Speculators Continue to Peel Back Long Dollar Bets

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In the CFTC reporting week ending March 28, speculators mostly added to gross long currency futures and covered gross short positions. Although most positions adjustment were modest, tit continued a recent trend, and positioning is not the kind of headwind it was at the start of the year.

This is especially true in the euro. Speculators hold a net short position of less than 8k contracts. It was 137k at its recent peak before the US election last November and 69.4k at the end of 2016.  The change this is due in equal measure to the longs rising and the shorts falling.

The gross position adjustment in the Mexican peso was easily the largest among the currency futures.  Here too the longs and shorts were adjusted by nearly the same amount, leaving speculators net short 4.7k peso futures contracts from a peak near 73.3k in late January.   The bulls added 15.0 contracts, taking the gross long position to 72.7k contracts.  The bears added 16.5 contracts to their gross short position, which now stands at 77.5k contracts.

Meanwhile, speculators continue to amass a large long Australian dollar position.  At 90.8k gross long contracts, it is the second biggest bullish bet (gross longs) behind the euro. The gross shorts were pared by 2.7k contracts to stand at 37.7k contracts.  The 53.1k contracts which speculators are net long is the most in nearly a year.

The largest net short position is with sterling at 104.1k contracts.  It has nearly doubled since the start of the year.   The gross short position was reduced by 1.3k contracts, leaving 139.1k contracts. This remains near record set in Q3 16 of 154k.  The gross long position rose from its lowest level since last July by 2.5k contracts, leaving a the bulls with 35.1k contracts.

Of the eight currencies we track, speculators added to gross longs in six.   The exceptions were the Swiss franc (-2.2k contracts) and the New Zealand dollar (-0.4k contracts).  The gross shorts were mostly reduced.  There were three exceptions:  Swiss franc, Canadian dollar and Mexican peso.

Bulls in the light sweet crude oil futures market reduced longs by 11k contracts, giving them 648.6k contracts.  The record high was set in February ears 713k.  The shorts added 9.4k contracts to their gross short position, raising it to almost 250k.   Oil rallied another 2% since the end of the reporting period.

There has been a dramatic position adjustment in the US 10-year Treasury note futures.  The speculative market is still short, but the 69.4k contract net short compares with the record of 410k at the end of February.  In the most recent week, the gross longs rose by 24.7k contracts, while the short covering by the bears slowed to 6.2k contracts.

28-Mar      Commitment of Traders
Net  Prior  Gross Long Change Gross Short  Change
Euro -7.9 -19.7 163.6 4.1 171.6 -7.7
Yen -53.2 -67.0 42.9 7.8 96.1 -6.0
Sterling -104.1 101.1 35.1 2.5 139.1 -1.3
Swiss Franc -16.4 -12.0 6.9 -2.2 23.3 2.2
C$ -28.2 -24.4 30.4 0.0 58.6 3.9
A$ 53.1 45.0 90.8 5.4 37.7 -2.7
NZ$ -12.6 -12.6 16.2 -0.4 28.8 -0.4
Mexican Peso -4.7 -3.3 72.7 15.0 77.5 16.5
(CFTC, Bloomberg) Speculative positions in 000’s of contracts