By InvestMacro
Here are the latest charts and statistics for the Commitment of Traders (COT) data published by the Commodities Futures Trading Commission (CFTC).
The latest COT data is updated through Tuesday April 4th and shows a quick view of how large market participants (for-profit speculators and commercial traders) were positioned in the futures markets. All currency positions are in direct relation to the US dollar where, for example, a bet for the euro is a bet that the euro will rise versus the dollar while a bet against the euro will be a bet that the euro will decline versus the dollar.
Weekly Speculator Changes led by British Pound & Mexican Peso
The COT currency market speculator bets were lower this week as five out of the eleven currency markets we cover had higher positioning while the other six markets had lower speculator contracts.
Leading the gains for the currency markets was the British Pound (9,291 contracts) with the Mexican Peso (8,634 contracts), Australian Dollar (8,120 contracts), New Zealand Dollar (2,579 contracts), US Dollar Index (1,387 contracts) and the Brazilian Real (-9,480 contracts) also showing positive weeks.
The currencies seeing declines in speculator bets on the week were the EuroFX (-1,632 contracts) with the Canadian Dollar (-1,684 contracts), the Swiss Franc (-1,929 contracts), Japanese Yen (-3,061 contracts) and Bitcoin (-339 contracts) also registering lower bets on the week.
Large Currency Speculators drop their Canadian dollar bets to 220-week low
Highlighting the COT currency’s data this week is the continued bearishness of the speculator’s positioning in the Canadian dollar.
Large speculative Canadian dollar positions fell this week for the fourth consecutive week and for the seventh time in the past nine weeks. Speculators have now added a total of -29,307 net contracts to the overall bearish position in just the last four weeks. This bearishness has pushed the CAD speculator net position (currently at -58,509 contracts) to the most bearish level of the past 220 weeks, dating back to January 15th of 2019.
Hurting the Canadian dollar’s appeal has been the recent pause in interest rate rises by the Bank of Canada (after 8 rate hikes previously) as well as the slide in the price of Crude Oil. The Canadian dollar’s exchange rate versus the US dollar has been in a downtrend since hitting a multi-year high in May of 2022 at over 0.8280. The CAD front month futures price closed this week at the 0.7431 exchange and has now risen for two straight weeks.
| Apr-04-2023 | OI | OI-Index | Spec-Net | Spec-Index | Com-Net | COM-Index | Smalls-Net | Smalls-Index |
|---|---|---|---|---|---|---|---|---|
| USD Index | 32,076 | 28 | 14,106 | 48 | -16,154 | 50 | 2,048 | 39 |
| EUR | 747,095 | 74 | 143,393 | 74 | -194,787 | 25 | 51,394 | 61 |
| GBP | 224,690 | 52 | -14,793 | 56 | 8,881 | 40 | 5,912 | 70 |
| JPY | 178,828 | 35 | -57,036 | 34 | 52,266 | 61 | 4,770 | 63 |
| CHF | 37,177 | 26 | -8,003 | 33 | 10,822 | 63 | -2,819 | 48 |
| CAD | 169,138 | 43 | -58,509 | 0 | 58,148 | 96 | 361 | 24 |
| AUD | 151,242 | 50 | -27,233 | 60 | 36,837 | 46 | -9,604 | 29 |
| NZD | 36,080 | 24 | -4,031 | 43 | 2,697 | 53 | 1,334 | 67 |
| MXN | 250,403 | 55 | 57,913 | 92 | -63,177 | 8 | 5,264 | 89 |
| RUB | 20,930 | 4 | 7,543 | 31 | -7,150 | 69 | -393 | 24 |
| BRL | 35,244 | 19 | 14,003 | 54 | -15,562 | 46 | 1,559 | 56 |
| Bitcoin | 13,380 | 61 | -615 | 66 | -183 | 0 | 798 | 31 |
Strength Scores led by Mexican Peso & EuroFX
COT Strength Scores (a normalized measure of Speculator positions over a 3-Year range, from 0 to 100 where above 80 is Extreme-Bullish and below 20 is Extreme-Bearish) showed that the Mexican Peso (92 percent) and the EuroFX (74 percent) lead the currency markets this week. The Bitcoin (66 percent), Australian Dollar (60 percent) and the British Pound (56 percent) come in as the next highest in the weekly strength scores.
On the downside, the Canadian Dollar (0 percent) comes in at the lowest strength levels currently and is in Extreme-Bearish territory (below 20 percent).
Strength Statistics:
US Dollar Index (48.5 percent) vs US Dollar Index previous week (46.1 percent)
EuroFX (73.7 percent) vs EuroFX previous week (74.3 percent)
British Pound Sterling (56.3 percent) vs British Pound Sterling previous week (48.3 percent)
Japanese Yen (33.7 percent) vs Japanese Yen previous week (35.6 percent)
Swiss Franc (33.4 percent) vs Swiss Franc previous week (38.5 percent)
Canadian Dollar (0.0 percent) vs Canadian Dollar previous week (1.6 percent)
Australian Dollar (59.6 percent) vs Australian Dollar previous week (52.1 percent)
New Zealand Dollar (42.7 percent) vs New Zealand Dollar previous week (35.7 percent)
Mexican Peso (92.5 percent) vs Mexican Peso previous week (85.9 percent)
Brazilian Real (53.6 percent) vs Brazilian Real previous week (65.7 percent)
Bitcoin (66.2 percent) vs Bitcoin previous week (72.1 percent)
Mexican Peso & British Pound top the 6-Week Strength Trends
COT Strength Score Trends (or move index, calculates the 6-week changes in strength scores) showed that the Mexican Peso (72 percent) and the British Pound (6 percent) lead the past six weeks trends for the currencies. The US Dollar Index (3 percent) and Bitcoin (3 percent) are the next highest positive movers in the latest trends data.
The New Zealand Dollar (-35 percent) leads the downside trend scores currently with the Brazilian Real (-21 percent), Canadian Dollar (-20 percent) and the Japanese Yen (-14 percent) following next with lower trend scores.
Strength Trend Statistics:
US Dollar Index (3.2 percent) vs US Dollar Index previous week (1.2 percent)
EuroFX (-8.4 percent) vs EuroFX previous week (-7.3 percent)
British Pound Sterling (5.7 percent) vs British Pound Sterling previous week (-3.7 percent)
Japanese Yen (-14.2 percent) vs Japanese Yen previous week (-16.1 percent)
Swiss Franc (-3.9 percent) vs Swiss Franc previous week (3.7 percent)
Canadian Dollar (-19.6 percent) vs Canadian Dollar previous week (-19.9 percent)
Australian Dollar (-2.3 percent) vs Australian Dollar previous week (-6.0 percent)
New Zealand Dollar (-34.7 percent) vs New Zealand Dollar previous week (-42.3 percent)
Mexican Peso (71.8 percent) vs Mexican Peso previous week (67.4 percent)
Brazilian Real (-21.0 percent) vs Brazilian Real previous week (-10.8 percent)
Bitcoin (3.4 percent) vs Bitcoin previous week (8.8 percent)
Individual COT Forex Markets:
US Dollar Index Futures:
The US Dollar Index large speculator standing this week reached a net position of 14,106 contracts in the data reported through Tuesday. This was a weekly advance of 1,387 contracts from the previous week which had a total of 12,719 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 48.5 percent. The commercials are Bullish with a score of 50.1 percent and the small traders (not shown in chart) are Bearish with a score of 38.9 percent.
| US DOLLAR INDEX Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 79.7 | 1.5 | 14.7 |
| – Percent of Open Interest Shorts: | 35.8 | 51.8 | 8.3 |
| – Net Position: | 14,106 | -16,154 | 2,048 |
| – Gross Longs: | 25,574 | 473 | 4,703 |
| – Gross Shorts: | 11,468 | 16,627 | 2,655 |
| – Long to Short Ratio: | 2.2 to 1 | 0.0 to 1 | 1.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 48.5 | 50.1 | 38.9 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 3.2 | 0.8 | -26.2 |
Euro Currency Futures:
The Euro Currency large speculator standing this week reached a net position of 143,393 contracts in the data reported through Tuesday. This was a weekly decline of -1,632 contracts from the previous week which had a total of 145,025 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 73.7 percent. The commercials are Bearish with a score of 24.7 percent and the small traders (not shown in chart) are Bullish with a score of 61.0 percent.
| EURO Currency Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 30.2 | 55.6 | 12.3 |
| – Percent of Open Interest Shorts: | 11.0 | 81.6 | 5.4 |
| – Net Position: | 143,393 | -194,787 | 51,394 |
| – Gross Longs: | 225,416 | 415,104 | 91,568 |
| – Gross Shorts: | 82,023 | 609,891 | 40,174 |
| – Long to Short Ratio: | 2.7 to 1 | 0.7 to 1 | 2.3 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 73.7 | 24.7 | 61.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -8.4 | 6.4 | 4.2 |
British Pound Sterling Futures:
The British Pound Sterling large speculator standing this week reached a net position of -14,793 contracts in the data reported through Tuesday. This was a weekly rise of 9,291 contracts from the previous week which had a total of -24,084 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 56.3 percent. The commercials are Bearish with a score of 40.1 percent and the small traders (not shown in chart) are Bullish with a score of 69.6 percent.
| BRITISH POUND Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 20.7 | 59.5 | 13.9 |
| – Percent of Open Interest Shorts: | 27.2 | 55.6 | 11.3 |
| – Net Position: | -14,793 | 8,881 | 5,912 |
| – Gross Longs: | 46,415 | 133,802 | 31,247 |
| – Gross Shorts: | 61,208 | 124,921 | 25,335 |
| – Long to Short Ratio: | 0.8 to 1 | 1.1 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 56.3 | 40.1 | 69.6 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | 5.7 | -19.5 | 43.4 |
Japanese Yen Futures:
The Japanese Yen large speculator standing this week reached a net position of -57,036 contracts in the data reported through Tuesday. This was a weekly reduction of -3,061 contracts from the previous week which had a total of -53,975 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.7 percent. The commercials are Bullish with a score of 61.2 percent and the small traders (not shown in chart) are Bullish with a score of 63.1 percent.
| JAPANESE YEN Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 6.4 | 74.6 | 18.0 |
| – Percent of Open Interest Shorts: | 38.3 | 45.3 | 15.3 |
| – Net Position: | -57,036 | 52,266 | 4,770 |
| – Gross Longs: | 11,523 | 133,327 | 32,150 |
| – Gross Shorts: | 68,559 | 81,061 | 27,380 |
| – Long to Short Ratio: | 0.2 to 1 | 1.6 to 1 | 1.2 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 33.7 | 61.2 | 63.1 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -14.2 | 2.6 | 35.8 |
Swiss Franc Futures:
The Swiss Franc large speculator standing this week reached a net position of -8,003 contracts in the data reported through Tuesday. This was a weekly reduction of -1,929 contracts from the previous week which had a total of -6,074 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 33.4 percent. The commercials are Bullish with a score of 62.8 percent and the small traders (not shown in chart) are Bearish with a score of 48.0 percent.
| SWISS FRANC Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 8.0 | 53.9 | 32.9 |
| – Percent of Open Interest Shorts: | 29.5 | 24.8 | 40.5 |
| – Net Position: | -8,003 | 10,822 | -2,819 |
| – Gross Longs: | 2,958 | 20,038 | 12,249 |
| – Gross Shorts: | 10,961 | 9,216 | 15,068 |
| – Long to Short Ratio: | 0.3 to 1 | 2.2 to 1 | 0.8 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 33.4 | 62.8 | 48.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -3.9 | -2.0 | 9.2 |
Canadian Dollar Futures:
The Canadian Dollar large speculator standing this week reached a net position of -58,509 contracts in the data reported through Tuesday. This was a weekly lowering of -1,684 contracts from the previous week which had a total of -56,825 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish-Extreme with a score of 0.0 percent. The commercials are Bullish-Extreme with a score of 95.7 percent and the small traders (not shown in chart) are Bearish with a score of 23.6 percent.
| CANADIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 9.8 | 70.2 | 18.4 |
| – Percent of Open Interest Shorts: | 44.4 | 35.9 | 18.2 |
| – Net Position: | -58,509 | 58,148 | 361 |
| – Gross Longs: | 16,607 | 118,790 | 31,176 |
| – Gross Shorts: | 75,116 | 60,642 | 30,815 |
| – Long to Short Ratio: | 0.2 to 1 | 2.0 to 1 | 1.0 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 0.0 | 95.7 | 23.6 |
| – Strength Index Reading (3 Year Range): | Bearish-Extreme | Bullish-Extreme | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -19.6 | 12.5 | 5.8 |
Australian Dollar Futures:
The Australian Dollar large speculator standing this week reached a net position of -27,233 contracts in the data reported through Tuesday. This was a weekly boost of 8,120 contracts from the previous week which had a total of -35,353 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish with a score of 59.6 percent. The commercials are Bearish with a score of 46.4 percent and the small traders (not shown in chart) are Bearish with a score of 29.0 percent.
| AUSTRALIAN DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 30.9 | 53.1 | 12.9 |
| – Percent of Open Interest Shorts: | 48.9 | 28.7 | 19.3 |
| – Net Position: | -27,233 | 36,837 | -9,604 |
| – Gross Longs: | 46,687 | 80,257 | 19,523 |
| – Gross Shorts: | 73,920 | 43,420 | 29,127 |
| – Long to Short Ratio: | 0.6 to 1 | 1.8 to 1 | 0.7 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 59.6 | 46.4 | 29.0 |
| – Strength Index Reading (3 Year Range): | Bullish | Bearish | Bearish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -2.3 | 8.8 | -22.8 |
New Zealand Dollar Futures:
The New Zealand Dollar large speculator standing this week reached a net position of -4,031 contracts in the data reported through Tuesday. This was a weekly rise of 2,579 contracts from the previous week which had a total of -6,610 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bearish with a score of 42.7 percent. The commercials are Bullish with a score of 52.8 percent and the small traders (not shown in chart) are Bullish with a score of 67.0 percent.
| NEW ZEALAND DOLLAR Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 39.6 | 47.3 | 12.5 |
| – Percent of Open Interest Shorts: | 50.8 | 39.8 | 8.8 |
| – Net Position: | -4,031 | 2,697 | 1,334 |
| – Gross Longs: | 14,280 | 17,050 | 4,501 |
| – Gross Shorts: | 18,311 | 14,353 | 3,167 |
| – Long to Short Ratio: | 0.8 to 1 | 1.2 to 1 | 1.4 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 42.7 | 52.8 | 67.0 |
| – Strength Index Reading (3 Year Range): | Bearish | Bullish | Bullish |
| NET POSITION MOVEMENT INDEX: | |||
| – 6-Week Change in Strength Index: | -34.7 | 27.6 | 12.6 |
Mexican Peso Futures:
The Mexican Peso large speculator standing this week reached a net position of 57,913 contracts in the data reported through Tuesday. This was a weekly boost of 8,634 contracts from the previous week which had a total of 49,279 net contracts.
This week’s current strength score (the trader positioning range over the past three years, measured from 0 to 100) shows the speculators are currently Bullish-Extreme with a score of 92.5 percent. The commercials are Bearish-Extreme with a score of 8.1 percent and the small traders (not shown in chart) are Bullish-Extreme with a score of 88.7 percent.
| MEXICAN PESO Statistics | SPECULATORS | COMMERCIALS | SMALL TRADERS |
| – Percent of Open Interest Longs: | 50.9 | 45.9 | 3.1 |
| – Percent of Open Interest Shorts: | 27.7 | 71.1 | 1.0 |
| – Net Position: | 57,913 | -63,177 | 5,264 |
| – Gross Longs: | 127,371 | 114,977 | 7,808 |
| – Gross Shorts: | 69,458 | 178,154 | 2,544 |
| – Long to Short Ratio: | 1.8 to 1 | 0.6 to 1 | 3.1 to 1 |
| NET POSITION TREND: | |||
| – Strength Index Score (3 Year Range Pct): | 92.5 | 8.1 | 88.7 |
| – Strength Index Reading (3 Year Range): | Bullish-Extreme | Bearish-Extreme | Bullish-Extreme |
| NET POSITION MOVEMENT INDEX: |
