Speculators in the futures market made mostly small position adjustments in the sessions leading up to the FOMC and BOJ meetings. During the Commitment of Traders reporting week ending April 26, the largest adjustment of speculative position in the currency futures was the 12.5 k build of gross long Australian dollar contracts.
Speculators were undeterred by the threat of BOJ intervention. In the CFTC reporting period ending April 12, speculators boosted their net and gross long yen positions to new record highs. The bulls added 2k contracts to their gross long position to give them 100.1k yen futures contracts. The bulls, who had tried picking a bottom over the past two reporting periods, gave up and reduced their gross short position by 4.1k contracts to 33.9k. The resulted in a 6k increase in the net long position, lifting it to 66.2k contracts.
Speculators in the futures market were not particularly active in Commitment of Traders reporting week ending April 5. There was only one gross position adjustment which we regard as significant (defined as a 10k contract change), and that was in the yen.
The most extreme speculative positioning, judging from the futures market is the long yen position. The bulls added another 3.4k contracts, lifting the gross long position to 82.8k contracts. The record was set in 2008 at 94.7k contracts.
The gross short position was trimmed by 4.5k contracts, leaving 29.5k. It is the smallest gross short position since before Abe was elected in Prime Minister in 2012. The net long yen speculative position rose to 53.3k contracts. The record was also set in 2008 at 65.9k contracts.
After a relatively quiet period into the run-up to the ECB, speculative activity markedly increased in the CFTC reporting week ending the day prior to the conclusion of the FOMC meeting.
The Commitment of Traders reporting period ending March 8 showed little position adjusting ahead of the ECB meeting two days later. A little more than 3/4 of the gross positions we track saw less than 5k contract change and only two were above 6k.
The gross long speculative sterling position was cut by a quarter or 9.6k contracts to 29.4k. Speculators also built a larger gross long Australian dollar position, adding 9.7k contracts to 86.1k.
The position adjustment among speculators in the currency futures market was minor in the reporting week that ended February 23. We regarded only one gross adjustment as significant (more than 10k contracts). The Mexican officials sprung a bear trap and forced speculators to cover. There were 15.8k gross short peso in speculative hands bought back, leaving 83k contracts still short.
The CFTC Commitment of Traders reporting week ending February 16 was short due to the US holiday. This may have contributed to the small adjustments to speculative positioning in the currency futures. It also may reflect the lack of conviction that a dollar recovery was at hand.
There are two broad developments in speculative positioning in the Commitment of Traders report in the week ending February 9. First, the market turbulence saw speculators reduce exposure. Of the 16 gross positions we track, 11 were reducing positions by liquidating longs or covering shorts.
Second, there was an unusual amount of significant gross position adjustments, by which we mean a change of 10k contracts of more in a gross position. There were six such adjustments, and they were equally divided between increasing and reducing exposures.
The latest Commitment of Traders report covers the week ending February 2 that included the FOMC meeting and the BOJ’s surprise cut. There was also speculation of a potential deal between Russia and OPEC to cut output. Speculative position adjustment in the futures market was more limited than one might have expected.
