14 Jan 2012 Weekly currency futures market report
1. Euro FX – Futures
This week we notice a further buying into the decline conducted by commercial traders. Operators added another significant 18,780 new long positions to their portfolio. This amount accounts for total marginal add-on rate of 8% of their total long positions held. On the other side, commercials added 3,187 (6.79%) new short contracts. The total number of long positions added since the last decline amount to whooping 120,368 and accounts for 71.5%. At the same time they added only 21% of new short contracts. The level of bullishness is now unprecedented. Operators hold 231,765 long contracts against 50,103 short contracts.
The price has broken down below the important support and seems to have some more steam to the downside. We might see further decline in price towards 1.25 handle before any reversal.
Drop in daily open interest in Euro futures and drop in the long positions growth rate will give a signal to trend reversal.
Open interest increased further this week.11, 473 new transactions brought Open Interest in Euro futures market to the total of 294,263. This level of OI has never been sees in this market. As of this week, commercials traders hold 82% of the total Open Interest in Euro Fx. This is the highest level ever!
Daily euro fx open interest in still on the rise suggesting continuation of the current decline. Expect euro to gain significantly in coming weeks, months. Only 10% drop in open interest will give a signal to enter long positions. This has not been seen yet. For the moment, euro is expected to decline further. Given the daily Open Interest is flattening, any downside might be limited to the technical supports.
2. British Pound Sterling Futures
Similar trend is noticeable in Sterling futures. Commercials added another 6% to their long positions. This is a similar amount as of last week. They now hold 162,591 long positions and 106,978 short contracts, which has increased by 1,833 this week. Operators remain net long in sterling futures market and adding to their long positions. GBP/USD price has been declining this week. This might be a short lived. Potential upside is expected.
Open Interest added 6,206 new transactions. The level of OI remains at all-time high in this market. Commercial participation in the total Open Interest is now raised to total 81, 35%. This is almost back to all time high commercial sentiment.
Daily open interest declined over 10% on falling prices this week. We anticipate move up in GBP/USD. The price is testing important technical levels at the moment.
The reading of over 80% of open interest held in commercial long positions indicates strength. As fundamental indicators suggest otherwise, we might see cable’s strength in coming weeks. With prices ranging we suggest to wait for stronger signals to consider entering long positions.
3. Yen Futures
After massive increase in short contracts last week, the price of yen did not move much. This week commercial traders added another 4,190 new long positions and decreased their longs by 881.The trend of adding short positions aggressively remains in play. At the same time, commercial have been steadily shrinking their longs.
Although similar net short readings have been in play in recent past, the price remained flat.
Open Interest added 4,814 (3%) this week. Commercial participation in total open interest remains unchanged – 73.5% in shorts and (a little lower) 38% in long positions.
We remain long yen for the moment. We have closed a part of the short USD/JPY position.
4. Swiss Franc Futures
This week we saw commercials adding 4,664 new long positions and only 893 shorts to their portfolio. Commercials are now highly net long in Swiss frank futures.
We note that operators have been adding long positions systematically. Their marginal add rate of short positions remains flat. This is clearly a sign that commercials are accumulating long positions in Swiss franc futures.
Open Interest increased to 41,869 this week. Commercial participation in Open Interest rose to 73% longs and 10% short positions. By being sharply net long and USD/CHF price testing some resistance this week, we might see some trend reversal coming soon.
Please keep in mind that swissy is now pegged to euro. Any significant rise in frank should trigger the response from the Swiss central bank in form of aggressive treasury purchase in order to weaken the currency.
Daily open interest is still on the rise. Only 10% drop will signal long frank entries.
For a full graphical report go to
This post has been edited by gfs: Jan 15 2012, 06:28 PM