Speculators are Ho-Hum Prior to Key Events

There were only small futures position changes ahead of key economic events.

Even recognizing a holiday-short week, speculative position adjustments were minor in the days before the ECB meeting and the US jobs report.  There were no gross position adjustments that met the 10k contract threshold.

The largest gross position adjustment was the liquidation of 7.8k gross long yen contracts.  This leave 47.0k long contracts, which is the second largest gross long speculative position after the euro where the speculative gross long position stood at 98.2k contracts (after increasing by 4.3k contracts in the reporting week ending May 31.

Following close on the heels of the yen adjustment was the continued reduction of speculators gross long Australian dollar futures position.  The bulls cut 7.2k contracts, leaving them with 44.6k, which is still the third largest gross long spec position after the yen.

The long liquidation was partly blunted by the bears covering 2.3k gross short contracts (leaving 49.3k) but was still sufficient to drive the net speculative position back to the short side for the first time since mid-February.

Although we find the gross positions and their changes to be more revealing and important than net positions, the net position is also interesting.  For example, we are struck by how steady the net euro position was in May (when the euro fell 2.3% to snap a three-month advance).  At the end of April, the speculators were net short 39.7k euro contracts.  At the end of May, it stood at 37.7k contracts.

May was also characterized by a 4% recovery of the dollar against the yen. At the end of April, speculators were net long 66.5k yen futures contracts.  By the end of May, it has been cut to 14.8k.  Over the month of May, speculators reduced their net short sterling position from nearly 50k contracts to 33k.

The bulls took profits in the 10-year Treasury note futures, culling 59.7k contracts (leaving 404.5k).  The bears were largely sidelined, adding a 1.1k contracts (to 545.6k).  These changes saw the net short speculative position swell to 140.1k contracts from 80.3k in the previous reporting period.

Speculators barely changed their holdings in the days leading up to the OPEC meeting.  The longs trimmed 5.6k contracts (to 522.7k), and the shorts pared 4.4k contracts (to 175.7k).  This resulted in a 1.1k reduction of the net long position to 347.0k contracts.

Specs Made Little Adjustment ahead of ECB and US Jobs is republished with permission from Marc to Market

See also: Options Market Stressing over a Brexit