss Franc (3,513 contracts), the Brazilian Real (838 contracts) and the US Dollar Index (757 contracts) also showing positive weeks.
The currencies seeing declines in speculator bets on the week were the EuroFX (-5,811 contracts), Bitcoin (-1,153 contracts) and with the New Zealand Dollar (-246 contracts) also registering lower bets on the week.
Japanese Yen Speculators continue to raise the bullish position
Japanese 10-Year Bond Yields
Highlighting the COT currency’s data this week, the story continues to be the continued push higher in bullish bets for the Japanese yen speculators.
Large speculative yen positions surged higher by +35,847 contracts and rose for a fourth consecutive week this week. The JPY position has now jumped by a total of +84,026 contracts over just the past four weeks. These gains have boosted the overall net bullish position to a total of +54,615 contracts this week and marks the most bullish level for the yen bets since October 1st, a span of 20 weeks.
Helping out the yen speculative position is the recent rate hike by the Bank of Japan in January from 0.25 percent to 0.50 percent. The yields on the Japanese 10-year bonds (image above) have also been spiking higher as well in recent weeks with the yields approaching 1.40 percent and reaching the highest levels in fifteen years (since 2010).
The yen exchange rate, despite the improving sentiment by the speculators and rising bond yields, remains near the bottom of its range from the past few years. The yen fell this week versus the US Dollar following four weeks of gains. The USDJPY currency pair trades near the 152.00 currently after hitting support right around the 151.00 early in the week. The pair did reverse lower after hitting resistance when challenging the 154.00 level in the middle of the week and ended at 152.82.
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 Japanese Yen & Brazilian Real
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 Japanese Yen (95 percent) and the Brazilian Real (53 percent) lead the currency markets this week.
On the downside, the EuroFX (4 percent) and the New Zealand Dollar (6 percent) come in at the lowest strength levels currently and are in Extreme-Bearish territory (below 20 percent). The next lowest strength scores are the Canadian Dollar (20 percent) and the Swiss Franc (22 percent).
3-Year Strength Statistics:
US Dollar Index (38.4 percent) vs US Dollar Index previous week (36.8 percent)
EuroFX (4.2 percent) vs EuroFX previous week (6.5 percent)
British Pound Sterling (34.7 percent) vs British Pound Sterling previous week (31.0 percent)
Japanese Yen (95.4 percent) vs Japanese Yen previous week (81.1 percent)
Swiss Franc (22.4 percent) vs Swiss Franc previous week (15.3 percent)
Canadian Dollar (20.4 percent) vs Canadian Dollar previous week (16.1 percent)
Australian Dollar (29.8 percent) vs Australian Dollar previous week (22.9 percent)
New Zealand Dollar (6.2 percent) vs New Zealand Dollar previous week (6.5 percent)
Mexican Peso (36.8 percent) vs Mexican Peso previous week (35.0 percent)
Brazilian Real (53.1 percent) vs Brazilian Real previous week (52.3 percent)
Bitcoin (43.3 percent) vs Bitcoin previous week (68.4 percent)
Japanese Yen & Brazilian Real top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Japanese Yen (25 percent) and the Brazilian Real (25 percent) lead the past six weeks trends for the currencies. The US Dollar Index (17 percent), the Canadian Dollar (11 percent) and the Australian Dollar (4 percent) are the next highest positive movers in the trends data.
The Swiss Franc (-12 percent) leads the downside trend scores currently with the British Pound (-11 percent), Mexican Peso (-2 percent) and Bitcoin (-1 percent) following next with lower trend scores.
3-Year Strength Trends:
US Dollar Index (17.5 percent) vs US Dollar Index previous week (16.7 percent)
EuroFX (2.0 percent) vs EuroFX previous week (3.8 percent)
British Pound Sterling (-10.8 percent) vs British Pound Sterling previous week (-13.8 percent)
Japanese Yen (25.2 percent) vs Japanese Yen previous week (6.6 percent)
Swiss Franc (-12.0 percent) vs Swiss Franc previous week (-28.1 percent)
Canadian Dollar (11.1 percent) vs Canadian Dollar previous week (7.3 percent)
Australian Dollar (4.1 percent) vs Australian Dollar previous week (-5.1 percent)
New Zealand Dollar (-1.2 percent) vs New Zealand Dollar previous week (-3.6 percent)
Mexican Peso (-2.5 percent) vs Mexican Peso previous week (-3.4 percent)
Brazilian Real (25.3 percent) vs Brazilian Real previous week (19.9 percent)
Bitcoin (-1.0 percent) vs Bitcoin previous week (20.0 percent)
Individual COT Forex Markets:
US Dollar Index Futures:
The US Dollar Index large speculator standing this week reached a net position of 15,296 contracts in the data reported through Tuesday. This was a weekly boost of 757 contracts from the previous week which had a total of 14,539 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 38.4 percent. The commercials are Bullish with a score of 61.7 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.
Price Trend-Following Model: Weak Uptrend
Our weekly trend-following model classifies the current market price position as: Weak Uptrend.
| US DOLLAR INDEX Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 66.8 | 21.5 | 9.0 |
| – Percent of Open Interest Shorts: | 27.9 | 63.3 | 6.2 |
| – Net Position: | 15,296 | -16,423 | 1,127 |
| – Gross Longs: | 26,261 | 8,459 | 3,546 |
| – Gross Shorts: | 10,965 | 24,882 | 2,419 |
| – Long to Short Ratio: | 2.4 to 1 | 0.3 to 1 | 1.5 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 38.4 | 61.7 | 38.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 17.5 | -16.1 | -2.6 |
Euro Currency Futures:
The Euro Currency large speculator standing this week reached a net position of -64,425 contracts in the data reported through Tuesday. This was a weekly reduction of -5,811 contracts from the previous week which had a total of -58,614 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 4.2 percent. The commercials are Bullish-Extreme with a score of 94.8 percent and the small traders (not shown in chart) are Bearish with a score of 27.5 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| EURO Currency Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 26.6 | 56.6 | 12.2 |
| – Percent of Open Interest Shorts: | 36.9 | 50.2 | 8.3 |
| – Net Position: | -64,425 | 39,974 | 24,451 |
| – Gross Longs: | 165,594 | 352,514 | 76,243 |
| – Gross Shorts: | 230,019 | 312,540 | 51,792 |
| – Long to Short Ratio: | 0.7 to 1 | 1.1 to 1 | 1.5 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 4.2 | 94.8 | 27.5 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 2.0 | -3.8 | 13.2 |
British Pound Sterling Futures:
The British Pound Sterling large speculator standing this week reached a net position of -3,168 contracts in the data reported through Tuesday. This was a weekly lift of 8,155 contracts from the previous week which had a total of -11,323 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 34.7 percent. The commercials are Bullish with a score of 67.9 percent and the small traders (not shown in chart) are Bearish with a score of 34.2 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| BRITISH POUND Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 33.2 | 50.5 | 11.7 |
| – Percent of Open Interest Shorts: | 34.7 | 42.6 | 18.1 |
| – Net Position: | -3,168 | 16,480 | -13,312 |
| – Gross Longs: | 69,087 | 105,189 | 24,316 |
| – Gross Shorts: | 72,255 | 88,709 | 37,628 |
| – Long to Short Ratio: | 1.0 to 1 | 1.2 to 1 | 0.6 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 34.7 | 67.9 | 34.2 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | -10.8 | 12.2 | -14.1 |
Japanese Yen Futures:
The Japanese Yen large speculator standing this week reached a net position of 54,615 contracts in the data reported through Tuesday. This was a weekly advance of 35,847 contracts from the previous week which had a total of 18,768 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 95.4 percent. The commercials are Bearish-Extreme with a score of 3.4 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 96.5 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| JAPANESE YEN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 52.7 | 27.0 | 18.2 |
| – Percent of Open Interest Shorts: | 32.8 | 52.0 | 13.3 |
| – Net Position: | 54,615 | -68,154 | 13,539 |
| – Gross Longs: | 144,158 | 73,890 | 49,809 |
| – Gross Shorts: | 89,543 | 142,044 | 36,270 |
| – Long to Short Ratio: | 1.6 to 1 | 0.5 to 1 | 1.4 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 95.4 | 3.4 | 96.5 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 25.2 | -28.6 | 35.6 |
Swiss Franc Futures:
The Swiss Franc large speculator standing this week reached a net position of -38,745 contracts in the data reported through Tuesday. This was a weekly rise of 3,513 contracts from the previous week which had a total of -42,258 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 22.4 percent. The commercials are Bullish-Extreme with a score of 87.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 15.1 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| SWISS FRANC Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.7 | 84.1 | 10.0 |
| – Percent of Open Interest Shorts: | 45.1 | 29.3 | 25.3 |
| – Net Position: | -38,745 | 53,757 | -15,012 |
| – Gross Longs: | 5,553 | 82,536 | 9,859 |
| – Gross Shorts: | 44,298 | 28,779 | 24,871 |
| – Long to Short Ratio: | 0.1 to 1 | 2.9 to 1 | 0.4 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 22.4 | 87.1 | 15.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | -12.0 | 9.2 | 1.1 |
Canadian Dollar Futures:
The Canadian Dollar large speculator standing this week reached a net position of -150,834 contracts in the data reported through Tuesday. This was a weekly rise of 9,610 contracts from the previous week which had a total of -160,444 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 20.4 percent. The commercials are Bullish-Extreme with a score of 83.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 9.3 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| CANADIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 5.5 | 84.2 | 7.7 |
| – Percent of Open Interest Shorts: | 51.6 | 34.5 | 11.3 |
| – Net Position: | -150,834 | 162,597 | -11,763 |
| – Gross Longs: | 17,911 | 275,360 | 25,075 |
| – Gross Shorts: | 168,745 | 112,763 | 36,838 |
| – Long to Short Ratio: | 0.1 to 1 | 2.4 to 1 | 0.7 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 20.4 | 83.1 | 9.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish-Extreme | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 11.1 | -10.9 | 4.2 |
Australian Dollar Futures:
The Australian Dollar large speculator standing this week reached a net position of -65,585 contracts in the data reported through Tuesday. This was a weekly lift of 9,724 contracts from the previous week which had a total of -75,309 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 71.9 percent and the small traders (not shown in chart) are Bearish with a score of 36.3 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| AUSTRALIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 20.6 | 63.2 | 13.7 |
| – Percent of Open Interest Shorts: | 54.0 | 27.3 | 16.2 |
| – Net Position: | -65,585 | 70,444 | -4,859 |
| – Gross Longs: | 40,368 | 123,991 | 26,941 |
| – Gross Shorts: | 105,953 | 53,547 | 31,800 |
| – Long to Short Ratio: | 0.4 to 1 | 2.3 to 1 | 0.8 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 29.8 | 71.9 | 36.3 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 4.1 | -4.8 | 5.9 |
New Zealand Dollar Futures:
The New Zealand Dollar large speculator standing this week reached a net position of -49,336 contracts in the data reported through Tuesday. This was a weekly fall of -246 contracts from the previous week which had a total of -49,090 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 6.2 percent. The commercials are Bullish-Extreme with a score of 93.5 percent and the small traders (not shown in chart) are Bearish with a score of 27.2 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| NEW ZEALAND DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 12.9 | 82.1 | 4.7 |
| – Percent of Open Interest Shorts: | 69.5 | 23.2 | 7.1 |
| – Net Position: | -49,336 | 51,398 | -2,062 |
| – Gross Longs: | 11,218 | 71,567 | 4,103 |
| – Gross Shorts: | 60,554 | 20,169 | 6,165 |
| – Long to Short Ratio: | 0.2 to 1 | 3.5 to 1 | 0.7 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 6.2 | 93.5 | 27.2 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | -1.2 | -0.1 | 14.4 |
Mexican Peso Futures:
The Mexican Peso large speculator standing this week reached a net position of 15,850 contracts in the data reported through Tuesday. This was a weekly boost of 3,588 contracts from the previous week which had a total of 12,262 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 36.8 percent. The commercials are Bullish with a score of 67.4 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 8.4 percent.
Price Trend-Following Model: Downtrend
Our weekly trend-following model classifies the current market price position as: Downtrend.
| MEXICAN PESO Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 41.3 | 54.1 | 2.2 |
| – Percent of Open Interest Shorts: | 30.3 | 63.3 | 4.0 |
| – Net Position: | 15,850 | -13,270 | -2,580 |
| – Gross Longs: | 59,388 | 77,683 | 3,229 |
| – Gross Shorts: | 43,538 | 90,953 | 5,809 |
| – Long to Short Ratio: | 1.4 to 1 | 0.9 to 1 | 0.6 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 36.8 | 67.4 | 8.4 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | -2.5 | 2.4 | 0.8 |
Brazilian Real Futures:
The Brazilian Real large speculator standing this week reached a net position of 1,080 contracts in the data reported through Tuesday. This was a weekly boost of 838 contracts from the previous week which had a total of 242 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 53.1 percent. The commercials are Bearish with a score of 47.9 percent and the small traders (not shown in chart) are Bearish with a score of 22.9 percent.
Price Trend-Following Model: Weak Downtrend
Our weekly trend-following model classifies the current market price position as: Weak Downtrend.
| BRAZIL REAL Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 58.5 | 31.0 | 3.9 |
| – Percent of Open Interest Shorts: | 57.0 | 33.0 | 3.4 |
| – Net Position: | 1,080 | -1,437 | 357 |
| – Gross Longs: | 41,738 | 22,118 | 2,795 |
| – Gross Shorts: | 40,658 | 23,555 | 2,438 |
| – Long to Short Ratio: | 1.0 to 1 | 0.9 to 1 | 1.1 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 53.1 | 47.9 | 22.9 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | 25.3 | -25.7 | 4.4 |
Bitcoin Futures:
The Bitcoin large speculator standing this week reached a net position of -367 contracts in the data reported through Tuesday. This was a weekly decrease of -1,153 contracts from the previous week which had a total of 786 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 43.3 percent. The commercials are Bullish with a score of 71.1 percent and the small traders (not shown in chart) are Bearish-Extreme with a score of 14.7 percent.
Price Trend-Following Model: Uptrend
Our weekly trend-following model classifies the current market price position as: Uptrend.
| BITCOIN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 81.3 | 5.6 | 4.4 |
| – Percent of Open Interest Shorts: | 82.5 | 4.6 | 4.2 |
| – Net Position: | -367 | 307 | 60 |
| – Gross Longs: | 26,802 | 1,834 | 1,447 |
| – Gross Shorts: | 27,169 | 1,527 | 1,387 |
| – Long to Short Ratio: | 1.0 to 1 | 1.2 to 1 | 1.0 to 1 |
| NET POSITION TREND: | | | |
| – Strength Index Score (3 Year Range Pct): | 43.3 | 71.1 | 14.7 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish-Extreme |
| NET POSITION MOVEMENT INDEX: | | | |
| – 6-Week Change in Strength Index: | -1.0 | 8.8 | -22.5 |
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.
Article by ForexTime
