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Weekly Speculative Positions (as of July 25): Speculators Continue to Pour into Australian and Canadian Dollar Futures

Summary:
Swiss Franc Speculators were net short CHF in January 2015, shortly before the end of the peg, with 26.4K contracts. Then again in December 2015, when they expected a Fed rate hike, with 25.5K contracts. The biggest short CHF, however, happened in June 2007, when speculators were net short 80K contracts. Shortly after, the U.S. subprime crisis started. The reverse carry trade in form of the Long CHF started and lasted - without some interruptions - until the peg introduction in September 2011. In mid 2011, the long CHF trade became a proper carry trade - and not a reverse carry trade anymore - because investors thought that the SNB would hike rates earlier than the Fed. CHF Speculative Positions Last data as of

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Swiss Franc

Speculators were net short CHF in January 2015, shortly before the end of the peg, with 26.4K contracts. Then again in December 2015, when they expected a Fed rate hike, with 25.5K contracts.

The biggest short CHF, however, happened in June 2007, when speculators were net short 80K contracts. Shortly after, the U.S. subprime crisis started. The carry trade against CHF collapsed.

The reverse carry trade in form of the Long CHF started and lasted - without some interruptions - until the peg introduction in September 2011.

In mid 2011, the long CHF trade became a proper carry trade - and not a reverse carry trade anymore - because investors thought that the SNB would hike rates earlier than the Fed.

CHF Speculative Positions

Last data as of July 25:

The net speculative CHF position has risen from -3.7K short to -1.5K contracts short (against USD).

It may be of interest, given the sharp depreciation of the Swiss franc since this reporting period ended. Speculators in the futures market had a small net short position of 1.6k contracts. The gross long position increased by 1.1k contracts to 14.9k and the gross short position was trimmed by 1.1k contracts to 16.4k.

Speculative Positions

Choose Currency

source: Oanda

Speculators were active in the currency futures in the CFTC reporting week ending July 25. In particular, speculative sentiment continues to be drawn to the Canadian and Australian dollars.

Almost 10.5k contracts were added the to gross long Canadian dollar futures position, which lifted it to 70.4k contracts. It was near 29k contracts at the end of June. Speculators raised their gross long Australian dollar position to 80.8k contracts, adding 11.7k in the most recent period. It was almost 50k at the end of last month.

There were two other significant gross position adjustments, by which we mean 10k of more contracts. Speculators covered 14.8k previously sold yen contracts, though the gross and net short positions remain the largest of the currency futures we track at 149.5k and 121.5k contracts respectively. The bulls reduced their gross long position by 9.4k contracts, of nearly 25% to 28k contracts.

The other significant position adjustment was in sterling. Bears added 11k contracts to increase the net short position to 78.3k contracts. The bulls added 1.3k contracts to the gross long position to 52.2k contracts.

Bull and bears were nearly equally matched in the 10-year note futures. The bulls added 21.2k contracts, giving them a gross long position of 873.7k contracts. The bears grew the gross long position by 22.9k contracts to 593k. As a consequence the net long position hardly changed at 280.7k contracts.

Bears felt pressure in the face of the rebound in oil prices. They covered 19.8k short contracts, leaving a gross short position of 235.7k contracts. The bulls added 7.0k contracts to the gross long position, which is a little more than 659k contracts.

25-Jul Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro 90.8 91.3 197.7 -1.9 106.8 -1.4
Yen -121.5 -126.9 28.0 -9.4 149.5 -14.8
Sterling -26.2 -16.5 52.2 1.3 78.3 11.0
Swiss Franc -1.6 -3.7 14.9 1.1 16.4 -1.1
C$ 26.6 8.0 70.4 10.4 43.8 -8.2
A$ 56.4 51.4 80.8 11.7 24.4 6.7
NZ$ 34.8 36.0 41.2 -3.0 6.4 -1.9
Mexican Peso 112.9 112.5 130.1 -0.1 17.2 -0.4
US Treasuries  280.7  236.6  873.7 -21.2  593 22.9
Crude Oil  423.3  410.5 659  7.0  235.7  19.8
(CFTC, Bloomberg) Speculative positions in 000’s of contracts


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George Dorgan
George Dorgan (penname) predicted the end of the EUR/CHF peg at the CFA Society and at many occasions on SeekingAlpha.com and on this blog. Several Swiss and international financial advisors support the site. These firms aim to deliver independent advice from the often misleading mainstream of banks and asset managers. George is FinTech entrepreneur, financial author and alternative economist. He speak seven languages fluently.

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