Commitments of Traders (COT)

Commitments of Traders (COT)
Eduardo Petazze
Los informes de los Compromisos de los Traders de la US Commodity Futures Trading Commission (CFTC) desglosa las posiciones abiertas de cada martes en los mercados de futuros y opciones en los que 20 ms operadores tienen posiciones iguales o superiores a
ciertos niveles de referencia (non-reportable positions).
Los das viernes, la CFTC publica el resultado de los informes individuales remitido por los operadores bajo la FORM 40 - STATEMENT OF REPORTING TRADER (pdf, 9 pages)
Un operador es clasificado como
"Comercial" si est predominantemente involucrado en actividades de produccin, procesamiento, etc. de commodities y usa los mercados de futuros y opciones para gestionar o cubrir los riesgos asociados a dichas actividades.
"No comercial", incluyen:
"Swap Dealer" quienes utilizan los mercados de futuos y opciones para administrar o gestionar el riesgo asociado con operaciones de permutas que realizan con otros traders especulativos (como los hedge funds) o con clientes comerciales.
Money Manager son entidades registradas ante la CFTC como Commodity Trading Advisor (CTA); o como Commodity Pool Operator (CPO); u otros fondos no registrados identificados por la CFTC.
Ntese que la clasificacin no elimina la posibilidad que un comercial realice operaciones especulativas, y viceversa.
El objetivo del presente, es resumir las posiciones netas semanales reportadas (como nmero neto de contratos comprados o vendidos) para el conjunto de inversores especulativos (no comerciales), en los mercados (slo) de futuros para un conjunto de ocho monedas, entre
julio de 2010 a julio de 2013 (ambos meses inclusive).
Un inversor especulativo mantendr una posicin comprada (o posicin larga) en una moneda si espera que dicha moneda se revalorice frente al dolar durante el plazo de su inversin.
Las posiciones semanales netas compradas para cada moneda aparecen en el cuadro como un nmero positivo (en negro)
Un inversor especulativo mantendr una posicin vendida (o posicin corta) en una moneda si espera que dicha moneda se devae frente al dolar durante el plazo de su inversinn.
Las posiciones semanales netas vendidas para cada moneda aparecen en el cuadro como un nmero negativo (en rojo)
Ntese que un inversor podra mantener tambin opciones de compra (call) o venta (put) (igualmente son reportadas por la CFTC), y cuyo equivalente en terminos de contratos de futuro podra neutralizar o potenciar una determinada posicin neta (slo) tomando en
cuenta los contratos de futuros
Para el conjunto de las ocho monedas se determina el valor agregado neto (en dlares), valorizando los contratos a la tasa de cambio respecto del dlar de cada da viernes en que se d a conocer el reporte.
Un valor agregado neto positivo (en negro), indicar que el conjunto de inversores, espera que el conjunto de monedas se revalorice frente al dlar, es decir, se mantiene corto o vendido en dlares
Un valor agregado neto negativo (en rojo) indicar que el conjunto de inversores, espera que el conjunto de monedas se deprecie frente al dlar, es decir se mantiene largo o comprado en dlares.
En la ltima columna del cuadro se agrega un indicador del valor del dlar (julio 2010/2013 = 100.0) resultado de ponderar las tasas de cambio de los das viernes por la participacin que cada moneda ha mantenido en la cartera de los inversores especulativos (para el perodo
analizado).
Un indicador mayor a 101.54 (resaltados con color azul) indica que el dlar se encuentra claramente en una zona de revaluacin (sobre el valor promedio) respecto de las 8 monedas analizadas,
una buena noticia para los especuladores si el valor agregado neto es rojo
Un indicador menor a 98.46 (resaltados con color rojo) indica que el dlar se encuentra claramente en una zona de devaluacin (sobre el valor promedio) respecto de las 8 monedas analizadas,
una buena noticia para los especuladores si el valor agregado neto es negro
En un 33% de los casos (entre 98.46 / 101.54 del indicador) resaltado en gris, indica una zona de estabilidad, neutralidad o transicin.
Las zonas de concordancia se han enmarcado
Los dos ltimos cuadros muestran:
la apertura de los contratos de futuros para los inversores no comerciales tal como se resume en la pgina web de la CFTC, para las ltimas 8 semanas
algunas de las tasas de cambio de los das viernes utilizadas en este anlisis, con indicacin del mximo y mnimo de 52 semanas, volatilidad y valor promedio de las ltimas 52 semanas
IMM
Yen
12,500,000
FX
Number of Only Future Contracts - Non-Commercial Large (Short) Net Positions

Pound
Swiss Franc
Canadian
Australian
62,500
125,000
100,000
100,000
Euro
125,000
Mexican
500,000
Aggregated Net Position
N. Zealand
100,000
FX Rate Index
(million US$)
Aug 06, 2013
-80,213
6,061
-46,033
-325
-10,436
-76,779
32,125
-1,539
Jul 30, 2013
-82,135
-8,504
-49,463
-1,261
-11,434
-72,573
24,888
Jul 23, 2013
-87,496
-27,900
-49,653
-5,433
-16,758
-63,982
Jul 16, 2013
-85,762
-37,165
-37,446
-4,969
-20,043
Jul 09, 2013
-80,305
-40,900
-34,259
-1,776
-520
-20,795.7
-23,289.9
104.49
106.23
19,799
-1,846
-28,172.5
105.16
-70,686
11,366
-2,744
-29,228.3
106.13
-23,829
-63,255
8,035
-1,008
-28,021.9
106.83
Jul 02, 2013
-70,736
-16,090
-31,324
-116
-16,250
-70,515
2,847
-1,174
-22,189.4
108.21
Jun 25, 2013
-61,462
17,357
-19,429
2,464
-10,638
-61,644
4,981
-711
-12,967.3
106.85
Jun 18, 2013
-61,890
20,030
-20,416
5,791
-26,087
-63,521
20,949
2,126
-13,226.5
106.30
Jun 11, 2013
-72,906
-7,533
-53,687
-20,738
-35,907
-63,277
63,774
2,653
-25,859.6
103.20
Jun 04, 2013
-82,744
-51,621
-77,738
-25,803
-39,776
-58,550
82,871
6,013
-35,925.6
104.47
May 28, 2013
-99,769
-84,644
-74,525
-28,972
-33,359
-42,307
120,864
14,011
-38,408.3
106.12
May 21, 2013
-95,186
-80,949
-76,976
-19,930
-33,852
-32,409
136,863
17,782
-34,240.8
106.02
May 14, 2013
-88,407
-46,921
-65,355
-15,410
-44,417
-13,450
140,319
23,216
-24,488.3
106.45
May 07, 2013
-78,560
-33,533
-63,086
-6,235
-51,916
6,630
138,444
28,536
-18,339.9
104.92
Apr 30, 2013
-71,127
-30,149
-58,607
-8,264
-67,848
30,234
138,551
29,050
-16,123.4
103.03
Apr 23, 2013
-79,730
-34,275
-60,112
1,179
-71,679
31,257
146,911
27,705
-16,872.6
103.26
Apr 16, 2013
-93,411
-29,764
-61,975
-3,253
-75,913
53,175
151,288
30,808
-16,104.5
103.68
Apr 09, 2013
-77,697
-50,858
-69,969
-10,014
-71,133
77,879
142,542
25,149
-16,993.9
102.88
Apr 02, 2013
-78,171
-65,701
-65,020
-12,015
-64,544
83,971
142,755
18,387
-18,854.9
103.12
Mar 26, 2013
-89,149
-49,095
-66,555
-12,198
-62,645
85,515
128,162
16,916
-18,256.0
103.05
Mar 19, 2013
-79,993
-44,884
-61,480
-10,996
-65,331
54,055
109,376
12,477
-20,377.4
102.97
Mar 12, 2013
-93,763
-24,787
-49,800
-13,488
-53,397
23,266
113,770
19,350
-19,472.7
102.99
Mar 05, 2013
-73,351
-26,116
-43,849
-11,450
-46,663
7,149
93,521
19,044
Feb 26, 2013
-65,344
-9,394
-36,130
-8,191
-21,433
25,695
104,804
20,297
-18,230.3
-8,425.3
103.12
103.34
Feb 19, 2013
-65,891
19,103
-23,365
-675
19,379
43,981
116,165
24,693
5,027.0
102.43
Feb 12, 2013
-61,306
24,181
-16,776
4,552
26,565
54,114
124,579
21,338
9,755.3
101.22
Feb 05, 2013
-68,413
37,952
1,174
3,876
27,761
80,940
141,502
22,700
16,322.6
101.45
Jan 29, 2013
-71,246
27,472
10,622
4,148
35,057
85,296
148,871
21,816
16,722.2
100.11
Jan 22, 2013
-64,068
21,381
17,938
6,384
57,952
97,011
150,037
23,532
21,169.2
100.58
Jan 15, 2013
-65,727
7,315
28,338
12,770
68,668
89,057
151,665
22,262
20,705.8
100.41
Jan 08, 2013
-74,096
-8,035
25,949
10,261
64,005
80,315
139,523
19,220
14,386.1
99.74
Dec 31, 2012
-80,517
5,126
36,308
11,631
65,926
79,522
141,752
17,082
16,616.2
99.81
Dec 24, 2012
-85,608
-2,549
37,321
11,435
63,352
75,433
149,355
14,739
13,631.6
100.07
Dec 18, 2012
-89,163
-9,736
28,036
4,280
74,278
97,496
147,749
14,230
13,077.2
99.54
Dec 11, 2012
-94,401
-31,623
27,954
3,209
62,533
103,376
149,271
24,600
9,108.4
99.05
Dec 04, 2012
-90,326
-32,795
27,270
636
57,071
92,229
118,962
21,088
5,403.6
99.18
Nov 27, 2012
-79,466
-66,693
10,278
-3,367
62,379
76,806
93,858
18,710
-2,846.4
99.65
Nov 20, 2012
-51,389
-91,400
730
-12,488
61,446
64,711
86,787
17,858
-6,452.3
99.77
Nov 13, 2012
-30,447
-83,646
8,228
-8,888
66,119
68,146
96,994
19,194
533.1
100.64
Nov 06, 2012
-40,104
-67,141
19,279
-303
74,762
60,317
114,422
19,388
4,540.0
100.23
Oct 30, 2012
-37,020
-58,204
23,403
2,366
78,771
52,090
126,009
16,745
7,111.2
99.80
Oct 23, 2012
-18,196
-55,219
18,397
2,361
89,088
45,651
132,402
16,349
10,463.2
99.41
Oct 16, 2012
10,086
-53,495
19,599
-1,192
93,750
38,444
135,456
16,284
14,687.8
99.03
Oct 09, 2012
12,914
-72,570
22,572
-306
95,628
39,814
136,392
16,710
13,034.0
98.92
Oct 02, 2012
29,335
-50,265
30,094
-984
101,176
63,743
135,865
21,381
23,351.7
98.58
Sep 25, 2012
21,111
-50,238
27,137
-904
105,346
89,562
141,256
19,965
25,089.2
98.89
Sep 18, 2012
15,476
-73,482
14,412
-4,527
111,881
69,246
118,147
16,605
16,101.3
98.29
Sep 11, 2012
32,773
-93,658
-4,366
-8,967
101,860
68,259
122,243
10,032
11,525.0
97.67
Sep 04, 2012
24,007
-102,306
-6,868
-13,112
66,555
62,439
90,881
11,401
2,773.1
99.25
Aug 28, 2012
21,556
-101,561
1,968
-11,461
60,936
78,072
94,626
14,229
5,087.9
100.25
Aug 21, 2012
11,171
-123,932
7,833
-15,662
50,867
86,882
97,981
16,372
310.8
100.43
Aug 14, 2012
30,704
-137,810
-288
-18,854
28,593
66,679
83,511
15,247
-4,581.4
101.29
Aug 07, 2012
27,539
-131,711
-8,275
-17,915
19,122
52,894
69,378
14,588
-7,600.1
100.83
Jul 31, 2012
32,254
-138,994
-1,810
-18,808
12,449
37,235
47,556
10,347
-11,155.4
100.71
Jul 24, 2012
25,061
-155,066
-2,934
-25,945
-2,432
26,443
49,662
7,779
-18,598.1
101.14
Jul 17, 2012
11,121
-167,249
-7,453
-23,090
-1,208
13,931
34,989
6,939
Jul 10, 2012
8,952
-165,705
-7,622
-17,584
4,338
19,065
25,222
5,591
Jul 03, 2012
4,175
-146,177
-5,353
-19,060
8,698
9,348
17,475
4,320
-24,105.9
-23,153.5
-21,945.8
Jun 26, 2012
4,542
-159,880
-758
-23,836
9,277
-2,159
-7,647
576
-27,369.1
Jun 19, 2012
15,137
-141,066
-17,153
-7,007
8,201
-3,458
-14,674
-2,213
Jun 12, 2012
12,307
-195,187
-23,112
-33,301
9,620
-45,459
-22,004
-3,885
-22,609.5
-40,265.2
102.38
101.63
Jun 05, 2012
12,073
-214,418
-2,867
-33,648
14,906
-51,172
-30,396
-5,530
-41,316.2
103.00
May 29, 2012
-11,330
-203,415
1,475
-30,596
34,085
-35,527
-12,995
-5,208
-38,195.4
103.57
May 22, 2012
-18,015
-195,361
11,340
-34,851
38,555
-16,898
-16,116
-1,509
May 15, 2012
-34,315
-173,869
25,021
-26,694
51,005
4,734
14,445
2,597
-35,407.5
-27,952.4
102.97
101.93
May 08, 2012
-41,093
-143,984
25,339
-16,494
60,095
25,104
36,928
6,224
-18,985.3
100.50
May 01, 2012
-50,173
-106,990
16,493
-14,311
70,223
52,280
42,045
8,025
-11,029.5
99.40
Apr 24, 2012
-55,903
-113,367
7,536
-16,641
44,224
46,041
40,208
9,486
-17,350.6
98.19
Apr 17, 2012
-57,803
-118,125
-13,051
-13,762
38,028
48,421
46,101
11,939
-19,991.5
99.05
Apr 10, 2012
-66,084
-101,364
-18,784
-9,919
27,967
39,429
68,600
7,170
-19,866.3
99.48
Apr 03, 2012
-65,108
-79,480
-8,807
-14,676
29,487
49,319
84,503
5,846
-14,078.1
99.54
Mar 27, 2012
-67,622
-89,129
-11,110
-15,096
23,737
59,574
82,833
3,984
-16,201.9
98.84
Mar 20, 2012
-25,821
-82,954
-15,852
-11,191
42,315
45,191
24,329
4,210
-10,526.7
98.95
Mar 13, 2012
-42,380
-99,336
-41,848
-14,798
26,721
66,756
78,892
13,223
-14,910.5
99.05
Mar 06, 2012
-19,358
-116,473
-37,099
-19,478
26,032
61,720
66,347
16,788
-15,080.0
98.98
Feb 28, 2012
-1,203
-109,674
-23,235
-19,391
22,480
78,201
60,750
22,114
-8,332.4
98.29
Feb 21, 2012
17,257
-142,159
-31,350
-19,846
14,112
74,700
49,425
24,211
-13,781.9
97.71
Feb 14, 2012
29,459
-148,641
-40,599
-15,863
9,566
73,741
41,239
23,870
-13,522.8
98.19
Feb 07, 2012
55,171
-140,593
-33,122
-9,795
2,184
75,095
34,107
23,335
-7,380.5
97.82
Jan 31, 2012
56,669
-157,546
-26,214
-11,222
-19,409
78,044
21,481
14,797
-12,226.7
97.49
Jan 24, 2012
44,367
-171,347
-31,361
-12,514
-18,909
69,486
7,418
12,932
-18,954.7
97.74
Jan 17, 2012
58,862
-160,030
-41,634
-12,822
-28,730
54,306
-17,328
9,455
-19,141.4
99.23
Jan 10, 2012
59,657
-155,195
-35,853
-12,097
-28,649
53,526
-22,332
5,029
-17,628.1
100.79
Jan 03, 2012
56,481
-138,909
-31,899
-12,355
-23,371
46,537
-25,829
2,436
-15,881.7
100.87
Dec 27, 2011
22,585
-127,879
-29,172
-10,798
-21,812
32,637
-25,685
1,405
-20,949.8
100.15
Dec 20, 2011
24,476
-113,697
-25,939
-3,136
-26,868
25,742
-18,802
612
-18,222.6
100.31
Dec 13, 2011
35,600
-116,457
-39,509
-10,481
-13,385
34,429
-22,894
5,383
-16,992.8
100.11
Dec 06, 2011
38,271
-95,814
-43,560
-11,158
-20,171
29,824
-20,862
3,857
-15,027.3
99.19
Nov 29, 2011
40,547
-104,302
-46,660
-9,327
-26,869
12,542
-36,240
3,718
-19,163.4
99.06
Nov 22, 2011
43,180
-85,068
-36,634
-5,870
-22,144
17,960
-31,582
7,916
-12,411.3
100.99
Nov 15, 2011
33,680
-76,147
-32,864
-1,904
-17,215
24,330
-15,021
10,614
-9,879.4
98.99
Nov 08, 2011
28,077
-54,257
-29,122
2,162
-15,568
27,016
-18,067
11,550
-5,986.7
97.14
Nov 01, 2011
25,904
-60,060
-47,092
-1,746
-14,820
25,866
-26,588
10,655
-10,069.0
97.62
Oct 25, 2011
54,279
-76,512
-50,147
-1,203
-17,923
23,071
-27,055
9,219
-9,417.3
94.88
Oct 18, 2011
26,907
-77,720
-53,226
-2,243
-24,795
20,353
-24,129
8,225
-15,262.4
96.92
Oct 11, 2011
35,119
-73,795
-61,972
13
-24,913
10,753
-24,878
6,838
-14,776.0
97.90
Oct 04, 2011
43,462
-82,697
-68,724
-1,109
-15,682
12,911
-25,431
5,566
-14,526.2
99.08
Sep 27, 2011
42,322
-82,473
-64,010
2,424
-20,550
5,167
-20,626
9,591
-14,400.4
99.82
Sep 20, 2011
45,617
-79,460
-59,755
4,221
-5,458
23,095
-16,890
13,565
-8,888.6
99.70
Sep 13, 2011
34,955
-54,459
-26,193
5,493
-6,303
36,934
-1,209
17,664
-890.1
96.41
Sep 06, 2011
32,787
-36,443
-13,220
7,549
2,081
48,041
13,246
17,670
Aug 30, 2011
41,185
-384
444
9,342
13,939
47,569
20,880
16,565
6,033.0
16,882.1
96.65
94.15
Aug 23, 2011
47,139
2,539
10,961
9,637
8,804
43,574
21,835
16,876
18,555.8
93.76
Aug 16, 2011
47,348
6,726
-3,096
9,008
4,121
29,723
22,634
18,417
16,030.3
93.72
Aug 09, 2011
42,149
-8,273
245
4,655
23,704
29,016
41,293
20,427
14,949.6
94.35
Aug 02, 2011
58,833
1,763
5,139
12,341
41,037
75,598
88,484
24,126
29,933.5
94.55
Jul 26, 2011
51,302
17,038
1,222
7,877
36,141
81,438
91,913
23,291
31,453.7
92.39
Jul 19, 2011
42,155
9,246
-6,714
11,494
27,764
77,795
89,266
21,438
26,515.6
92.97
Jul 12, 2011
28,288
12,416
-24,801
8,081
15,334
67,623
98,447
19,584
20,071.6
94.06
Jul 05, 2011
14,327
43,194
-31,669
5,291
6,821
63,336
82,944
18,986
20,199.8
94.31
Jun 28, 2011
13,623
32,987
-18,349
9,948
-1,863
46,897
46,077
18,364
16,082.3
93.81
Jun 21, 2011
32,594
29,771
-11,360
11,813
2,204
54,571
41,423
18,849
20,184.9
95.37
Jun 14, 2011
24,768
49,894
11,226
13,287
18,855
67,670
48,163
19,218
28,578.0
94.70
Jun 07, 2011
17,631
51,836
-1,750
16,865
13,522
65,205
90,198
16,004
27,788.6
94.53
May 31, 2011
-1,648
21,970
-1,829
21,119
26,402
60,015
108,268
15,724
21,801.8
93.59
May 24, 2011
8,006
19,129
-14,143
14,725
21,277
53,043
108,681
13,876
19,004.8
94.50
May 17, 2011
15,373
41,645
-928
15,661
26,291
50,919
104,912
12,624
25,487.9
95.26
May 10, 2011
13,054
61,447
18,118
16,336
37,203
60,321
118,065
13,714
33,311.9
95.39
May 03, 2011
-18,819
99,516
30,807
18,381
54,041
73,421
124,260
12,800
40,804.9
93.90
Apr 26, 2011
-36,997
68,279
33,583
17,841
59,063
80,867
131,806
11,457
34,829.0
92.64
Apr 19, 2011
-52,983
62,195
30,175
17,374
65,035
84,961
134,129
9,339
31,258.2
94.09
Apr 12, 2011
-52,877
64,985
26,671
14,657
63,741
90,651
124,846
6,336
30,590.3
95.10
Apr 05, 2011
-43,231
59,857
32,414
10,843
65,030
90,938
119,062
2,695
30,870.9
95.67
Mar 29, 2011
7,052
56,630
743
18,957
51,245
85,565
88,075
239
31,701.9
96.46
Mar 22, 2011
34,525
48,353
29,724
21,301
45,977
51,734
87,548
-1,482
33,210.0
96.75
Mar 15, 2011
30,230
46,316
-225
27,640
56,991
47,951
121,575
-2,809
32,060.1
96.97
Mar 08, 2011
16,656
62,294
33,906
23,661
77,544
73,695
113,165
4,346
40,477.9
97.31
Mar 01, 2011
41,274
51,308
25,809
18,017
72,827
71,853
97,202
7,411
39,647.5
97.25
Feb 22, 2011
-27,746
45,598
36,009
12,291
68,348
66,064
114,276
8,101
Feb 15, 2011
-18,548
32,464
52,572
10,518
72,090
65,514
109,096
9,810
27,898.0
28,758.0
97.72
98.21
Feb 08, 2011
36,731
34,734
24,475
8,181
39,790
71,979
103,812
10,857
31,259.0
99.07
Feb 01, 2011
31,481
39,934
22,659
10,441
33,814
60,077
103,117
10,270
29,052.3
101.12
Jan 25, 2011
32,218
22,901
7,888
6,594
31,719
45,458
95,245
8,627
22,734.3
98.82
Jan 18, 2011
20,529
4,109
5,794
6,992
44,055
53,508
90,202
11,247
19,610.2
98.98
Jan 11, 2011
24,736
-45,182
-5,090
10,818
47,757
53,497
83,572
9,620
11,394.7
99.62
Jan 04, 2011
39,065
-24,201
-14,133
13,032
38,348
62,513
74,310
10,731
16,208.8
100.85
Dec 28, 2010
29,641
-26,479
-13,121
14,002
34,787
64,316
82,246
8,115
14,525.2
99.95
Dec 21, 2010
12,529
-14,093
-7,432
12,527
24,948
60,550
78,002
7,366
12,701.1
100.79
Dec 14, 2010
12,735
-10,304
-8,186
10,716
33,396
53,778
77,168
12,521
13,445.7
101.01
Dec 07, 2010
23,288
-15,290
-12,920
8,987
33,722
43,352
59,482
18,261
12,178.3
100.80
Nov 30, 2010
30,006
-7,248
-4,864
7,824
19,155
26,643
78,906
18,445
12,911.1
100.89
Nov 23, 2010
27,192
-8,293
10,197
8,511
22,499
28,471
87,246
21,069
14,752.9
101.52
Nov 16, 2010
22,858
8,606
23,771
7,803
38,441
36,202
93,217
23,445
21,214.1
99.58
Nov 09, 2010
36,654
23,283
21,266
12,615
37,338
47,616
88,746
22,250
27,074.5
98.92
Nov 02, 2010
46,455
38,610
15,182
12,465
23,365
51,180
82,272
19,148
29,492.9
Oct 26, 2010
43,129
40,505
5,089
12,519
19,875
55,115
80,143
15,871
27,624.1
98.63
Oct 19, 2010
45,856
46,748
5,796
11,235
30,740
59,181
82,125
15,331
30,456.0
98.97
Oct 12, 2010
48,285
41,511
8,066
19,947
43,786
67,691
86,218
16,573
33,787.9
102.07
102.25
102.48
101.13
97.28
98.44
Oct 05, 2010
49,206
48,243
9,403
22,599
42,678
69,036
85,764
16,334
35,451.7
98.76
Sep 28, 2010
28,666
35,330
-2,194
19,993
27,870
69,533
66,591
17,270
26,133.3
99.96
Sep 21, 2010
23,100
5,097
-8,989
14,462
29,815
64,324
26,376
18,408
16,671.0
101.26
Sep 14, 2010
47,642
-9,644
-9,127
14,236
17,695
56,669
14,957
16,839
15,079.1
103.31
Sep 07, 2010
52,183
-23,699
-16,068
16,627
452
56,966
14,064
9,377
11,020.6
104.26
Aug 31, 2010
49,904
-25,569
-15,266
14,281
-4,764
43,808
21,004
6,957
8,394.0
104.71
Aug 24, 2010
51,069
-21,603
-4,365
13,868
16,147
47,017
59,370
10,683
14,127.1
105.60
Aug 17, 2010
49,969
-14,627
-4,431
11,750
29,514
57,697
70,553
12,139
17,526.9
105.52
Aug 10, 2010
52,478
-3,731
5,021
10,901
41,179
54,370
72,369
12,544
21,333.5
105.39
Aug 03, 2010
47,998
-7,297
-250
16,223
34,182
48,715
55,141
15,059
18,823.1
102.88
Jul 27, 2010
29,921
-21,339
-17,940
6,216
23,868
40,533
45,318
13,674
8,597.6
104.03
Jul 20, 2010
40,911
-24,251
-26,767
15,113
16,424
32,886
35,886
8,973
7,743.9
105.10
Jul 13, 2010
47,359
-27,050
-34,671
14,590
22,038
23,480
28,135
5,452
6,512.8
105.88
Jul 06, 2010
37,926
-38,909
-38,077
-7,455
8,094
7,246
22,725
2,577
Jun 29, 2010
27,427
-73,670
-34,771
-12,848
15,894
12,854
42,496
2,486
-2,772.8
-8,097.4
Average
-4,485
-42,355
-11,587
-504
19,146
41,328
66,707
12,430
100.00
Std. Deviation
FX Rate Index
49,628
18.89%
68,855
30.71%
29,363
7.24%
13,753
4.62%
39,560
10.83%
39,861
15.91%
54,230
8.72%
7,998
3.08%
3.50
100.00%
106.76
108.18
CFTC Non-Commercial Only Future Contracts Position in the IMM

Contracts of
FX
12,500,000
125,000
62,500
125,000
100,000
100,000
500,000
100,000
USD
CFTC data
Aug 6
Non-Commercial Positions - International Monetary Market Report date

Jul 23
Jul 16
Jul 9
Jul 2
Jul 30
Jun 25
Jun 18
129,614 JAPANESE YEN

Long
Short
Net
19,421
99,634
-80,213
18,216
100,351
-82,135
22,513
110,009
-87,496
20,220
105,982
-85,762
25,117
105,422
-80,305
27,336
98,072
-70,736
24,376
85,838
-61,462
23,010
84,900
-61,890
Long
Short
Net
85,239
79,178
6,061
78,211
86,715
-8,504
63,130
91,030
-27,900
53,228
90,393
-37,165
52,159
93,059
-40,900
59,270
75,360
-16,090
87,192
69,835
17,357
91,304
71,274
20,030
Long
Short
Net
22,097
68,130
-46,033
20,155
69,618
-49,463
19,135
68,788
-49,653
24,634
62,080
-37,446
31,311
65,570
-34,259
32,562
63,886
-31,324
34,419
53,848
-19,429
47,377
67,793
-20,416
8,756
9,081
-325
9,531
10,792
-1,261
6,339
11,772
-5,433
10,754
15,723
-4,969
12,307
14,083
-1,776
8,919
9,035
-116
9,932
7,468
2,464
14,977
9,186
5,791
22,629
33,065
-10,436
20,729
32,163
-11,434
22,262
39,020
-16,758
32,187
52,230
-20,043
37,260
61,089
-23,829
35,398
51,648
-16,250
27,186
37,824
-10,638
15,470
41,557
-26,087
16,566
93,345
-76,779
19,527
92,100
-72,573
17,344
81,326
-63,982
19,222
89,908
-70,686
20,955
84,210
-63,255
21,521
92,036
-70,515
21,403
83,047
-61,644
28,769
92,290
-63,521
62,230
30,105
32,125
61,049
36,161
24,888
55,501
35,702
19,799
40,809
29,443
11,366
31,282
23,247
8,035
27,516
24,669
2,847
31,068
26,087
4,981
43,007
22,058
20,949
4,595
6,134
-1,539
5,593
6,113
-520
4,517
6,363
-1,846
4,224
6,968
-2,744
5,390
6,398
-1,008
5,288
6,462
-1,174
5,377
6,088
-711
8,469
6,343
2,126
$2,287
-$23,083
-$20,796
$987
-$24,844
-$23,856
$785
-$29,202
-$28,417
$451
-$30,284
-$29,833
$319
-$29,006
-$28,687
$113
-$23,050
-$22,937
$3,434
-$16,593
-$13,159
$5,136
-$18,360
-$13,224
167,163 EURO
97,044 POUND STERLING
135,870 SWISS FRANC

Long
Short
Net
97,172 CANADIAN DOLLAR
Long
Short
Net
91,659 AUSTRALIAN DOLLAR
Long
Short
Net
39,664 MEXICAN PESO
Long
Short
Net
80,173 NEW ZEALAND
Long
Short
Net
Aggregate $ millon at Aug 9
Net long
Net short
Aggregated net positions
FX Rates of Friday
Aug 10, 12
Sep 14, 12
Sep 28, 12
USD/JPY
EUR/USD
GBP/USD
USD/CHF
USD/CAD
USD/AUD
78.2411
78.2167
77.9180
1.2298
1.3141
1.2856
1.5678
1.6244
1.6132
0.9764
0.9251
0.9400
0.9917
0.9710
0.9835
0.9463
0.9470
0.9627
USD/MXN
13.0976
12.7421
12.8645
USD/NZD
1.2308
1.2063
1.2060
Jan 4, 13
87.3210
1.3185
1.6253
0.9179
0.9858
0.9521
12.7449
1.1993
Feb 1, 13
91.7431
1.3611
1.5872
0.9088
0.9976
0.9605
12.6368
1.1816
Apr 12, 13
98.9800
1.3094
1.5373
0.9290
1.0134
0.9521
12.0871
1.1666
May 17, 13
102.9800
1.2818
1.5173
0.9731
1.0268
1.0270
12.3153
1.2373
Jun 21, 13
97.4800
1.3113
1.5373
0.9354
1.0467
1.0880
13.4147
1.2965
Jul 5, 13
100.9400
1.2831
1.4910
0.9624
1.0566
1.1025
13.0440
1.2968
Jul 12, 13
99.3900
1.3048
1.5108
0.9468
1.0393
1.1051
12.8295
1.2852
Jul 19, 13
100.3000
1.3142
1.5260
0.9401
1.0362
1.0870
12.5525
1.2585
Jul 26, 13
98.2400
1.3269
1.5368
0.9289
1.0292
1.0820
12.7120
1.2389
Aug 2, 13
99.0400
1.3268
1.5277
0.9293
1.0379
1.1235
12.6805
1.2783
Aug 9, 13
96.4400
1.3373
1.5527
0.9200
1.0291
1.0910
12.6060
1.2473
52-Friday Average
89.9222
1.3030
1.5655
0.9379
1.0082
0.9906
12.7468
1.2207
Std. Dev. 52-Fri. Avg
9.59%
1.97%
2.58%
1.67%
2.13%
5.18%
2.42%
2.61%
Last Friday Yr/Yr
-18.87%
8.74%
-0.96%
6.13%
-3.63%
-13.27%
3.90%
-1.33%
Chg 52-week lower

chg from 52-week high
6.78%
-19.21%
8.74%
-1.75%
4.14%
-4.47%
6.13%
-1.22%
2.67%
-5.65%
2.98%
-13.27%
6.42%
-4.12%
3.97%
-6.47%

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Number of Only Future Contracts - Non-Commercial Large (Short) Net Positions

Aggregated Net Position

Aug 06, 2013

Jul 30, 2013

Jul 23, 2013

Jul 16, 2013

Jul 09, 2013

Jul 02, 2013

Jun 25, 2013

Jun 18, 2013

Jun 11, 2013

Jun 04, 2013

May 28, 2013

May 21, 2013

May 14, 2013

May 07, 2013

Apr 30, 2013

Apr 23, 2013

Apr 16, 2013

Apr 09, 2013

Apr 02, 2013

Mar 26, 2013

Mar 19, 2013

Mar 12, 2013

Mar 05, 2013

Feb 26, 2013

Feb 19, 2013

Feb 12, 2013

Feb 05, 2013

Jan 29, 2013

Jan 22, 2013

Jan 15, 2013

Jan 08, 2013

Dec 31, 2012

Dec 24, 2012

Dec 18, 2012

Dec 11, 2012

Dec 04, 2012

Nov 27, 2012

Nov 20, 2012

Nov 13, 2012

Nov 06, 2012

Oct 30, 2012

Oct 23, 2012

Oct 16, 2012

Oct 09, 2012

Oct 02, 2012

Sep 25, 2012

Sep 18, 2012

Sep 11, 2012

Sep 04, 2012

Aug 28, 2012

Aug 21, 2012

Aug 14, 2012

Aug 07, 2012

Jul 31, 2012

Jul 24, 2012

Jul 17, 2012

Jul 10, 2012

Jul 03, 2012

Jun 26, 2012

Jun 19, 2012

Jun 12, 2012