Speculators Net Short Yen in the Futures Market for the First Time in a Year

yen currency in hand marc

The US dollar rose more than 8.5% against the yen in November, and finally at the end of the month, speculators finally switched to a new short position for the first time this year.

In the CFTC reporting week ending November 28, speculators added 12.1k contracts to their gross short position, lifting it to 72.4k contracts. Speculators added a little less than one thousand contracts to the gross longs, which then stood at 72.1k contracts.

Since peaking in early October near 102k contracts, 30k gross long contracts have been liquidated.  Over the same period, almost 40k contracts have been added to the gross short exposure.  The result is that the net position is short about three hundred futures contracts.  That leaves the Australian dollar as the only currency futures we track in which speculators are still net long.  And even there they are back.

During the latest reporting period, speculators liquidated 8.7k long Aussie futures contracts, bringing the position down to 54.8k contracts.  About 1.1k contracts were added to the gross short position, so it stood at 33.8k contracts.  The net long position fell by a third to 21.0 contracts.

Growing the gross short yen futures was the largest speculative position adjustment, but speculators were also active in euro futures.  The bulls added 9k contracts to the gross longs (to 136.1k), while the bears grew the gross short position almost as much (8.9k contracts to 255.3k).

Speculators added to their net short Mexican peso position.  The 5.6k contract addition brought the gross short position to 73.8k contracts, surpassing the yen.  And because the longs were trimmed marginally, the net short position rose to 54.5k contracts, the largest since early October.

Speculators mostly added to short currency exposures.  Of the eight currencies we track there were two exceptions, the Canadian dollar (2.1k reduction of gross shorts) and the New Zealand dollar (200 contract reduction).  Without fail, speculators liquidated long exposure to the dollar-bloc currencies and the peso.  They mostly added to the other majors, with the exception of sterling, where gross longs were cut.

The bulls and bears have been wrestling in the 10-year note futures.  In the most recent reporting period, the bulls capitulated.  They liquidated 208.4k contracts.  They still have another 519.1k contracts.  The emboldened bears added 60.5k contracts to their gross short position, raising it to 615.4k contracts.  The result is that the net position swung from long 173k contracts to being short 96.3k contracts.

In the reporting period ending the day before OPEC’s oil cut announcement, speculators trimmed both gross long and short positions.  They trimmed the gross long position by 8.9k contracts to 551.7k.  They covered 20.4k gross short contracts, leaving them with 263.8k.  This resulted in an 11.6k contract increase in the net long position to 287.9k contracts.

29-Nov      Commitment of Traders
Net  Prior  Gross Long Change Gross Short  Change
Euro -119.2 -119.3 136.1 9.0 255.3 8.9
Yen -0.3 10.9 72.1 0.9 72.4 12.1
Sterling -78.1 -74.3 50.0 -3.4 128.9 0.4
Swiss Franc -24.3 -22.9 13.0 3.5 37.4 4.9
C$ -18.6 -17.5 25.0 -3.3 43.6 -2.1
A$ 21.0 30.7 54.8 -8.7 33.8 1.1
NZ$ -1.9 -0.5 30.2 -1.5 32.1 -0.2
Mexican Peso -54.5 -48.3 19.3 -0.6 73.8 5.6
(CFTC, Bloomberg) Speculative positions in 000’s of contracts